Transcript Imperializm ekonomiczny

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zobowiązania zabezpieczone na portfelu aktywów (RMBS, CDO)
obligacje kredytowe (CLN)
swapy niewypłacalnościowe (CDS)
swapy całkowitej stopy zwrotu (TRS)
Marcin Galas
Kamil Krasuski
RMBS
Oferta sprzedaży
 Wystawca: McKinley II Funding, Ltd.
 Data: 15 stycznia 2010
 Sprzedaż: 4 sesje przez dwa dni – czwartek i piątek 28-
29 stycznia 2010 o godzinach: 10 i 14
 Miejsce: 150 East 52nd Street, 6th Floor, New York
 Fragment oferty:
No. CUSIP
Security
Type
Original
Face
Bid for Individual
Cash Assets
1
04541GJU7
ABSHE 2004-HE3 M2
RMBS
8,725,000.00 $__________________
2
04541GMN9
ABSHE 2004-HE8 M1
RMBS
14,574,000.00 $__________________
3
04541GQB1
ABSHE 2005-HE2 M1
RMBS
5,000,000.00 $__________________
4
04541GRL8
ABSHE 2005-HE4 M2
RMBS
6,250,000.00 $__________________
RMBS
Skład portfela – OOMLT 2007-1
 Wartość długu
Pierwotne
zadłużenie
Liczba
kredytów
hipotecznych
Zagregowana
wartość długu
($)
Procent w całym
portfelu
0.01-25,000.00
56
1,141,204.27
0.17%
25,000.01-50,000.00
130
4,499,482.34
0.68%
50,000.01-75,000.00
221
14,131,919.12
2.12%
75,000.01-100,000.00
360
32,038,554.38
4.81%
…
…
TOTAL
3,675
…
666,092,633.66
…
100%
RMBS
Skład portfela – OOMLT 2007-1
 Rating długu
Rating
 Pochodzenie geograficzne długu
Procent
portfela
Stan pochodzenia
Procent
portfela
AA+
70.26%
Floryda
9.58%
AA
13.02%
Kalifornia
14.39%
A
6.45%
Massachusetts
7.61%
B
5.19%
Nowy York
6.74%
C
3.20%
Texas
5.42%
CC
1.89%
Pozostałe
56.26%
CDO
Oferta sprzedaży
 Instrument: Triaxx Prime CDO of RMBS Securities
 Wystawca: ICP Securities LLC.
 Data: styczeń 2006
 Wolumen: $ 2,500,000,000
 Płatności: grupa A-1 – miesięcznie, pozostałe –
kwartalnie
 Reinwestowanie aktywów: co 5 lat
 Zakaz wcześniejszych spłat (non-call period): 3 lata
CDO
Struktura Triaxx Prime CDO of RMBS Securities
Grupa
Nominał
Procent w
portfelu
Rating
WAL
Class A-1
2,250,000,000
90%
Aaa/AAA
6.7
Class A-2
200,000,000
8%
Aaa/AAA
8.0
Class B
30,000,000
1.2%
Aa2/AA
8.0
Class X
10,000,000
0.4%
A2/A
4.2
Class C
10,000,000
0.4%
A3/A-
8.0
CDO
Spread w zależności od sytuacji gospodarczej
CLN
Oferta sprzedaży
 Wystawca: VITYAZ
 Rodzaj instrumentu dłużnego: Euroobligacje
 Rodzaj obligacji: Credit Link Notes
 Data rozpoczęcia inwestycji: 30 sierpień 2007
 Data zakończenia inwestycji: 30 sierpień 2010
 Minimalny nominał: 2 557 250 RUR
 Wolumen: 895 037 500 RUR (350*2 557 250)
 Kupon: 16,475% płatny dwa razy w roku
CLN
Oferta sprzedaży
 Wystawca: BNP Paribas
 Dłużnik: Raiffeisen-Boerenleenbank B.A.
 Miejsce sprzedaży: oferta publiczna w Belgii
 Data rozpoczęcia inwestycji: 22 październik 2010
 Data zakończenia inwestycji: 27 wrzesień 2016
 Minimalny nominał: EUR 10,000
 Wolumen: EUR 5,000,000
 Kupon: 3M LIBOR + 0.6% płatny raz w roku
Ocelot II – Synthetic CDO
Series 2006-06 Class A Combination Notes,
due December 2012
 Issuer:
 Arrangers and Dealers:
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





Ocelot CDO I plc
Goldman Sachs
International
5 June, 2006
Issue Date:
2006-06
Series No:
1
Tranche No:
XS0255178658
ISIN Code:
USD
Settlement Currency:
Principal Amount of Tranche: 10 mln USD
1 mln USD
Minimum trading size:
Ocelot II – Synthetic CDO
Terms and Conditions of the Notes
 Each Note shall represent a combination of a zero coupon Mezzanine Note
and a notional First Loss Note as described in the terms below.
 The principal of the Notes is payable by reference to a tranche of the
Mezzanine Portfolio, as such tranche may be subject to reduction following the
occurrence of Credit Events with respect to the Mezzanine Portfolio (the
Mezzanine Component).
 Interest on the Notes is payable primarily by reference to a tranche of the First
Loss Portfolio, as such tranche may be subject to reduction following the
occurrence of Credit Events with respect to the First Loss Portfolio (the First
Loss Component).
 There will be a separate Credit Default Swap for the Mezzanine Component
(the Mezzanine Credit Default Swap) and a separate Credit Default Swap for
the First Loss Component (the First Loss Credit Default Swap).
 The Mezzanine Component and the First Loss Component of the Notes are not
separately transferable.
Ocelot II – Synthetic CDO
Provisions Relating to Mezzanine Component
Principal payment on the Notes is linked to the Mezzanine
Component. In addition, extraordinary interest may be
payable linked to the Mezzanine Component.
 Original Tranche Notional:
 Transaction Percentage:
 Specified Portfolio:
175 mln USD
On the Effective Date,
5.7143% and thereafter, as
described in the Standard
Mezzanine CDS Terms.
Mezzanine Portfolio
Ocelot II – Synthetic CDO
Provisions Relating to First Loss Component
Interest on the Notes is linked to the First Loss Component.
 Original Tranche Notional:
 Transaction Percentage:
 Specified Portfolio:
 Initial Spread:
350 mln USD
On the Effective Date,
0.8857% and thereafter, as
described in the Standard
First Loss CDS Terms.
First Loss Portfolio
7.75 per cent. per annum
Ocelot II – Mezzanine CDS
Series 2006-06 Tranche 1 Confirmation
(Mezzanine Component)
 Date:
5 June, 2006
 To:
Ocelot CDO I plc
 From:
Goldman Sachs International
 Subject: Credit Derivative Transaction relating to the
Mezzanine Component of the Series 2006-06
Class A Combination Notes due December,
2012 (the Notes) issued by Issuer on 5 June,
2006 (the Issue Date) referenced to a portfolio
of synthetic corporate credit exposure.
Ocelot II – Mezzanine CDS
Terms and Conditions
 Trade Date:
 Issuer Management
15 May 2006
0.15 per cent
(Daily Average Spread of the
Mezzanine Component) x
(Daily Average of the
Calculation Amount) x (Day
Count Fraction)
 Settlement Currency: USD
TRS Collateral
 Type of Collateral:
means 175 mln USD
 Tranche Notional:
Expenses Rate:
 Fixed Amount I:
Ocelot II – Mezzanine CDS
Ocelot II – Mezzanine CDS
Ocelot II – First Loss CDS
Series 2006-06 Tranche 1 Confirmation
(First Loss Component)
 Date:
5 June, 2006
 To:
Ocelot CDO I plc
 From:
Goldman Sachs International
 Subject: Credit Derivative Transaction relating to the First
Loss Component of the Series 2006-06 Class A
Combination Notes due December, 2012 (the
Notes) issued by Issuer on 5 June, 2006 (the
Issue Date) referenced to a portfolio of
synthetic corporate credit exposure.
Ocelot II – First Loss CDS
Terms and Conditions
 Trade Date:
 Issuer Management
Expenses Rate:
 Fixed Amount I:




Initial Spread:
Settlement Currency:
Type of Collateral:
Tranche Notional:
15 May 2006
0.75 per cent
(Daily Average of the Spread) x
(Initial Aggregate Principal
Amount of the Notes) x (Daily
Average First Loss Factor) x (Day
Count Fraction)
7.75 per cent.
USD
TRS Collateral
means 350 mln USD
Ocelot II – First Loss CDS
Ocelot II – TRS
Series 2006-06 Tranche 1 TRS Confirmation
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

Date:
To:
From:
Subject:
5 June, 2006
Ocelot CDO I plc
Goldman Sachs International
Total Return Swap Transaction relating to the
Series 2006-06 Class A Combination Notes
due December, 2012 (the Notes) issued by
Issuer on 5 June, 2006 (the Issue Date)
referenced to a portfolio of synthetic
corporate credit exposure.
Ocelot II – TRS
Terms and Conditions
 Trade Date:
15 May 2006
 Settlement Currency: USD
 Floating Rate:
The ISDA Rate applicable to the
Notes as if the "Floating Rate
Option" were "USD-LIBORBBA" and the "Designated
Maturity" were "3 months ".
0.08 per cent
 Spread:
Ocelot II – TRS
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http://www.markit.com/cds/most_liquid/
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Marcin Galas
Kamil Krasuski