9 March 2006 Skuldavafningur – Kaupþings - íbúðabréf
Kaupthing – Structured Covered Bonds u CDO / MBS = Collateralized Dept Obligation / Mortgages Backed Securities u CDO / MBS eru verðbréf sem fá greiðsluflæði sitt frá potti af undirliggjandi skuldabréfum u Best útskýrt með einföldu dæmi
Uppbygging Eignir Forgangsbréf Skuldabréf Undirliggjandi skuldabréf Millibréf Skuldabréf Hlutafé (skírteini)
Til hvers ? u Tilgangurinn er misjafn u Virðisauki — Minni gjaldþrotsáhætta — Aukinn seljanleiki Eignir Forgangsbréf Skuldabréf Undirliggjandi skuldabréf Millibréf Skuldabréf u Aukin gírun — Selja CDO bréf með lágan vaxtamun, en halda bréfum með hærri vaxtamun u Skráning — Pakka saman óskráð bréf og fá í staðin skráð bréf Hlutafé (skírteini)
Dæmi u Eitt undirliggjandi bréf — Vaxtagreiðslubréf til 5 ára — 100 milljón kr. höfuðstóll — Greiðir 8% vexti einu sinni á ári u Eitt CDO skuldabréf — Vaxtagreiðslubréf til 5 ára — 95 milljón kr. höfuðstóll — Greiðir 7% vexti einu sinni á ári Eignir Skuldabréf 95 millj. 7% 100 millj. 8% vextir 12 mán. 5 ár. Hlutafé (5 millj. )
Dæmi u Vaxtamunur: 1% u Gírun á hlutabréfin: — 8% af 5 milljónum — 1% af 95 milljónum — Samtals: 8% + 1%*95/5 = 27%!! u Gjaldþrotsvörn — Ef 100 x 1 milljón kr. bréf í eignum, þá mega 5 fara í gjaldþrot áður en CDO 1 byrjar að skerðast. Eignir Skuldabréf 95 millj. 7% 100 millj. 8% vextir 12 mán. 5 ár. Hlutafé (5 millj. )
Kaupthing – Structured Covered Bonds u Primary funding for KB Mortgage Portfolio u Denominated in ISK u Index-linked with the Icelandic CPI u Annuity payment structure (prepayable at the discretion of the Issuer) u Maturity in 2033 and 2048 (28 y and 43 y) u 3 year program – potential size ISK 200 billion (≈ EUR 2. 5 Billion)
Kaupthing – Structured Covered Bonds Investor Covered Bonds Kaupthing bank Issuer Fund Servicer Representative Asset Monitor Cash Manager Custody Agent Dealer
Kaupthing – Structured Covered Bonds u In order to carry out the project a new entity "KB mortgages" will be created u The Fund (SPV) will be an institutional investor funds (Fagfjárfestasjóður) which sole objective is to buy mortgages u The funds equity will be fully owned by Kaupthing Bank and its subsidiaries (if needed it will be possible to expand the programme outside of Iceland in the future) u The fund finances its buy of mortgages through an inter-company loan and through equity contributions from Kaupthing.
Kaupthing – Structured Covered Bonds Subordinated Mortgages Subordinated General claim Services Loan Agreement Covered Bonds 1. 050 m 1. 000 m SPV Issuer Event of Default Subordinated 50 m (plus interest – expenses) Dividend payments Tax payments General claim
Kaupthing – Structured Covered Bonds u The funds assets will be consolidated into Kaupthings balance sheet u In spite of this the fund will at the same time be bankruptcy remote from the bank and its assets will act as a guarantee for the structured covered bonds issued by the bank u This means that in case of bankruptcy of Kaupthing Bank the fund will take over the obligations of the issued covered bonds against netting out the inter-company loan
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