Under the terms of the swap, Amura will pay the yield it receives on the bond collateral to Banco Santander, in return for quarterly payments to cover interest on the covered notes. The CDS element of the transaction comprises a defined tranche of a €945 million portfolio, including exposure to financial institutions from Europe and North America, as well as some exposure to emerging markets and sovereigns from Europe and Latin America. Exposures to individual entities in the portfolio are tradable.
Payment of interest depends on the performance of the portfolio, with each swap having a defined loss threshold. If the loss exceeds the threshold a delay or reduction in interest is triggered.
The bank launched its first CDO, a static €1 billion full capital structure, called Jalypon in 2002.
The week on Risk.net, July 7-13, 2018Receive this by email