9 March 2006

Skuldavafningur – Kaupþings - íbúðabréf

Kaupthing – Structured Covered Bonds

CDO / MBS = Collateralized Dept Obligation / Mortgages Backed Securities

CDO / MBS eru verðbréf sem fá greiðsluflæði sitt frá potti af undirliggjandi skuldabréfum

Best útskýrt með einföldu dæmi

Uppbygging

ForgangsbréfSkuldabréfEignir

Undirliggjandi skuldabréf

MillibréfSkuldabréf

Hlutafé(skírteini)

Til hvers ?

Tilgangurinn er misjafn

Virðisauki

— Minni gjaldþrotsáhætta

— Aukinn seljanleiki

Aukin gírun

— Selja CDO bréf með lágan vaxtamun, en halda bréfum með hærri vaxtamun

Skráning

— Pakka saman óskráð bréf og fá í staðin skráð bréf

ForgangsbréfSkuldabréfEignir

Undirliggjandi skuldabréf

MillibréfSkuldabréf

Hlutafé(skírteini)

Dæmi

Eitt undirliggjandi bréf

— Vaxtagreiðslubréf til 5 ára

— 100 milljón kr. höfuðstóll

— Greiðir 8% vexti einu sinni á ári

Eitt CDO skuldabréf

— Vaxtagreiðslubréf til 5 ára

— 95 milljón kr. höfuðstóll

— Greiðir 7% vexti einu sinni á ári

Skuldabréf95 millj. 7%Eignir

100millj.8% vextir12mán.

5 ár.

Hlutafé(5 millj.)

Dæmi

Vaxtamunur: 1%

Gírun á hlutabréfin:

— 8% af 5 milljónum

— 1% af 95 milljónum

— Samtals:

8% + 1%*95/5 = 27%!!

Gjaldþrotsvörn

— Ef 100x1 milljón kr. bréf í eignum, þá mega 5 fara í gjaldþrot áður en CDO 1 byrjar að skerðast.

Skuldabréf95 millj. 7%Eignir

100millj.8% vextir12mán.

5 ár.

Hlutafé(5 millj.)

Kaupthing – Structured Covered Bonds

Primary funding for KB Mortgage Portfolio

Denominated in ISK

Index-linked with the Icelandic CPI

Annuity payment structure (prepayable at the discretion of the Issuer)

Maturity in 2033 and 2048 (28y and 43y)

3 year program – potential size ISK 200 billion (≈ EUR 2.5 Billion)

Kaupthing – Structured Covered Bonds

InvestorCovered Bonds

Kaupthingbank

Issuer

Fund

Representative

Asset Monitor Cash Manager

Servicer

Custody Agent Dealer

Kaupthing – Structured Covered Bonds

In order to carry out the project a new entity "KB mortgages" will be created

The Fund (SPV) will be an institutional investor funds (Fagfjárfestasjóður) which sole objective is to buy mortgages

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)

The fund finances its buy of mortgages through an inter-company loan and through equity contributions from Kaupthing.

Kaupthing – Structured Covered Bonds

Loan Agreemen

t

Dividend payments

Mortgages

SPV

Covered Bonds

Services

Tax payments

Tax payments

Subordinated General claimSubordinated

Subordinated

General claim General claim

Issuer Event of Default

1.000m

1.050m

50m

(plus interest – expenses)

Kaupthing – Structured Covered Bonds

The funds assets will be consolidated into Kaupthings balance sheet

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

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