У меня после чтения доклада возникло несколько наблюдений, а также несколько вопросов, связанных с недостаточным владением профессиональной терминологией инвестбанкинга. То есть я бы хотел на всякий случай уточнить некоторые моменты, чтобы быть уверенным, что правильно понял их.
В частности, вопросы по пункту 4.2.2:
In the initial stage of a CDO securitization, the desk would typically enter into an agreement with a collateral manager. UBS sourced residential mortgage backed securities ("RMBS") and other securities on behalf of the manager. These positions were held in a CDO Warehouse in anticipation of securitization into CDOs. Generally, while in the Warehouse, these positions would be on UBS's books with exposure to market risk. Upon completion of the Warehouse, the securities were transferred to a CDO special-purpose vehicle, and structured into tranches. The CDO desk received structuring fees on the notional value of the deal, and focused on Mezzanine ("Mezz") CDOs, which generated fees of approximately 125 to 150 bp (compared with high-grade CDOs, which generated fees of approximately 30 to 50 bp). Key to the growth of the CDO structuring business was the development of the credit default swap ("CDS") on ABS in June 2005 (when ISDA published its CDS on ABS credit definitions). This permitted simple referencing of ABS through a CDS. Prior to this, cash ABS had to be sourced for inclusion in the CDO Warehouse.
Under normal market conditions, there would be a rise and fall in positions held in the CDO Warehouse line as assets were accumulated ("ramped up") and then sold as CDOs. There was typically a lag of between 1 and 4 months between initial agreement with a collateral manager to buy assets, and the full ramping of a CDO Warehouse.
The CDO Warehouse was a significant contributor to Value at Risk ("VaR") and Stress limits applicable to this business relative to other parts of the CDO securitization process and warehoused collateral was identified as one of the main sources of market risk in reviews by IB Market Risk Control ("MRC") conducted in Q4 2005 and again in Q3 2006.
Throughout 2006 and 2007, there were no aggregate notional limits on the sum of the CDO Warehouse pipeline and retained pipeline positions.
Collateral manager - это внешнее по отношению к USB лицо или внутренний сотрудник? USB sourced securities - "sourced" значит просто "купить" или что-то другое?
Upon completion of the Warehouse, the securities were transferred to a CDO special-purpose vehicle - "securities" в данном случае имеются в виду купленные RMBS или изготовленные транши? И, кстати, что в таких операциях происходит с самими RMBS - они в ходе секьюритизации исчезают вообще, ликвидируются как самостоятельный актив, или продолжают существование в виде промежуточного звена платежей и риска, сохраняющегося на балансе UBS? retained pipeline positions - это остатки новоизготовленных траншей на балансе UBS или остатки изначальных RMBS?
Далее вопрос по пункту 4.2.3, второй буллет.
Там, в частности, говорится: Much of the AMPS protection has now been exhausted, leaving UBS exposed to write-downs on losses to the extent they exceed the protection purchased. As at the end of 2007, losses on these trades contributed approximately 63% of total Super Senior losses.
Что в данном случае понимается под убытками? По accrual принципу, то есть по разнице цены этих бумаг по первоначальному и текущему курсу? Или по результатам результирующего cash-flow, восходящего от американских домовладельцев?
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timeasmymeasure
no subject
Date: 2009-12-26 06:09 am (UTC)В частности, вопросы по пункту 4.2.2:
In the initial stage of a CDO securitization, the desk would typically enter into an agreement with a collateral manager. UBS sourced residential mortgage backed securities ("RMBS") and other securities on behalf of the manager. These positions were held in a CDO Warehouse in anticipation of securitization into CDOs. Generally, while in the Warehouse, these positions would be on UBS's books with exposure to market risk. Upon completion of the Warehouse, the securities were transferred to a CDO special-purpose vehicle, and structured into tranches. The CDO desk received structuring fees on the notional value of the deal, and focused on Mezzanine ("Mezz") CDOs, which generated fees of approximately 125 to 150 bp (compared with high-grade CDOs, which generated fees of approximately 30 to 50 bp). Key to the growth of the CDO structuring business was the development of the credit default swap ("CDS") on ABS in June 2005 (when ISDA published its CDS on ABS credit definitions). This permitted simple referencing of ABS through a CDS. Prior to this, cash ABS had to be sourced for inclusion in the CDO Warehouse.
Under normal market conditions, there would be a rise and fall in positions held in the CDO Warehouse line as assets were accumulated ("ramped up") and then sold as CDOs. There was typically a lag of between 1 and 4 months between initial agreement with a collateral manager to buy assets, and the full ramping of a CDO Warehouse.
The CDO Warehouse was a significant contributor to Value at Risk ("VaR") and Stress limits applicable to this business relative to other parts of the CDO securitization process and warehoused collateral was identified as one of the main sources of market risk in reviews by IB Market Risk Control ("MRC") conducted in Q4 2005 and again in Q3 2006.
Throughout 2006 and 2007, there were no aggregate notional limits on the sum of the CDO Warehouse pipeline and retained pipeline positions.
Collateral manager - это внешнее по отношению к USB лицо или внутренний сотрудник? USB sourced securities - "sourced" значит просто "купить" или что-то другое?
Upon completion of the Warehouse, the securities were transferred to a CDO special-purpose vehicle - "securities" в данном случае имеются в виду купленные RMBS или изготовленные транши? И, кстати, что в таких операциях происходит с самими RMBS - они в ходе секьюритизации исчезают вообще, ликвидируются как самостоятельный актив, или продолжают существование в виде промежуточного звена платежей и риска, сохраняющегося на балансе UBS? retained pipeline positions - это остатки новоизготовленных траншей на балансе UBS или остатки изначальных RMBS?
Далее вопрос по пункту 4.2.3, второй буллет.
Там, в частности, говорится: Much of the AMPS protection has now been exhausted, leaving UBS exposed to write-downs on losses to the extent they exceed the protection purchased. As at the end of 2007, losses on these trades contributed approximately 63% of total Super Senior losses.
Что в данном случае понимается под убытками? По accrual принципу, то есть по разнице цены этих бумаг по первоначальному и текущему курсу? Или по результатам результирующего cash-flow, восходящего от американских домовладельцев?