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Wrappers and Counterparty Risk

Wrappers and Counterparty Risk. Apr 2009. Content Different types of wrapper Symphony / Platinum Gilt-backed products Partner banks Other Banks. Different types of wrapper. Deposit-linked. Medium Term Note. Listed Investment Company. UCITS / Non-UCITS.

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Wrappers and Counterparty Risk

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  1. Wrappers and Counterparty Risk Apr 2009

  2. Content Different types of wrapper Symphony / Platinum Gilt-backed products Partner banks Other Banks

  3. Different types of wrapper Deposit-linked Medium Term Note Listed Investment Company UCITS / Non-UCITS

  4. Symphony - Listed Investment Company Symphony is: Jersey Protected Cell Company Transferable security, not a Collective Investment Scheme Listed on CISX Each share class is a protected cell – ie, ring fenced from each other A ‘Nil Par Value’ company It is not a commercial paper conduit, nor does it use leverage CGML is appointed investment manager in similar way to UCITS structure Investment and Credit counterparty is Citi (unless clearly specified) and carries Citi’s main credit rating (S&P – A / Moody’s – A2) Part 1 prospectus generic, Part 2 prospectus specific to each issue All board members are non-exec. 3 from Mourant and Co Ltd, 1 independent Advised by Allen & Overy and Mourant. Audited by Ernst & Young LLP

  5. Platinum - Listed Investment Company Platinum is: Guernsey Protected Cell Company Transferable security, not a Collective Investment Scheme Listed on CISX Each share class is a protected cell – ie, ring fenced from each other A ‘Nil Par Value’ company It is not a commercial paper conduit, nor does it use leverage Deutsche Bank is appointed investment manager in similar way to UCITS structure Investment and Credit counterparty is DB (unless clearly specified) and carries DB’s main credit rating (S&P – A+ / Moody’s – Aa1) Part 1 prospectus generic, Part 2 prospectus specific to each issue All 4 board members are non-exec. And independent Advised by Allen & Overy and Orzannes. Audited by Deloitte LLP

  6. Gilt-backed products Cash flows at inception and through the life of a government bond backed structured product Investor 1 Preference share £100 Symphony Govt Bonds Yield Equity Payment Govt Bonds £100 Market Citi (asswapcounterparty) Flows during life Flows at inception

  7. Gilt-backed products Cash flows at termination if Citi does not default Investor Preference Share Redemption Value Symphony Govt Bond Proceeds + Equity Payment Govt Bonds Citi (asswapcounterparty) Flows at termination

  8. Gilt-backed products Cash flows if Citi does default Investor Swap Recovery Value + Govt Bond Proceeds Symphony Swap Recovery Value (if any) Govt Bond Proceeds Govt Bonds Market Citi (asswapcounterparty) Flows if Citi defaults

  9. Partner Banks Our Partner Banks are: Citi Rating A Good funding spreads Key vehicles; Symphony Structured Products (Jersey) Ltd; Allegro Investment Corporation Deutsche Bank Rating A+ Solid capital base, comparatively secure Key vehicles; X-Notes MTN; DB Platinum (Guernsey PCC) Nomura Rating A Good funding spreads Key vehicle; STAGs (Securities Taxed As Gains) exchangeable bonds (similar to Barclays Simple)

  10. Other Bank Relationships We are currently in discussion (and can do trades with): HSBC Rating AA Solid Capital Base, popular counterparty Key vehicles; Exchangeable Warrant Programme; MTN Note Programme Credit Suisse Rating A Solid capital base, comparatively secure Key vehicles; Andrea Investment (Jersey) PCC Societe Generale Rating AA- Solid capital base. Strong links to its Government Key vehicle; Lyxor Funds (Lux), ESOL Notes, CODEIS (Lux)

  11. Disclaimer The information in this document is derived from sources believed to be reliable but which have not been independently verified. Catley Lakeman Securities makes no guarantee of its accuracy and completeness and is not responsible for errors of transmission of factual or analytical data, nor is it liable for damages arising out of any person’s reliance upon this information. All charts and graphs are from publicly available sources or proprietary data. The opinions in this document constitute the present judgment of Catley Lakeman Securities, which is subject to change without notice. This document is neither an offer to sell, purchase or subscribe for any investment nor a solicitation of such an offer. This document is intended for the use of institutional and professional customers and is not intended for the use of private customers. This document is not intended for distribution in the United States of America or to US persons. This document is intended to be distributed in its entirety. No consideration has been given to the particular investment objectives, financial situation or particular needs of any recipient. Catley Lakeman Securities is a LLP registered in England and Wales, Registered Office : One Eleven Edmund Street, Birmingham, B3 2HJ. Registration Number: OC336585, Vat Number: 936371705, FSA Reference: 484826

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