leveraged super senior
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Portfolio
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Size$100,000,000made up
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Spread150bps
http://www.euromoney.com/Article/3283751/Structured-credit-Theyre-back-Leveraged-super-seniors-return.html
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Super senior
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Attachment15%
http://www.euromoney.com/Article/3283751/Structured-credit-Theyre-back-Leveraged-super-seniors-return.html
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Detachment100%
http://www.euromoney.com/Article/3283751/Structured-credit-Theyre-back-Leveraged-super-seniors-return.html
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Leverage10x
http://www.euromoney.com/Article/3283751/Structured-credit-Theyre-back-Leveraged-super-seniors-return.html
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Notional of tranche$85,000,000
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Invested amount (collateral)8,500,000
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Loaned amount76,500,000
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Assumed spread on tranche100bpsmade up
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Spread paid to super senior investor350bps
http://www.euromoney.com/Article/3283751/Structured-credit-Theyre-back-Leveraged-super-seniors-return.html
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Spread generated850,000per year
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Spread paid to investor297,500per year
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Spread retained for leverage552,500per year
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Effective cost of leverage0.72%per year
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Difference between tranche spread and leverage cost28bps
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(Effective retained spread for Citi)0.65%
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