Credit Suisse Investment Banking Pitch Book
Preliminary Osprey standalone financial projections
Assumptions per Osprey management as of September 2017
Loan
portfolio
Spreads
Credit
Funding
Non-interest
income
Operating
expenses
PRELIMINARY | SUBJECT TO FURTHER REVIEW & REVISION
Total volume is projected to increase from $1.6bn in 2017E to -$2.7bn in 2020E
- Off-balance sheet asset management activity volume growth from $0.9bn in 2017E to -$2.1bn in 2020E
Assets under management ("AUM") projected to increase at -9% CAGR for period 2017E-2020E
- Off-balance sheet AuM increases from -50% of total AuM in 2017E to -74% of total AuM in 2020E
■ Direct new origination spread target of 5.25% starting in 2018E through forecast horizon
Capital markets new origination spread target of 4.95% starting in 2018E through forecast horizon
Assumes continuation of current credit environment
☐☐Provision expense for leverage finance is based on forecast of specific (FAS 114) and general reserves (FAS 5) reserves with the
following assumptions:
- 2018E-2020E: Probability of Default ("POD") of 2.25% / Loss Given Default ("LGD") of 28% / Recovery of 72%
$37mm new NPAs in 2018E and decrease to $30mm in 2020E from strategic shift to off-balance sheet asset management
NPLs as % of portfolio decreases from 2.86% in 2018E to 1.77% in 2020E; NPL balances decreases from $80mm in 2018E to
$33mm in 2020E
All-in cost of funds of 5.25% in 2017E, 5.58% in 2018E, 6.10% in 2019E and 5.74% in 2020E
Non-interest income projected to increase from $27mm in 2017E to $56mm in 2020E
■ Increase in fee paying AuM from shifting on-balance sheet portfolios to off-balance sheet vehicles
-0.6% of average AuM, flat through forecast horizon
Corporate -4.6mm share repurchases in 2018E at average price of $11 per share
initiatives ■ $0.02 per share quarterly dividend through forecast horizon
Source: Osprey management as of September 2017.
Note:
"NPA denotes non-performing asset.
NPL denotes non-performing loan.
Confidential
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