版权说明:本文档由用户提供并上传,收益归属内容提供方,若内容存在侵权,请进行举报或认领
文档简介
Chapter14
CommercialMortgageLoansandCommercialMortgage-BackedSecurities
LearningObjectivesAfterreadingthischapter,youwillunderstandhowcommercialmortgageloansdifferfromresidentialmortgageloansthedifferentpropertytypesforwhichcommercialmortgageloansareobtainedthetwoindicatorsofperformanceusedforevaluatingcommercialmortgageloans—debt-to-servicecoverageratioandloan-to-valueratiothedifferenttypesofcallprotectionprovidedforincommercialmortgageloansandinacommercialmortgage-backedsecuritywhatballoonriskisforacommercialmortgageloanandacommercialmortgage-backedsecurityLearningObjectives(continued)Afterreadingthischapter,youwillunderstanddifferencesinstructuringacommercialmortgage-backedandresidentialmortgage-backedsecuritiestransactionthestructuralfeaturesofacommercialmortgage-backedsecuritydealhowprepaymentpremiumsmaybedistributedamongbondholdersinacommercialmortgage-backedsecuritythedifferencebetweenasingleborrower/multipropertydealandaconduitdealthedifferenttypesofservicersinacommercialmortgage-backedsecuritiesdealfactorstoconsiderintheanalysisofthecollateralofacommercialmortgage-backedsecuritywhyitisimportanttostresstestadeal’sstructureCommercialMortgageLoansCommercialmortgageloansareforincome-producingproperties.Thesepropertiesincludemultifamilypropertiesofficebuildingsindustrialproperties(includingwarehouses)shoppingcentershotelshealthcarefacilitiesCommercialmortgageloansarenon-recourseloans.Thismeansthatthelendercanonlylooktotheincome-producingpropertybackingtheloanforinterestandprincipalrepayment.CommercialMortgageLoans(continued)IndicatorsofPotentialPerformanceIfthereisadefaultonacommercialmortgageloan,thelenderlookstotheproceedsfromthesaleofthepropertyforrepaymentandhasnorecoursetotheborrowerforanyunpaidbalance.Twomeasureshavebeenfoundtobekeyindicatorsofthepotentialcreditperformance:
debt-to-servicecoverageratio
loan-to-valueratioCommercialMortgageLoans(continued)IndicatorsofPotentialPerformanceThedebt-to-servicecoverageratio(DSCratio)istheratioofaproperty’snetoperatingincome(NOI)dividedbythedebtservice.NOIistherentalincomereducedbycashoperatingexpenses(adjustedforareplacementreserve).Aratiogreaterthanoneindicatesthatthecashflowfromthepropertyisadequatetocoverdebtservicing.CommercialMortgageLoans(continued)IndicatorsofPotentialPerformanceStudiesofresidentialmortgageloanssuggestthatthekeypredictorofdefaultistheloan-to-valueratio.Forincome-producingproperties,thevalueofthepropertyisbasedontheprinciplethatthevalueofanassetisthepresentvalueoftheexpectedcashflow.Invaluingcommercialproperty,theexpectedcashflowsarethefutureNOIs.Adiscountrateor“capitalizationrate,”reflectingtherisksassociatedwiththecashflows,isusedtocomputethepresentvalueofthefutureNOIs.CommercialMortgageLoans(continued)CallProtectionForresidentialmortgageloans,onlyprepaymentpenaltymortgagessupplyprotectionagainstprepayments.Forcommercialmortgageloans,callprotectionincludes:prepaymentlockoutdefeasanceprepaymentpenaltypointsyieldmaintenancechargesCommercialMortgageLoans(continued)CallProtectionAprepaymentlockoutisacontractualagreementthatexcludesanyprepaymentsduringthelockoutperiod.Afterthelockoutperiod,callprotectionusuallycomesintheformofeitherprepaymentpenaltypointsoryieldmaintenancecharges.Withdefeasance,theborrowerprovidesamplefundsfortheservicertoinvestinaportfolioofTreasurysecuritiesthatreplicatesthecashflowsthatwouldexistintheabsenceofprepayments.CommercialMortgageLoans(continued)CallProtectionPrepaymentpenaltypointsarepredeterminedpenaltiesthatmustbepaidbytheborroweriftheborrowerwishestorefinance.Prepaymentpenaltypointsarenotalwaysaneffectivemeansfordiscouragingrefinancing.Yieldmaintenancechargemakesthelenderindifferentastothetimingofprepayments.Thesimplestandmostrestrictiveformofyieldmaintenancecharge(“Treasuryflatyieldmaintenance”)penalizestheborrowerbasedonthedifferencebetweenthemortgagecouponandtheprevailingTreasuryrate.CommercialMortgageLoans(continued)BalloonMaturityProvisionsCommercialmortgageloansaretypicallyballoonloansrequiringsizeableprincipalpaymentattheendoftheballoonterm.Iftheborrowerfailstomaketheballoonpayment,theborrowerisindefault.Duringthework-outperiodfortheloan,theborrowerischargedahigherinterestrate,whichiscalledthedefaultinterestrate.Theriskthataborrowerwillnotmaketheballoonpaymentiscalledballoonriskorextensionrisk.CommercialMortgage-BackedSecuritiesManytypesofcommercialloanscanbesoldbytheoriginatorasacommercialwholeloanorstructuredintoacommercialmortgage-backedsecurity(CMBS)transaction.ACMBS
isasecuritybackedbyoneormorecommercialmortgageloans.Thewholeloanmarket,whichislargelydominatedbyinsurancecompaniesandbanks,isfocusedonloansbetween$10and$50millionissuedontraditionalpropertytypes(multifamily,retail,office,andindustrial).CMBStransactions,ontheotherhand,caninvolveloansofvirtuallyanysizeand/orpropertytype.CommercialMortgage-BackedSecurities
(continued)IssuersofCMBSAswithresidentialmortgage-backedsecurities(RMBS),CMBScanbeissuedbyGinnieMae,FannieMae,FreddieMac,andprivateentities.AllofthesecuritiesissuedbyGinnieMae,FannieMae,andFreddieMacareconsistentwiththeirmissionofprovidingfundingforresidentialhousing.WhilesecuritiesbackedbyGinnieMaeandissuedbyGSEsconstitutethelargestsectoroftheRMBSmarket,itisthesecuritiesissuedbyprivateentitiesthatarebyfarthelargestsectoroftheCMBSmarket.Typically,itislessthan3%ofthemarket.OurfocusinthischapterisonCMBSissuedbyprivateentities.CommercialMortgage-BackedSecurities
(continued)HowCMBSTradeintheMarketOnemightthinkthatbecauseCMBSandRMBSarebackedbymortgageloans,theywouldtradeinasimilarmannerinthemarketplace.Thatisnotthecase,andtheprimaryreasonhastodowiththegreaterprepaymentprotectionaffordedtoinvestorsinCMBScomparedtoRMBS.CMBStrademuchlikecorporatebonds.CommercialMortgage-BackedSecurities
(continued)DifferencesBetweenCMBSandNonagencyRMBSStructuringThestructureofaCMBStransactionisthesameasinanonagencyRMBSinthatmoststructureshavemultiplebondclasses(tranches)withdifferentratings,andtherearerulesforthedistributionofinterestandprincipaltothebondclasses.Thethreemajordifferencesduetothefeaturesoftheunderlyingloansare:theprepaymenttermsforcommercialmortgagesdiffersignificantlyfromresidentialmortgagesthesignificantdifferencebetweencommercialandresidentialmortgageswithrespecttotheroleoftheservicerwhenthereisadefaulttheroleofthebuyerswhenthestructureisbeingcreatedsoastoremovecertainloansfromthepoolCommercialMortgage-BackedSecurities
(continued)DifferencesBetweenCMBSandNonagencyRMBSStructuringThefirstdifferenceinstructuringinvolvesthefactthattheprepaymenttermsforcommercialmortgagesdiffersignificantlyfromresidentialmortgages.CMBStransactionsimposeprepaymentpenaltiesorrestrictionsonprepayments.WhilethereareRMBStransactionswithprepaymentpenalties,theyareasmallfractionofthemarket.CommercialMortgage-BackedSecurities
(continued)DifferencesBetweenCMBSandNonagencyRMBSStructuringTheseconddifferenceinstructuringisduetothesignificantdifferencebetweencommercialandresidentialmortgageswithrespecttotheroleoftheservicerwhenthereisadefault.Incommercialmortgages,theloancanbetransferredbytheservicertothespecialservicerwhentheborrowerisindefault,imminentdefault,orinviolationofcovenants.Thereisnoequivalentfeatureforaresidentialmortgageinthecaseofanimminentdefault.Therecanbedifferencesinloansastohowtodealwithdefaultsduetoafailuretomeettheballoonpayment.WhileballoonriskmustbetakenintoaccountinstructuringaCMBStransaction,itisnotsomethingthathastobedealtwithinstructuringanRMBS.CommercialMortgage-BackedSecurities
(continued)DifferencesBetweenCMBSandNonagencyRMBSStructuringThethirddifferenceinstructuringbetweenCMBSandRMBShastodowiththeroleofthebuyerswhenthestructureisbeingcreatedsoastoremovecertainloansfromthepool.Morespecifically,typicallypotentialbuyersofthejuniorbondclassesarefirstsoughtbytheissuerbeforethedealisstructured.Thepotentialbuyersfirstreviewtheproposedpoolofmortgageloansandinthereviewprocessmay,dependingonmarketdemandforCMBSproduct,requesttheremovalofsomeloansfromthepool.CommercialMortgage-BackedSecurities
(continued)StructuralFeaturesofaCMBSTransactionTounderstandthefeaturesofaCMBStransaction,onecanlookatanactualdeal.Indoingthis,onecanobserve:theissuedate,thenumberoftranchesinthedeal,thedetails(suchasratingsandcouponrates)foralltranches,thedistributionsofinterestandprincipalfromthesupplementaryprospectusandsoforth.CommercialMortgage-BackedSecurities
(continued)StructuralFeaturesofaCMBSTransactionWhentherearemortgageloanlosses,theyareallocatedinascendingordertothebondclasses.BecauseClassXisaninterest-onlysecurity,noprincipalpaymentsorloanlossesareallocatedtothatclass.However,thenotionalamountforClassXisreducedbyprincipalpaymentsorloanlosses.ThecreditenhancementsfornonagencyRMBScanbeusedinCMBSstructures.Typically,theprimaryformofcreditsupportisthesenior-subordinatedstructure.CommercialMortgage-BackedSecurities
(continued)PrepaymentProtectionandDistributionsofPrepaymentPremiumsInaCMBSstructure,therearetwolevelsofprepaymentprotection.Theloanlevelwheretherearevariousformsofprepaymentprotectionprovided(lockouts,prepaymentpenaltypoints,yieldmaintenance,anddefeasance).Thestructurelevel,e.g.,theseniortranchescanbestructuredtopayoffsequentiallyasinaCMOstructure.Whenadefeasanceoccurs,thereisnodistributionmadetothebondholders.Sincetherearenopenaltiesorcharges,thereisnoissueastohowanypenaltiespaidbytheborroweraretobedistributedamongthebondholdersinaCMBSstructure.CommercialMortgage-BackedSecurities
(continued)PrepaymentProtectionandDistributionsofPrepaymentPremiumsWhenthereareprepaymentpenaltypoints,therearerulesfordistributingthepenaltyamongtheCMBSbondholders.Inthecaseofloanswithayieldmaintenanceprovision,severalmethodsareusedfordistributingtheyieldmaintenancecharge.Dependingonthemethodspecifiedinadeal,notallbondholdersinaCMBSmaybemadewhole.Prepaymentpenaltiesandyieldmaintenancechargesarereferredtoasprepaymentpremiums.CommercialMortgage-BackedSecurities
(continued)BalloonRiskinCMBSDealsCMBSwithseniorsubordinatedstructuresfacetheriskthatallloansmustberefinancedtopayoffthemostseniorbondholders.Theballoonriskofthemostseniortranchemaybeequivalenttothatofthemostjuniorbondclassinthedeal.TherearetwotypesofstructuralprovisionsthatcanbepresentinCMBStransactionstomitigateballoonrisk:Theinternaltailcallsfortheborrowertodocumenteffortstorefinancetheloanwithinoneyearoftheballoonmaturitydate.Withanexternaltail,thematuritydatefortheCMBSissueissettobelongerthantheballoonpaymentforthepoolofcommercialmortgageloans.CommercialMortgage-BackedSecurities
(continued)TypesofDealsThetwomajorclassificationsforCMBSdealsare:singleborrower/multi-propertydealsmulti-propertyconduitdealsInasingleborrower/multi-propertydealthereisoneborrowerandmultipleproperties.Threekeystructuralfeaturesinsuchdealsare:thecross-collateralizationfeaturecross-defaultfeaturepropertyreleaseprovisionsCommercialMortgage-BackedSecurities
(continued)TypesofDealsThecross-collateralizationfeatureisamechanismwherebythepropertiesthatcollateralizetheindividualloansinthemortgagepoolarepledgedagainsteachloan.Thecross-defaultfeaturepermitsthelendertocalleachloanwithinthemortgagepoolwhenanyonepropertydefaults.Byincludingthesetwofeatures,theprincipalandinterestpaymentsofallthepropertiesareavailabletomeettheobligationsofalltheloans.Becausethereisasingleborrower,thereisconcernthattheborrowercanbenefitbyremovingthebestpropertiesfromthemortgagepoolbyprepayingthebalanceandsellingthoseproperties.Thisactionwouldresultinadeteriorationofthestructuralprotectionaffordedthebondholders.CommercialMortgage-BackedSecurities
(continued)TypesofDealsTheobjectiveofpropertyreleaseprovisionsistoprotecttheinvestoragainstborrowerremovingthebestpropertiesfromthemortgagepoolbyprepayingthebalanceandsellingthoseproperties.Twoexamplesofapropertyreleaseprovisioninvolve:arequirementthatifanypropertyissold,theborrowermustretiremorethantheinitialmortgagebalanceinthepool(say,125%)asalemaynottakeplaceiftheDSCratiosafteraproposedsalearelessthanpriortothesaleCommercialMortgage-BackedSecurities
(continued)TypesofDealsBesidesasingleborrower/multi-propertydeal,asecondtypeofdealisamulti-propertyconduitdeal,whichinvolvesloansbyconduits.Conduitsarecommercial-lendingentitiesthatareestablishedforthesolepurposeofgeneratingcollateraltosecuritize,andtheCMBStransactionsthatresultarecalledconduitdeals.Theratingagenciesrefertoconduittransactionsasmulti-borrowerdeals.Whenaconduitdealcontainsonelargepropertyformorethan$50millionandthensmallerloans,itisreferredtoasafusionconduitdeal.CommercialMortgage-BackedSecurities
(continued)ServicesAswithanonagencyRMBS,aservicerisrequiredandplaysanimportantrole.Theresponsibilitiesoftheservicerinclude:collectingmonthlyloanpaymentskeepingrecordsrelatingtopaymentsmaintainingpropertyescrowfortaxesandinsurancemonitoringtheconditionofunderlyingpropertiespreparingreportsforthetrusteetransferringcollectedfundstothetrusteeforpaymenttobondholdersCommercialMortgage-BackedSecurities
(continued)ServicesDependingonthetransactions,thereareseveraltypesofservicerswiththethreemostcommontransactionsforCMBSbeing:Thesub-servicer
collectsallpaymentsandgatherspropertyinformation,whichisthensenttothemasterservicer.Themasterservicerisresponsibleforoverseeingthedeal,verifyingthatallservicingagreementsarebeingmaintained,andfacilitatingthetimelypaymentofinterestandprincipal.Thespecialservicerhasdutiesthatariseonlywhenaloanbecomesmorethan60dayspastdue.Typically,thespecialservicerhastheauthoritytoextendtheloan,makeloanmodifications,restructuretheloan,orforecloseontheloanandselltheproperty.CommercialMortgage-BackedSecurities
(continued)AnalysisoftheCollateralTheuniqueeconomiccharacteristicsofeachincome-producingpropertyinapoolbackingaCMBSdealrequirethatcreditanalysisbeperformedonaloan-by-loanbasisnotonlyatthetimeofissuance,butalsobemonitoredonanon-goingbasis.Thestartingpointintheanalysisisaninvestigationoftheunderwritingstandardsoftheoriginatorsoftheloansinthemortgagepool.ForallpropertiesbackingaCMBSdeal,aweighted-averageDSCratioandaweighted-averageLTViscomputed.AnanalysisofthecreditqualityofaCMBSstructurewillalsolookatthedispersionoftheDSCandLTVratiosfortheunderlyingloans.CommercialMortgage-BackedSecurities
(continued)AnalysisoftheCollateralInanalyzingthecollateral,thetypesofincome-producingpropertiesareexamined.Ingeneral,investorspreferdealsthatarenotconcentratedinonepropertytype.FortheBancofAmericaCommercialMortgage,Series2001-1,thedistributionofpropertytypefortheinitialpoolbalanceisshowninExhibit14-6(seeOverhead14-32).Investorsarealsointerestedinthegeographicaldispersionoftheproperties.Theconcernisthatifthepropertieswereconcentratedinonegeographicalregion,investorswouldbeexposedtoeconomicdownturnsthatmaybeuniquetothatgeographicalregion.Exhibit14-6DistributionofPropertyTypeforBancofAmericaCommercialMortgage,Series2001-1PropertyTypeInitialPoolBalance(%)Multifamily30.2Retail9.9*Industrial13.0Office36.3Self-storage3.1Hotel4.2Mobile3.4*BreakdownforRetail:Unanchored,3.1%;ShadowAnchored,0.5%;andAnchored,6.3%CommercialMortgage-BackedSecurities
(continued)StressTestingStructuresAnanalysisofthecreditqualityofthetranchesinaCMBSinvolveslookingatthecommercialloansonaloan-by-loanbasis.Ratingagenciesandanalystswillthenstresstestthestructurewithrespecttoacombinationofdefaultandprepaymentassumptions.CommercialMortgage-BackedSecurities
(continued)StressTestingStructuresInstresstestingdefaultrisk,thefollowingthreekeyassumptionsaremade.Thefirstistheannualrateofdefaultsasmeasuredbytheconditionaldefaultrate(CDR).AnalystsoftenassumeaCDRof2%tostressteststrongdealsand3%totestweakerdeals.Asecondimportantassumptionisthetimingofthedefaults.Adefaultcanoccursometimeearlyinthetermoftheloanorattheballoondate(whenrefinancingisrequired).Athirdimportantassumptionisthepercentageoftheloanbalancethatwillbelostwhenadefaultoccurs.Thismeasureiscalledthelossseverity.CommercialMortgage-BackedSecurities
(continued)StressTestingStructuresToillustratetheimportanceoftheassumptionsonstresstesting,CorcoranandPhillipsusedthreestresstestscenariosforaconduitdealtoassesstheimpactoneachbondclass.Exhibit14–9(seeOverhead14-36)showsthebondclassesinthestructure.Theloansare10-yearballoonloanswitha30-yearamortization.Foreachscenario,thelossseverityassumedwas33%alongwithaCPRofzero.Exhibit14–9showstheresultsoftheanalysisonthespread.Thespreadreportedisa“credit-adjustedspread,”whichisaspreadmeasurebasedoncashflowsadjustedfortheassumeddefaultsforthescenario.Exhibit14–9ScenarioBondSpreadsBaseCase:DefaultScenariosBondClasses0CDR0CPR2CDR0CPRModelDefaults0CPRBalloonDefaultScenario0CPRAAA-5yr98939798AAA-10yr123123123123AA137137137137A160160160160BBB195195195195BBB-275275275271BB575575575556B/B-72522443420B-950-1585-406-220UR1706-2921-16689X450127369475Allrightsreserved.Nopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmitted,inanyformorbyanymeans,electronic,mechanical,photocopying,recording,orotherwise,withoutthepriorwrittenpermissionofthepublisher.PrintedintheUnitedStatesofAmerica.Chapter15
Asset-BackedSecurities
LearningObjectivesAfterreadingthischapter,youwillunderstandhowasset-backedsecuritiesarecreatedthebasicstructureofasecuritizationthepartiestoasecuritizationtheprimarymotivationforraisingfundsviaasecuritizationtheroleofthespecialpurposevehiclethedifferenttypesofstructures:selfliquidatingandrevolvingLearningObjectives
(continued)Afterreadingthischapter,youwillunderstandthevariousformsofcreditenhancementshiftinginterestmechanismandstepdownprovisionsthedifferenttypesofoptionalcallprovisionsthestructureofseveralmajortypesofasset-backedsecuritiesnotbackedbyresidentialmortgageloansthecreditrisksassociatedwithasset-backedsecuritiesandhowtheyareanalyzed.CreationofanABSAsecuritycreatedbypoolingloansotherthanmortgageloansisreferredtoasanasset-backedsecurity(ABS).ToexplainhowanABSiscreatedandthepartiestoasecuritization,thetextbookusesthefollowingillustration.SupposethatExceptionDentalEquipment,Inc.hasabulkofitssalesfrominstallmentcontracts(whereinthebuyeragreestorepayExceptionalDentalEquipment,Inc.,overaspecifiedperiodoftimefortheamountborrowedplusinterest).Thedentalequipmentpurchasedisthecollateralfortheloan.ThecreditdepartmentofExceptionalDentalEquipment,Inc.,makesthedecisionastowhetherornottoextendcredittoacustomer.CreationofanABS(continued)Thecriteriaforgrantingaloanarereferredtoasunderwritingstandards.BecauseExceptionalDentalEquipment,Inc.,isgrantingtheloan,thecompanyisreferredtoastheoriginatoroftheloan.Moreover,ExceptionalDentalEquipment,Inc.,(EDE)mayhaveadepartmentthatisresponsibleforservicingtheloan.Servicinginvolvescollectingpaymentsfromborrowers,notifyingborrowerswhomaybedelinquent,and,whennecessary,recoveringanddisposingofthecollateral(i.e.,thedentalequipmentinourillustration)iftheborrowerfailstomakethecontractualloanpayments.Whiletheserviceroftheloansneednotbetheoriginatoroftheloans,inourillustrationweareassumingthattheoriginator(EDE)isalsotheservicer.CreationofanABS(continued)SupposeEDEhasmorethan$300millionofinstallmentsalescontractsandwantstoraisethisamount.Ratherthanissuingcorporatebondsfor$300million,theEDE’streasurerdecidestoraisethefundsviaasecuritization.Thecriteriaforgrantingaloanarereferredtoasunderwritingstandards.BecauseExceptionalDentalEquipment,Inc.,isgrantingtheloan,thecompanyisreferredtoastheoriginatoroftheloan.Todothis,EDEsetsupalegalentitycalledaspecialpurposevehicle
(SPV)thatiscalledDEAssetTrust(DEAT).EDEwillthenselltoDEAT$300millionoftheloansandsoreceivefromDEAT$300millionincash,theamountoffundsitwantedtoraise.DEATobtainsthe$300millionbysellingsecuritiesthatarebackedbythe$300millionofloans.Thesecuritiesareasset-backedsecurities.CreationofanABS(continued)PartiestoaSecuritizationInourhypotheticalsecuritization,ExceptionalDentalEquipment,Inc.(EDE),isnottheissueroftheABS(althoughitissometimesreferredtoastheissuerbecauseitistheentitythatultimatelyraisesthefunds).Rather,itoriginatedtheloans.Hence,inthistransaction,EDEiscalledthe“seller”becauseitsoldthereceivablestoDEAT.EDEisalsocalledthe“originator”becauseitoriginatedtheloans.DEAT(i.e.,theSPVinthesecuritization)isreferredtoasthe“issuer”or“trust”intheprospectus.CreationofanABS(continued)PartiestoaSecuritizationWhileinoursimpletransactionEDEmanufacturedthedentalequipmentandoriginatedtheloans,thereisanothertypeofsecuritizationtransactioninvolvinganothercompany(calledaconduit)thatbuystheloansandsecuritizesthem.AconduitthatfinancesdentalequipmentmanufactureswouldwarehousetheinstallmentcontractspurchaseduntilithadasufficientamounttoselltoanSPV,whichwouldthenissuetheABS.Therewillbeatrusteeforthesecuritiesissued.Theresponsibilitiesofthetrusteearetorepresenttheinterestsofthebondclassesbymonitoringcompliancewithcovenantsandintheeventofdefaultenforceremediesasspecifiedinthegoverningdocuments.CreationofanABS(continued)Two-StepSecuritizationThepreviousdescriptionofthepartiestoasecuritizationisreferredtoasa“one-stepsecuritization.”Forcertainreasonsthatarenotimportanttoinvestors,asecuritizationmightinvolvetwoSPVsinordertoensurethatthetransactionisconsideredatruesalefortaxpurposes.OneSPViscalledanintermediateSPV,whichisawhollyownedsubsidiaryoftheoriginatorandhasrestrictionsonitsactivities.ItistheintermediateSPVthatpurchasestheassetsfromtheoriginator.TheintermediateSPVthensellstheassetstotheSPVthatissuestheasset-backedsecurities(i.e.,theissuingentity).Intheprospectusforasecuritizationtransaction,theintermediateSPVisreferredtoasthedepositor.CreationofanABS(continued)TransactionStructureIncreatingthevariousbondclasses(ortranches)inasecuritization,therewillberulesfordistributionofprincipalandinterest.Allasset-backedsecuritiesarecreditenhanced.Creditenhancementlevelsaredeterminedrelativetoaspecificratingdesiredbytheseller/servicerforasecuritybyeachratingagency.CreationofanABS(continued)RoleoftheSPVTounderstandtheroleoftheSPV,weneedtounderstandwhyacorporationwouldwanttoraisefundsviasecuritizationratherthansimplyissuecorporatebonds.Therearefourprincipalreasonswhyacorporationmayelecttoraisefundsviaasecuritizationratherthanacorporatebond:potentialtoreducefundingcoststodiversifyfundingsourcestoaccelerateearningsforfinancialreportingpurposestoachieve(ifaregulatedentity)relieffromcapitalrequirementsCreationofanABS(continued)RoletheSPVLetusfocusonthefirstofthesereasons(e.g.,potentialtoreducefundingcosts)toseethecriticalroleoftheSPVinasecuritization.SupposethatExceptionalDentalEquipment,Inc.(EDE),hasaBBcreditrating.Ifitwantstoraisefundsequalto$300millionbyissuingacorporatebond,itsfundingcostthegoingrateforafirmwithaBBcreditrating.IfEDEdefaultsonanyofitsoutstandingdebt,thecreditorswillgoafterallofitsassets,includingtheloanstoitscustomers.CreationofanABS(continued)RoletheSPVSupposethatEDEcancreatealegalentityandselltheloanstothatentity.Thatentityisthespecialpurposevehicle(SPV).Inourillustration,theSPVisDEAT.IfthesaleoftheloansbyEDEtoDEATisdoneproperly,DEATthenlegallyownsthereceivables,notEDE.Asaresult,ifEDEiseverforcedintobank
温馨提示
- 1. 本站所有资源如无特殊说明,都需要本地电脑安装OFFICE2007和PDF阅读器。图纸软件为CAD,CAXA,PROE,UG,SolidWorks等.压缩文件请下载最新的WinRAR软件解压。
- 2. 本站的文档不包含任何第三方提供的附件图纸等,如果需要附件,请联系上传者。文件的所有权益归上传用户所有。
- 3. 本站RAR压缩包中若带图纸,网页内容里面会有图纸预览,若没有图纸预览就没有图纸。
- 4. 未经权益所有人同意不得将文件中的内容挪作商业或盈利用途。
- 5. 人人文库网仅提供信息存储空间,仅对用户上传内容的表现方式做保护处理,对用户上传分享的文档内容本身不做任何修改或编辑,并不能对任何下载内容负责。
- 6. 下载文件中如有侵权或不适当内容,请与我们联系,我们立即纠正。
- 7. 本站不保证下载资源的准确性、安全性和完整性, 同时也不承担用户因使用这些下载资源对自己和他人造成任何形式的伤害或损失。
最新文档
- 2024年穿水冷却装置项目建议书
- 2024年矿用防爆电器项目发展计划
- 2024年胸腔心血管外科手术器械项目建议书
- 2024年网络接口适配器项目建议书
- 2024年高性能预应力钢丝项目建议书
- 2024年枕头合作协议书
- 电玩城装修合同范例
- 金融机构装修质保合同
- 石油化工车间装修协议
- 矿山车辆运输安全协议
- 钢结构检验批(共16页)
- 现代水轮机调速系统课件
- 海思终端芯片ATE技术手册
- 水利工程特点、难点、重点及监理监控要点【精选文档】
- 钢结构检测报告模板(含检测原始记录).doc
- 国家电网公司用电信息采集系统运行维护管理办法
- 词语接龙教学计划(共2页)
- CNAS-EC-017_2017《认证机构认可风险分级管理办法》
- 吉林停工留薪期分类目录
- 旅行社行政岗位职责
- 培育职业烟农的重要性及对策
评论
0/150
提交评论