Securitization law and practice: in the face of the credit crunch
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Alphen aan den Rijn [u.a.]
Wolters Kluwer Law & Business [u.a.]
2008
|
| Series: | International banking and finance law series
8 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXXIV, 480 S. graph. Darst. |
| ISBN: | 9789041127150 9041127151 |
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MARC
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| 245 | 1 | 0 | |a Securitization law and practice |b in the face of the credit crunch |c Jan Job de Vries Robbé |
| 264 | 1 | |a Alphen aan den Rijn [u.a.] |b Wolters Kluwer Law & Business [u.a.] |c 2008 | |
| 300 | |a XXXIV, 480 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a International banking and finance law series |v 8 | |
| 650 | 4 | |a Recht | |
| 650 | 4 | |a Security (Law) | |
| 650 | 4 | |a Asset-backed financing |x Law and legislation | |
| 655 | 7 | |a Internet resources |2 gtlm | |
| 830 | 0 | |a International banking and finance law series |v 8 |w (DE-604)BV021464333 |9 8 | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-016798236 | ||
Record in the Search Index
| _version_ | 1804138113060044800 |
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| adam_text | TABLE OF CONTENTS LIST OF ABBREVIATIONS XXVII ABOUT THE AUTHOR FOREWORD
INTRODUCTION ACKNOWLEDGEMENTS PARTI BUILDING BLOCKS CHAPTER 1
INTRODUCTION 1.01 1.02 1.03 1.04 1.05 DEFINITION RATIONALE 1.02.1
FUNDING 1.02.2 REGULATORY CAPITAL RELIEF 1.02.3 ARBITRAGE 1.02.4 BALANCE
SHEET CONSIDERATIONS SECURITIZATION TYPES 1.03.1 TRUE SALE 1.03.2
SYNTHETIC 1.03.3 WHOLE BUSINESS ASSET CLASSES SUB-PRIME CRISIS AND THE
CREDIT CRUNCH XXIX XXXI XXXIII XXXV 3 3 3 3 4 5 5 5 6 6 6 6 7 VIII TABLE
OF CONTENTS CHAPTER 2 STRUCTURE AND DOCUMENTATION 9 I INTRODUCTION 9
2.01 INTRODUCTION 9 2.02 CHAPTER SET-UP 9 2.03 DOCUMENTATION 10 II THE
ORIGINATOR PERSPECTIVE 11 A ORIGINATOR 11 2.04 ORIGINATOR 11 2.05 ASSET
SELECTION 12 2.06 ORIGINATE/WAREHOUSE/DISTRIBUTE (OWD) 12 2.07 ARRANGER
13 B SPV 15 2.08 PURPOSE 15 2.09 NO SPV 15 2.10 DIFFERENT SPVS 16 2.11
JURISDICTION 16 2.12 BANKRUPTCY REMOTENESS 16 2.12.1 SPV CONTROL 17
2.12.2 BUSINESS RESTRICTIONS 17 2.12.3 NOTE HOLDERS RESTRICTIONS 17
2.12.4 LIMITED RECOURSE 18 2.12.5 NON-PETITION 18 2.13 MULTIPLE ISSUES
18 C TRUE SALE 19 2.14 INTRODUCTION 19 2.15 TRUE SALE 19 2.16
RECEIVABLES 20 2.17 MAIN LEGAL ISSUES 20 2.18 ASSETS ASSIGNABLE UNDER
CONTRACT 20 2.19 ASSIGNMENT 21 2.20 TITLE PERFECTION EVENTS 22 2.21
CLAW-BACK 23 2.21.1 TRANSACTION AT AN UNDERVALUE 23 2.21.2 VOIDABLE
PREFERENCE 24 2.21.3 DEFRAUDING CREDITORS 24 2.22 ADDRESSING CLAW-BACK
RISK 25 2.23 RE-CHARACTERIZATION 25 2.24 RE-CHARACTERIZATION IN
SECURITIZATION 26 2.25 DUE DILIGENCE 27 2.26 PURCHASE AGREEMENT 27 2.27
SECURITIZATION WITHOUT A SALE 28 2.28 WAREHOUSE FACILITIES 28 2.29
RE-ASSIGNMENT/SUBSTITUTION 29 D CREDIT RISK TRANSFER 30 TABLE OF
CONTENTS IX 2.30 MEANS TO TRANSFER CREDIT RISK 30 2.31 CREDIT DEFAULT
SWAP 30 2.32 GENERIC RISKS IN SYNTHETIC TRANSACTIONS 30 2.32.1
ORIGINATOR RISK 31 2.32.2 DOCUMENTATION RISK 31 2.32.3 TERMINATION RISK
31 2.32.4 NO RECOURSE 32 2.33 GREEN BOTTLE STRUCTURE 32 2.34 PARTIALLY
FUNDED 33 2.35 COST EFFICIENCY 33 2.36 SUPER SENIOR SWAP 34 E THE
BORROWERS/DEBTORS 34 2.37 DATA PROTECTION 34 2.38 COMMINGLING 35 III THE
LIABILITY SIDE 36 A THE NOTE HOLDERS 36 2.39 NOTE HOLDERS 36 36 37 B
TRUSTEE 37 37 37 37 38 38 40 40 41 41 42 43 43 43 45 D RATING AGENCIES
45 45 47 47 47 47 48 48 48 48 49 50 2.40 2.41 PROSPECTUS RETAIL
INVESTORS TRUSTEE 2.42 2.43 2.44 2.45 2.46 2.47 2.48 2.49 2.50 2.51 2.52
TRANSFERABILITY TRUSTEE ROLES SECURITY TRUSTEE SECURITY PACKAGE DEED OF
CHARGE CONTEXT SPV ASSETS TRUST DEED ROLE DISCRETION LIABILITY SERVICER
2.53 2.54 RATING 2.55 2.56 2.57 SERVICER RATING AGENCY PROVISIONS
AGENCIES RATING AGENCIES PRE-SALE REPORTS KEY RATING AGENCY TERMS THE
NOTES 2.58 2.59 TERMS 2.60 2.61 2.62 2.63 TRANCHING NOTE TYPES AND
CONDITIONS OF THE NOTES KEY TERMS WATERFALL PRE-DEFAULT WATERFALL
POST-DEFAULT WATERFALL IV 2.64 2.65 2.66 2.67 2.68 2.69 2.70 2.71 2.72
2.73 2.74 ISSUES FOR WATERFALLS REDEMPTION OF THE NOTES OPTIONAL
TERMINATION OPTIONAL TERMINATION IN SYNTHETICS MANDATORY REDEMPTION
FINAL REDEMPTION DEFERRED REDEMPTION NOTE EVENT OF DEFAULTS 2.71.1
FAILURE TO PAY 2.71.2 OTHER NON-COMPLIANCE 2.71.3 SPV EVENTS 2.71.4
STRUCTURAL EVENTS OF DEFAULT 2.71.5 CONSEQUENCES NOTE COVENANTS RAMP-UP
NEGATIVE CARRY G INFORMING INVESTORS 2.75 2.76 2.77 2.78 2.79 2.80 2.81
2.82 ASSETS 2.83 2.84 INFORMING INVESTORS FINANCIAL REPORTING REPORTING
IN PRACTICE MEASURING PERFORMANCE BEST PRACTICE BENCHMARKING SELECTIVE
DISCLOSURE MIS-SELLING ASSET ELIGIBILITY CDO STRUCTURE A MATCHED FUNDING
2.85 2.86 2.87 B CREDIT 2.88 2.89 2.90 MATCHED FUNDING DOCUMENTATION
SET-OFF 2.87.1 SET-OFF IN SECURITIZATION 2.87.2 SET-OFF AND ORIGINATOR
2.87.3 SET-OFF AND INSOLVENCY 2.87.4 SET-OFF AND ACCOUNT BANK
ENHANCEMENT CREDIT ENHANCEMENT 2.88.1 TRANCHING/SUBORDINATION 2.88.2
OVER-COLLATERALIZATION 2.88.3 MONOLINE INSURANCE 2.88.4 RESERVE FUNDS
2.88.5 EXCESS SPREAD 2.88.6 SYNTHETIC EXCESS SPREAD CHOICE OTHER
STRUCTURAL FEATURES TABLE OF CONTENTS 51 51 51 52 53 54 54 55 55 55 55
56 56 56 57 57 58 58 59 60 61 61 62 62 62 63 63 63 64 64 64 64 65 65 66
66 67 67 67 67 68 70 70 71 72 72 TABLE OF CONTENTS XI 2.90.1 CASH
DIVERSION 72 2.90.2 TURBO 73 C STATIC AND DYNAMIC POOLS 73 73 74 74 74
75 75 77 78 78 79 79 79 80 80 80 81 81 81 81 82 82 82 82 83 83 83 84 84
85 85 86 86 86 86 87 87 88 88 88 89 89 D OTHER DOCUMENTATION 89 2.124
OTHER DOCUMENTATION 89 2.91 2.92 2.93 2.94 2.95 2.96 2.97 2.98 2.99
DYNAMIC POOLS STATIC POOLS REPLENISHMENT SUBSTITUTION REVOLVING
TRANSACTIONS MANAGED TRANSACTIONS COLLATERAL MANAGER MANAGER REPORTS
ADDITIONAL RISKS D BALANCING INTERESTS 2.100 2.101 2.102 BALANCING
INTERESTS ALIGNING THE NOTE HOLDERS ALIGNING THE COLLATERAL MANAGER
2.102.1 WATERFALL 2.102.2 FEE STRUCTURE 2.102.3 CHURNING OTHER
STRUCTURAL RISKS A COUNTERPARTY RISK 2.103 B SWAP 2.104 2.105 2.106
2.107 2.108 2.109 2.110 2.111 2.112 2.113 2.114 COUNTERPARTY RISK
COUNTERPARTIES SWAP COUNTERPARTIES RATING AGENCY RELIANCE INTEREST RATE
RISK: TRUE SALE INTEREST RATE: SYNTHETIC CURRENCY RISK AMORTIZING SWAPS
RATING AGENCY CRITERIA BANK SWAP COUNTERPARTY SCHEDULE ADAPTATIONS
CONSEQUENCES OF EARLY TERMINATION TERMINATION PAYMENTS C COLLATERAL RISK
2.115 2.116 2.117 2.118 2.119 2.120 2.121 2.122 2.123 COLLATERAL RISK
ADDRESSING COLLATERAL RISK ELIGIBLE COLLATERAL COLLATERAL IN SYNTHETIC
DEALS REPURCHASE AGREEMENT PUT OPTION TOTAL RETURN SWAP DERIVATIVE
COUNTERPARTY ELIGIBILITY DEPOSIT BANK XII 2.125 2.126 2.127 TABLE CASH
MANAGEMENT AGREEMENT GIC LIQUIDITY FACILITY VI EXECUTION AND
POST-CLOSING 2.128 2.129 2.130 PARTN EXECUTION CONDITIONS PRECEDENT
LEGAL OPINION SYNTHETIC STRUCTURES CHAPTER 3 CREDIT DERIVATIVES I
INTRODUCTION A INTRODUCTION 3.01 3.02 3.03 B TRADING 3.04 3.05 3.06 3.07
3.08 3.09 3.10 3.11 INTRODUCTION PURPOSE CHAPTER SET-UP CREDIT RISK
CREDIT RISK MANAGEMENT ADJUSTMENT OF CONTRACTUAL TERMS GUARANTEES CREDIT
WRAP INSURANCE CONTRACTS LOAN SYNDICATIONS SECURITIZATION PARTICIPATIONS
C CREDIT DERIVATIVES 3.12 3.13 3.14 3.15 3.16 3.17 3.18 3.19 3.20 3.21
II DRIVERS AND A DRIVERS 3.22 DEFINITION PARTIES TO CREDIT DERIVATIVE
TRANSACTION CHARACTERISTICS 3.14.1 TRADE CREDIT RISK ONLY 3.14.2 NO NEED
FOR TRANSFER OF UNDERLYING 3.14.3 UNFUNDED AND LEVERAGED INSTRUMENT
3.14.4 (NO) RELATIONSHIP WITH REFERENCE ENTITY 3.14.5 FLEXIBILITY CREDIT
DERIVATIVES MARKET CRT REPORT COMPARISON WITH EMERGENCE OF IRS
RELATIONSHIP WITH CORPORATE BOND MARKET COMMON CREDIT DERIVATIVE
PRODUCTS. MARKET PARTICIPANTS LIQUIDITY RISKS CREDIT DERIVATIVES DRIVERS
OF CONTENTS 90 90 91 91 91 92 92 95 97 97 97 97 97 98 98 98 98 99 100
101 102 103 104 105 105 106 107 107 107 107 108 108 108 109 110 110 110
111 112 112 112 112 TABLE OF CONTENTS 3.23 3.24 3.25 3.26 3.27 3.28 3.29
3.30 3.31 3.32 B RISKS 3.33 3.34 3.35 3.36 3.37 3.38 3.39 3.40 3.41 3.42
3.43 3.44 3.45 CREDIT RISK MANAGEMENT TRADING TOOL ARBITRAGE REGULATORY
CAPITAL RELIEF REQUIREMENTS AS TO LEGAL DOCUMENTATION ADDITIONAL
REQUIREMENTS CONFIDENTIALITY TRANSPARENT PRICING ACCESSIBILITY
CROSS-SECTOR TRANSFER RISKS IN CREDIT DERIVATIVES 3.33.1 COUNTERPARTY
RISK 3.33.2 CONCENTRATION RISK 3.33.3 CORRELATION RISK 3.33.4 BASIS RISK
3.33.5 LIQUIDITY RISK 3.33.6 OPERATIONAL RISK LEGAL RISKS AUTHORITY RISK
MISREPRESENTATION DOCUMENTATION RISK MORAL HAZARD RE-CHARACTERIZATION
RISK GAMBLING CONTRACT CONTRACT OF INSURANCE: RELEVANCE DISTINGUISHING
FROM INSURANCE CONTRACT 3.42.1 NO INDEMNITY 3.42.2. NO INSURABLE
INTEREST 3.42.3 NO PROOF OF LOSS 3.42.4 INTENTION OF THE PARTIES 3.42.5
LACK OF RECOURSE 3.42.6 FLOODGATES MITIGATING RE-CHARACTERIZATION RISK
COMPLIANCE RISK REAULATORV RISK XM 113 113 113 114 115 116 117 118 118
119 119 119 120 121 121 122 122 123 124 124 125 127 128 129 129 130 131
132 133 133 133 133 134 134 135 135 III CREDIT DERIVATIVES DOCUMENTATION
135 A DOCUMENTATION STRUCTURE 135 3.46 DOCUMENTATION 135 3.47 ISDA
MASTER AGREEMENT 135 3.48 CREDIT DERIVATIVES DEFINITIONS 136 3.49
CONFIRMATIONS 137 B TYPES OF CREDIT DERIVATIVES 137 3.50 TYPES OF CREDIT
DERIVATIVES 137 3.51 CREDIT DEFAULT SWAP 138 3.52 TOTAL RETURN SWAP 138
3.53 CREDIT SPREAD TRANSACTION 139 XIV TABLE OF CONTENTS C CREDIT
DEFAULT SWAP 139 3.54 CREDIT DEFAULT TRANSACTION 139 3.55 UNFUNDED
NOTIONAL INSTRUMENT 140 3.56 CASH FLOW 140 3.57 KEY PILLARS 141 3.58
REFERENCE ENTITIES 141 3.59 IDENTITY OF REFERENCE ENTITY 142 3.60
SUCCESSOR ENTITY 142 3.61 REFERENCE OBLIGATION 143 3.62 CALCULATION
AGENT 143 D CREDIT EVENTS 144 3.63 CREDIT EVENTS 144 3.64 STANDARD
CREDIT EVENTS IN OTC MARKET 145 3.65 BANKRUPTCY 145 3.66 FAILURE TO PAY
146 3.67 RESTRUCTURING 148 3.68 CONTENTIOUS 148 3.69 MULTIPLE HOLDER
OBLIGATION 149 3.70 BIFURCATION 149 3.71 REPUDIATION 150 3.72 BACK TO
BACK TRANSACTIONS 150 3.73 SOFT CREDIT EVENTS 152 3.74 OBLIGATIONS 153
3.75 OBLIGATION CATEGORIES 154 3.76 GUARANTEES 154 3.77 OBLIGATION
CHARACTERISTICS 155 3.78 CONDITIONS TO SETTLEMENT 155 3.79 CREDIT EVENT
NOTICE 156 3.80 NOTICE OF PUBLICLY AVAILABLE INFORMATION 157 3.81 NOTICE
OF PHYSICAL SETTLEMENT 158 E SETTLEMENT 158 3.82 TWO FORMS OF SETTLEMENT
158 3.83 PHYSICAL SETTLEMENT 158 3.84 TIMELINE 159 3.85 ADVANTAGES OF
PHYSICAL SETTLEMENT 159 3.86 DELIVERY 160 3.87 DELIVERABLE OBLIGATIONS
161 3.88 DELIVERABLE OBLIGATION CATEGORY 161 3.89 DELIVERABLE OBLIGATION
CHARACTERISTICS 161 3.90 RISKS IN PHYSICAL SETTLEMENT 162 3.91 DEFINING
DELIVERABLE OBLIGATIONS 162 3.92 UNAVAILABILITY 163 3.93 CHEAPEST TO
DELIVER OPTION 166 3.94 FLUCTUATIONS IN THE MARKET 166 3.95 CDS AND
BONDHOLDER POSITIONS 168 3.96 MOVE TO CASH SETTLEMENT 169 TABLE OF
CONTENTS XV 3.97 CASH SETTLEMENT 169 3.98 PREPAYMENT 170 3.99
STANDARDIZATION 171 3.99.1 MASTER CONFIRMATIONS 171 3.99.2 CDS MATRICES
173 3.99.3 UNWINDING TRANSACTIONS 173 3.99.4 NOVATION 174 174 175 175
175 176 176 176 176 176 177 178 178 181 181 182 182 183 185 186 187 188
188 188 188 189 189 190 190 192 192 C TOTAL RETURN SWAP PRODUCTS 195
3.122 TRS PRODUCTS 195 CHAPTER 4 COLLATERALIZED LOAN OBLIGATIONS (CLOS)
AND COLLATERALIZED DEBT OBLIGATIONS (CDOS) 197 I INTRODUCTION 197 4.01
CDOS 197 4.02 CDO IN THE SQUEEZE 197 3.100 IV STRUCTURED EXCHANGE-LISTED
CREDIT DERIVATIVES CREDIT A INTRODUCTION 3.101 3.102 B CREDIT 3.103
3.104 3.105 3.106 3.107 3.108 3.109 3.110 3.111 3.112 3.113 3.114 3.115
3.116 3.117 3.118 3.119 3.120 3.121 WORK IN PROGRESS STRUCTURED CREDIT
PRODUCTS DEFAULT SWAP PRODUCTS CREDIT DEFAULT SWAP PRODUCTS FIRST: CDS
VARIATIONS SELF-REFERENCING CDS RECOVERY LOCK CDS CONTINGENT CDS
LOAN-ONLY CDS CONSTANT MATURITY CDS CD SWAPTIONS SECOND: CDS ON
SECURITIZED PRODUCTS CDS ON ABS DOCUMENTATION CREDIT EVENTS IN CDS ON
ABS 3.114.1 BANKRUPTCY 3.114.2 FAILURE TO PAY 3.114.3 FAILURE TO PAY
PRINCIPAL 3.114.4 LOSS EVENT 3.114.5 RATINGS DOWNGRADE SETTLEMENT THIRD:
PORTFOLIO PRODUCTS PORTFOLIO CDS FIRST-TO-DEFAULT CDS CREDIT INDICES
SETTLEMENT PROTOCOLS DOCUMENTATION XVI II 4.03 SYNTHETIC CLOS A
INTRODUCTION 4.04 4.05 B DRIVERS AND 4.06 4.07 4.08 4.09 TABLE CDO
BATTLEGROUND DEFINITION MARKET RISKS DRIVERS IN SYNTHETIC CLOS RISKS IN
SYNTHETIC CLOS NO CONTRACTUAL RELATIONSHIP CONFLICTS OF INTEREST 4.09.1
CHERRY PICKING 4.09.2 CONFLICT OF INTEREST: SERVICER 4.09.3 CONFLICT OF
INTEREST: ORIGINATOR 4.09.4 COMPLIANCE OF REFERENCE ASSETS 4.09.5
VALUATION OF THE REFERENCE ASSET C STRUCTURE AND DOCUMENTATION I
STRUCTURE AND DUE DILIGENCE 4.10 4.11 4.12 BASIC CLO STRUCTURE PREAMBLE
DUE DILIGENCE 4.11.1 DISCLOSURE 4.11.2 DELIVERABILITY NO CASH FLOW
RESTRICTIONS II DOCUMENTATION 4.13 4.14 4.15 4.16 4.17 4.18 4.19 4.20
4.21 4.22 4.23 4.24 4.25 D TRANSACTIONS 4.26 DOCUMENTATION OVERVIEW
CREDIT EVENTS CONDITIONS FOR SETTLEMENT SETTLEMENT 4.16.1 MARKET
VALUATION 4.16.2 ACTUAL RECOVERY 4.16.3 FIXED RECOVERY TOTAL RETURN
SWAPS ISDA MASTER AGREEMENT SUPER SENIOR SWAP CREDIT-LINKED NOTES
COMBINATION NOTES TERMS AND CONDITIONS 4.22.1 NOTE EVENTS OF DEFAULT
4.22.2 EARLY REDEMPTION 4.22.3 WATERFALL TERMINATION PAYMENTS COLLATERAL
4.24.1 REPURCHASE AGREEMENTS 4.24.2 CONTINGENT FORWARD AGREEMENT HEDGES
S IN PRACTICE ASSET CLASSES OF CONTENTS 198 199 199 199 199 199 199 200
200 201 201 202 202 203 203 204 204 204 205 205 205 206 206 206 207 208
209 210 211 212 213 214 214 215 216 216 216 217 217 218 219 220 220 220
221 221 TABLE OF CONTENTS I CORPORATE LOANS 4.27 4.28 4.29 4.30 4.31
4.32 4.33 4.34 4.35 4.36 4.37 4.38 4.39 4.40 II SME ] 4.41 4.42 4.43
4.44 4.45 4.46 4.47 4.48 4.49 4.50 4.51 4.52 4.53 4.54 4.55 4.56
BILATERAL LOANS CLOS REGULATORY CAPITAL RELIEF STRUCTURAL FEATURES TERM
SHEET SECTORAL CREDIT RISK TRANSFER BANK INTERMEDIARY STRUCTURE
DOCUMENTATION SETTLEMENT JUMBO SYNTHETIC CLO DIVERSIFIED POOL OF
REFERENCE LOANS REFERENCE PORTFOLIO CHARACTERISTICS FUNDING AND/OR
CAPITAL RELIEF CLOS IN THE ASIA-PACIFIC LOANS SME LOANS CLOS MARKET KFW
PLATFORM ORIGINATORS STRUCTURE TYPICAL TRANSACTION UNDER KFW PLATFORM
SUB-PARTICIPATION LISTING REPLENISHMENT CASH SETTLEMENT TRUSTEE EARLY
TERMINATION SPECIAL FEATURES MODIFICATIONS JUMBO SME SME LOAN CRITERIA
III SOVEREIGN LOANS 4.57 4.58 4.59 4.60 4.61 IV PROJECI 4.62 4.63 4.64
4.65 4.66 4.67 4.68 SOVEREIGN LOANS ARIES CREDIT EVENTS CONDITIONS TO
SETTLEMENT CASH SETTLEMENT T FINANCE LOANS PROJECT FINANCE CLO PPP AND
PFI PFI PRINCIPLES LENGTH STRUCTURE STANDARD DOCUMENTATION RISK IN
PROJECT FINANCE LOANS XVII 221 221 222 222 222 223 224 224 225 225 226
226 226 227 227 228 228 228 228 229 229 229 230 231 231 231 232 232 233
233 233 234 234 234 235 235 235 236 236 236 237 237 237 238 238 238
XVIII TABLE OF CONTENTS 4.69 FURTHER RISKS 239 4.69.1 AVAILABILITY AND
OPERATING RISK 239 4.69.2 DEMAND RISK 240 4.69.3 SUPERVENING EVENTS 240
4.69.4 DEPENDENCY ON MONOLINES 241 4.70 ELIGIBILITY CRITERIA 241 4.71
LOAN LEVEL CRITERIA 241 4.72 FIRST SYNTHETIC CDOS OF PFI LOANS 242 4.73
TRANSACTION STRUCTURE 242 4.74 TWO ORIGINATORS 243 4.75 REFERENCE LOANS
243 4.76 REPLENISHMENT 243 4.77 CREDIT EVENTS 244 4.77.1 BANKRUPTCY 244
4.77.2 FAILURE TO PAY 244 4.77.3 RESTRUCTURING 245 4.78 SYNDICATE 245
4.79 VALUATION PROCESS 246 4.80 CASH SETTLEMENT 246 4.81 CREDIT-LINKED
NOTES 247 4.82 TENOR 247 4.83 RE-CHARACTERIZATION 248 4.84 REGULATORY
CAPITAL 248 4.85 FURTHER TRANSACTIONS 249 VI EMERGING MARKETS 250 4.86
EMERGING MARKET 250 4.87 EMERGING MARKET CLO RISK 250 4.88 SOVEREIGN 251
4.89 MULTILATERALS 251 4.90 THE ROLE OF LOCAL LAW 252 IH SYNTHETIC CDOS
252 A INTRODUCTION 252 4.91 SYNTHETIC CDO 252 4.92 RATIONALE 252 4.93
DIFFERENCES WITH CLOS 253 4.94 CHAPTER SET-UP 253 B MANAGED SYNTHETIC
CDOS 253 4.95 DEFINITION 253 4.96 OTHER DEBT 253 4.97 SOVEREIGN RISK 254
4.98 GEOGRAPHY 255 I DRIVERS AND RISKS 255 4.99 DRIVERS 255 4.100
ARBITRAGE 255 4.101 DIVERSIFICATION 256 TABLE OF CONTENTS 4.102 4.103
4.104 4.105 RATING STABILITY CONSEQUENCES MANAGER ROLE RISKS 4.105.1
MANAGERIAL EXPERTISE 4.105.2 MANAGER DISCRETION 4.105.3 KEY MAN RISK
4.105.4 MORAL HAZARD 4.105.5 FEES II STRUCTURE 4.106 4.107 4.108 4.109
4.110 4.111 TRADING IN SYNTHETIC CDOS CONTROLS ELIGIBILITY CRITERIA
TRADING GAINS AND LOSSES RE-INVESTMENT LOSS TRIGGERS III DOCUMENTATION
4.112 4.113 4.114 CREDIT DEFAULT SWAP RESPONSIBILITIES FEE STRUCTURE C
RETAIL CDOS 4.115 4.116 4.117 RETAIL CDOS INVESTOR DISCLOSURE LEGAL
ISSUES D COLLATERALIZED SWAP OBLIGATIONS 4.118 I DRIVERS 4.119 CSO J AND
RISKS KEY DRIVERS II STRUCTURE 4.120 4.121 4.122 4.123 4.124 STRUCTURAL
ISSUES DEALERS INVESTOR BENEFIT INTERMEDIARY SWAPS BULLET STRUCTURE III
DOCUMENTATION 4.125 4.126 4.127 4.128 4.129 4.130 4.131 4.132 4.133
DOCUMENTATION DOCUMENTATION PHYSICAL SETTLEMENT FURTHER TERMS OTHER USES
OF CDS OFFSETTING CDS NAKED CDS DISCLOSURE CSA XIX 256 257 257 257 258
258 258 259 259 259 259 260 260 261 261 261 262 262 262 262 263 263 263
264 264 264 265 265 266 266 266 267 267 267 268 268 268 269 270 271 271
272 273 273 E SINGLE TRANCHE CDO 273 XX 4.134 SINGLE TRANCHE CDO I
DRIVERS AND RISKS 4.135 TAILORED PRODUCT 4.136 HEDGING TECHNOLOGY II
STRUCTURE 4.137 ATTACHMENT AND DETACHMENT POINTS III DOCUMENTATION 4.138
TERM SHEET STRUCTURED FINANCE CDOS 4.139 STRUCTURED FINANCE CDO 4.140
PRODUCTS 4.141 MARKET I DRIVERS AND RISKS 4.142 DRIVERS 4.143 LEVERAGE
4.144 RISKS 4.145 OVERLAP AND CORRELATION 4.146 THE UNDERLYING PRODUCT:
CDS OF ABS 4.147 DRIVERS 4.148 COLLATERAL MANAGERS 4.149 ORIGINATORS AND
ISSUERS II STRUCTURE 4.150 STRUCTURE 4.151 CROSS-SUBORDINATION 4.152
COLLATERAL ARRANGEMENTS 4.153 MANAGING STRUCTURED FINANCE CDOS III
DOCUMENTATION 4.154 DIFFUSE DOCUMENTATION 4.155 DISCLOSURE 4.156
AMORTIZATION 4.157 (PUBLICLY) AVAILABLE INFORMATION 4.158 CREDIT EVENTS
4.158.1 BANKRUPTCY 4.158.2 RESTRUCTURING 4.158.3 FAILURE TO PAY 4.158.4
PIK SECURITIES 4.158.5 PRINCIPAL REDUCTION 4.158.6 FAILURE TO PAY ABS
4.159 RATINGS DOWNGRADE 4.160 RATING AGENCIES ROLE 4.161 CASH
SETTLEMENT: VALUATION 4.162 CASH SETTLEMENT 4.163 CREDIT-LINKED NOTES
4.164 REDEMPTION 4.165 HOLDBACK AMOUNT 4.166 WATERFALL TABLE OF CONTENTS
273 274 274 275 275 275 276 276 276 276 276 277 277 277 278 278 279 279
279 280 280 280 280 281 282 282 282 282 283 283 284 284 284 285 285 286
286 286 287 287 287 288 288 288 289 289 TABLE OF CONTENTS 4.167
TERMINATION PAYMENTS 4.168 RE-CHARACTERIZATION 4.169 INSURANCE 4.170
PARTIES INTENTION 4.171 MIS-SELLING 4.172 SETTLEMENT 4.173 DRAFTING
PROCESS G HYBRID AND ESOTERIC CDOS CHAPTER 5 4.174 HYBRID CDOS 4.175
LIQUIDITY FACILITIES 4.176 ALTERNATIVE CDOS NON-CREDIT RISK
SECURITIZATION I INTRODUCTION 5.01 INTRODUCTION II EQUITY RISK
SECURITIZATION A INTRODUCTION 5.02 5.03 5.04 5.05 MARKET DRIVERS RISK
INVESTOR CONSIDERATIONS B STRUCTURE 5.06 5.07 5.08 5.09 5.10 5.11 5.12
5.13 5.14 EQUITY DEFAULT SWAP DIGITAL PUT OPTION DISTINCT FROM A CDS
NATURE OF RISK BENCHMARK RECOVERY AND EQUITY AMOUNT TRANSPARENCY EDO/ECO
SECURITIZATION OF EQUITY RISK C DOCUMENTATION 5.15 5.16 5.17 5.18 5.19
5.20 5.21 DEFINITIONS SPECIFIC ISSUES MARKET DISRUPTION EXTRAORDINARY
EVENTS OVERLAP DISCLOSURE RECHARACTERIZATION D TRANSACTIONS IN PRACTICE
5.22 5.23 5.24 5.25 5.26 EXAMPLE TRANSACTIONS PUBLIC RATING ACEO MANAGED
TRANSACTIONS CONCLUSION XXI 290 290 291 291 292 293 293 294 294 294 295
297 297 297 297 297 297 298 299 299 301 301 301 302 303 303 303 303 304
304 305 305 305 306 307 308 308 308 309 309 309 310 310 311 XXII TABLE
OF CONTENTS III COMMODITY RISK SECURITIZATION 311 A INTRODUCTION 311
5.27 COMMODITY RISK 311 5.28 MARKET 312 5.29 DRIVERS 313 B STRUCTURE AND
DOCUMENTATION 313 313 314 315 315 317 318 318 320 321 322 323 323 324
324 325 326 326 327 327 327 327 328 328 328 329 331 CHAPTER 6 MANAGED
FUND-STYLE SECURITIZATION 333 PAUL U. AH I INTRODUCTION 333 II MANAGED
FUNDS AND DEBT RETURNS 335 III A SECONDARY MARKET IN LIFE INSURANCE
POLICIES 337 IV SECURITIZING LIFE INSURANCE POLICIES 339 V INSURABLE
INTEREST RISK 341 VI SECURITIZING PRIVATE EQUITY FUNDS AND HEDGE FUNDS
342 VII CONCLUSION 346 5.30 5.31 5.32 5.33 5.34 ISDA FRAMEWORK COMMODITY
SWAP MARKET DISRUPTION COMMODITY TRIGGER SWAPS SECURITIZATION OF
COMMODITY RISK C TRANSACTIONS IN PRACTICE 5.35 5.36 5.37 5.38 5.39 5.40
5.41 5.42 5.43 5.44 5.45 APOLLO CASH FLOW TIMING OF LOSSES REFERENCE
PORTFOLIO PORTFOLIO CTS FURTHER TRANSACTIONS MAGNOLIA AMADEUS RATING
AGENCIES FLEXIBLE CONCLUSION IV FOREIGN EXCHANGE RISK SECURITIZATION
5.46 5.47 5.48 5.49 FXRISK STRUCTURE PROMETHEUS TERMS V DERIVATIVES
SECURITIZATION: NEXT STEPS 5.50 5.51 PART III PROPERTY RISK
SECURITIZATION COMBINED STRUCTURES NICHE TRANSACTIONS TABLE OF CONTENTS
XXIII CHAPTER 7 INSURANCE SECURITIZATION 349 PAUL U. AH I INTRODUCTION
349 II PUTTING INSURANCE SECURITIZATION IN CONTEXT 352 III CATASTROPHE
BONDS 357 IV WEATHER BONDS 361 V RECHARACTERIZATION RISK 364 VI
CONCLUSION 370 CHAPTER 8 WHOLE BUSINESS SECURITIZATION 373 PAUL U. ALI I
INTRODUCTION 373 II COMMERCIAL CONSIDERATIONS 375 HI UK MODEL OF WHOLE
BUSINESS SECURITIZATION 376 IV CONCLUSION 380 CHAPTER 9 MICROFINANCE
SECURITIZATION 381 9.01 MICROFINANCE AND SECURITIZATION 381 9.02
MICROFINANCE 381 9.03 MFIS 382 9.04 MARKET 382 9.05 DFIS 383 9.06
SECURITIZATION 383 9.07 EXAMPLES IN PRACTICE 384 9.08 DIFFERENT
STRUCTURES, SIMILAR PROBLEMS 384 9.09 PROCREDIT 385 9.10 MFT CLOS 385
9.11 BOLD 387 9.12 STRUCTURE 387 9.13 PREVALENT RISKS 388 9.13.1 CREDIT
RISK 389 9.13.2 SERVICERRISK 389 9.13.3 CURRENCY RISK 389 9.13.4
COUNTERPARTY RISK 390 9.14 CREDIT ENHANCEMENT 391 9.15 VG MICROFINANCE
391 9.16 RAMP-UP 392 9.17 THE LOANS 392 9.18 GLOBAL MICROFINANCE
FACILITY 393 9.19 RATING AGENCY CONSIDERATIONS 393 9.20 BRAE 394 9.21
ASSETS 394 XXIV TABLE OF CONTENTS 9.22 STRUCTURE 9.23 CASH FLOW 9.24
CONSIDERATIONS 9.25 RISKS 9.26 LEGAL RISKS 9.27 THE PROOF OF THE PUDDING
9.28 SYNTHETIC TRANSACTION? 9.29 CONCLUSION PART IV GAME RULES CHAPTER
10 REGULATORY CAPITAL STANDARDS FOR SECURITIZATION I INTRODUCTION 10.01
INTRODUCTION II THE BASEL II FRAMEWORK 10.02 BASEL FRAMEWORK 10.03
HISTORY 10.04 BASEL I 10.05 BASEL II 10.06 MINIMUM CAPITAL REQUIREMENTS
10.07 SUPERVISORY REVIEW PROCESS 10.08 MARKET DISCIPLINE 10.09 MODELS
10.10 STANDARDIZED AND IRB APPROACH 10.11 IRB 10.12 REGULATORY CAPITAL
ARBITRAGE HI THE SECURITIZATION FRAMEWORK IN BASEL II 10.13 SCOPE 10.14
RISK TRANSFER REQUIREMENTS 10.15 INVESTMENTS AND RETAINED EXPOSURE
CHARGES 10.16 COLLATERAL 10.17 364 10.18 RECOGNIZED EXTERNAL CREDIT
ASSESSMENT 10.19 GRANULARITY 10.20 EXTERNAL RATINGS 10.21 IMPLICIT
SUPPORT 10.22 PILLAR 2 10.23 PILLAR 3 10.24 SYNTHETIC SECURITIZATION
10.25 EFFECTIVE RISK TRANSFER REQUIREMENTS 10.26 CREDIT DERIVATIVES
10.27 SOLVENCY TREATMENT OF COLLATERAL AND GUARANTEES 10.28 MATURITY
MISMATCH 10.29 STEP-UP 395 396 397 397 398 400 400 401 403 405 405 405
405 405 406 406 408 408 408 408 409 409 410 410 410 410 412 413 413 415
415 416 417 418 419 420 421 421 422 424 425 426 TABLE OF CONTENTS XXV
10.30 LEGAL OPINIONS 426 IV IMPLEMENTATION OF BASEL II 427 10.31
IMPLEMENTATION 427 10.32 CHANGES 427 10.33 CONCLUSION 428 CHAPTER 11
ACCOUNTING FOR SECURITIZATIONS: THE POST-IFRS WORLD 431 I INTRODUCTION
431 II SECURITIZATION: AN AUSTRALIAN/EUROPEAN PERSPECTIVE 433 III
IMPLICATIONS OF THE ADOPTION OF IFRS IN AUSTRALIA 435 IV APPLICATION OF
UIG 112 435 V APPLICATION OF AASB 139 437 VI GENERAL RULES - SALES WITH
STRINGS ATTACHED 437 A SHOULD THE DERECOGNIZING PRINCIPLES BE APPLIED
TO PART OR ALL OF A FINANCIAL ASSET? 438 B HAVE THE RIGHTS TO THE CASH
FLOWS EXPIRED? 439 C HAS THE ENTITY TRANSFERRED SUBSTANTIALLY ALL RISKS
AND REWARDS? 439 D HAS THE ENTITY RETAINED SUBSTANTIALLY ALL RISKS AND
REWARDS? 439 E HAS THE ENTITY RETAINED CONTROL OF THE ASSET? 439 F
CONTINUE TO RECOGNIZE THE ASSET TO THE EXTENT OF THE ENTITY S CONTINUING
INVOLVEMENT 440 VII RECOGNITION OF GAINS AND LOSSES ON TRANSFER 440 VIII
SECURITIZATIONS 441 A CONSOLIDATION OF SPES 441 B HAS THE ENTITY
TRANSFERRED ITS RIGHTS TO RECEIVE THE CASH FLOWS FROM THE ASSETS? 441 C
HAS THE ENTITY ASSUMED AN OBLIGATION TO PAY THE CASH FLOWS FROM THE
ASSETS THAT MEET THE PASS-THROUGH CRITERIA? 441 D RISKS AND REWARDS 443
E CONTROL 444 F CONTINUING INVOLVEMENT 444 IX ACCOUNTING ANALYSIS OF
CERTAIN FINANCING STRUCTURES USING SPES 444 A EXAMPLE 1. COLLATERALIZED
DEBT OBLIGATIONS (CDOS) 444 I OVERVIEW OF STRUCTURE 445 II ACCOUNTING
ANALYSIS - APPLYING THE FLOW CHART 445 III CONSOLIDATION OF THE SPE? 445
IV HAS THE ENTITY TRANSFERRED ITS RIGHTS TO RECEIVE CASH FLOWS FROM THE
ASSETS? 446 V HAVE THE PASS-THROUGH CONDITIONS BEEN MET? 446 VI HAS THE
ENTITY TRANSFERRED SUBSTANTIALLY ALL THE RISKS AND REWARDS? 446 B
EXAMPLE 2. RESIDENTIAL MORTGAGE-BACKED SECURITIZATIONS 446 I OVERVIEW OF
STRUCTURE 447 XXVI TABLE OF CONTENTS II ACCOUNTING ANALYSIS - APPLYING
THE FLOW CHART 447 III CONSOLIDATION OF THE SPE? 447 IV HAS THE ENTITY
TRANSFERRED ITS RIGHTS TO RECEIVE CASH FLOWS FROM THE ASSETS? 447 V HAVE
THE PASS-THROUGH CRITERIA BEEN MET? 447 VI HAS THE ENTITY TRANSFERRED
SUBSTANTIALLY ALL THE RISKS AND REWARDS? 448 C EXAMPLE 3. TRADE
RECEIVABLES 448 I OVERVIEW OF STRUCTURE 448 II ACCOUNTING ANALYSIS 449 A
CONSOLIDATION OF THE SPE? 449 B HAS THE ENTITY TRANSFERRED ITS RIGHTS TO
THE CASH FLOWS? 450 C HAVE THE PASS-THROUGH CONDITIONS BEEN MET? 450 III
HAS THE ENTITY TRANSFERRED SUBSTANTIALLY ALL THE RISKS AND REWARDS? 450
IV HAS THE ENTITY TRANSFERRED CONTROL OF THE ASSET? 450 D EXAMPLE 4.
CREDIT LINKED NOTES 450 I OVERVIEW OF STRUCTURE 451 II ACCOUNTING
ANALYSIS: CONSOLIDATION OF THE SPE? 451 III HAS THE ENTITY TRANSFERRED
ITS RIGHTS TO RECEIVE CASH FLOWS FROM THE ASSET? 451 IV HAVE THE
PASS-THROUGH CRITERIA BEEN MET? 451 X HAS THE US MOVED YET? 452 XI US
ACCOUNTING OVERVIEW 453 A SALE CRITERIA 454 I LEGAL ISOLATION 454 II
RIGHT TO PLEDGE OR EXCHANGE 454 III EFFECTIVE CONTROL CRITERIA 456 B
CURRENT DEVELOPMENTS IMPACTING THE SALE CRITERIA 456 XII CONSOLIDATION
457 XNI QUALIFYING SPECIAL PURPOSE ENTITIES (QSPES) 458 A DEMONSTRABLY
DISTINCT NATURE OF A QSPE 458 B ACTIVITIES OF A QSPE 458 C ASSETS A QSPE
MAY HOLD 459 D SELLING OF NONCASH FINANCIAL ASSETS HELD BY A QSPE 459
XTV CURRENT DEVELOPMENTS IMPACTING QSPES 459 XV VARIABLE INTEREST ENTITY
461 XVI VARIABLE INTEREST ENTITIES 462 XVII DETERMINING CONSOLIDATION OF
VIE BASED ON VARIABILITY 462 XVHI DECISION TREE TO DETERMINE IF SALE OR
SECURED BORROWING 463 XIX INITIAL ACCOUNTING/GAIN-ON-SALE CALCULATION
463 XX IMPACT OF PROPOSED CHANGES 464 XXI SUBSEQUENT ACCOUNTING 465 XXII
CONCLUSION 466 XXIII POSTSCRIPT 466 INDEX 469
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| adam_txt |
TABLE OF CONTENTS LIST OF ABBREVIATIONS XXVII ABOUT THE AUTHOR FOREWORD
INTRODUCTION ACKNOWLEDGEMENTS PARTI BUILDING BLOCKS CHAPTER 1
INTRODUCTION 1.01 1.02 1.03 1.04 1.05 DEFINITION RATIONALE 1.02.1
FUNDING 1.02.2 REGULATORY CAPITAL RELIEF 1.02.3 ARBITRAGE 1.02.4 BALANCE
SHEET CONSIDERATIONS SECURITIZATION TYPES 1.03.1 TRUE SALE 1.03.2
SYNTHETIC 1.03.3 WHOLE BUSINESS ASSET CLASSES SUB-PRIME CRISIS AND THE
CREDIT CRUNCH XXIX XXXI XXXIII XXXV 3 3 3 3 4 5 5 5 6 6 6 6 7 VIII TABLE
OF CONTENTS CHAPTER 2 STRUCTURE AND DOCUMENTATION 9 I INTRODUCTION 9
2.01 INTRODUCTION 9 2.02 CHAPTER SET-UP 9 2.03 DOCUMENTATION 10 II THE
ORIGINATOR PERSPECTIVE 11 A ORIGINATOR 11 2.04 ORIGINATOR 11 2.05 ASSET
SELECTION 12 2.06 ORIGINATE/WAREHOUSE/DISTRIBUTE (OWD) 12 2.07 ARRANGER
13 B SPV 15 2.08 PURPOSE 15 2.09 NO SPV 15 2.10 DIFFERENT SPVS 16 2.11
JURISDICTION 16 2.12 BANKRUPTCY REMOTENESS 16 2.12.1 SPV CONTROL 17
2.12.2 BUSINESS RESTRICTIONS 17 2.12.3 NOTE HOLDERS RESTRICTIONS 17
2.12.4 LIMITED RECOURSE 18 2.12.5 NON-PETITION 18 2.13 MULTIPLE ISSUES
18 C TRUE SALE 19 2.14 INTRODUCTION 19 2.15 TRUE SALE 19 2.16
RECEIVABLES 20 2.17 MAIN LEGAL ISSUES 20 2.18 ASSETS ASSIGNABLE UNDER
CONTRACT 20 2.19 ASSIGNMENT 21 2.20 TITLE PERFECTION EVENTS 22 2.21
CLAW-BACK 23 2.21.1 TRANSACTION AT AN UNDERVALUE 23 2.21.2 VOIDABLE
PREFERENCE 24 2.21.3 DEFRAUDING CREDITORS 24 2.22 ADDRESSING CLAW-BACK
RISK 25 2.23 RE-CHARACTERIZATION 25 2.24 RE-CHARACTERIZATION IN
SECURITIZATION 26 2.25 DUE DILIGENCE 27 2.26 PURCHASE AGREEMENT 27 2.27
SECURITIZATION WITHOUT A SALE 28 2.28 WAREHOUSE FACILITIES 28 2.29
RE-ASSIGNMENT/SUBSTITUTION 29 D CREDIT RISK TRANSFER 30 TABLE OF
CONTENTS IX 2.30 MEANS TO TRANSFER CREDIT RISK 30 2.31 CREDIT DEFAULT
SWAP 30 2.32 GENERIC RISKS IN SYNTHETIC TRANSACTIONS 30 2.32.1
ORIGINATOR RISK 31 2.32.2 DOCUMENTATION RISK 31 2.32.3 TERMINATION RISK
31 2.32.4 NO RECOURSE 32 2.33 GREEN BOTTLE STRUCTURE 32 2.34 PARTIALLY
FUNDED 33 2.35 COST EFFICIENCY 33 2.36 SUPER SENIOR SWAP 34 E THE
BORROWERS/DEBTORS 34 2.37 DATA PROTECTION 34 2.38 COMMINGLING 35 III THE
LIABILITY SIDE 36 A THE NOTE HOLDERS 36 2.39 NOTE HOLDERS 36 36 37 B
TRUSTEE 37 37 37 37 38 38 40 40 41 41 42 43 43 43 45 D RATING AGENCIES
45 45 47 47 47 47 48 48 48 48 49 50 2.40 2.41 PROSPECTUS RETAIL
INVESTORS TRUSTEE 2.42 2.43 2.44 2.45 2.46 2.47 2.48 2.49 2.50 2.51 2.52
TRANSFERABILITY TRUSTEE ROLES SECURITY TRUSTEE SECURITY PACKAGE DEED OF
CHARGE CONTEXT SPV ASSETS TRUST DEED ROLE DISCRETION LIABILITY SERVICER
2.53 2.54 RATING 2.55 2.56 2.57 SERVICER RATING AGENCY PROVISIONS
AGENCIES RATING AGENCIES PRE-SALE REPORTS KEY RATING AGENCY TERMS THE
NOTES 2.58 2.59 TERMS 2.60 2.61 2.62 2.63 TRANCHING NOTE TYPES AND
CONDITIONS OF THE NOTES KEY TERMS WATERFALL PRE-DEFAULT WATERFALL
POST-DEFAULT WATERFALL IV 2.64 2.65 2.66 2.67 2.68 2.69 2.70 2.71 2.72
2.73 2.74 ISSUES FOR WATERFALLS REDEMPTION OF THE NOTES OPTIONAL
TERMINATION OPTIONAL TERMINATION IN SYNTHETICS MANDATORY REDEMPTION
FINAL REDEMPTION DEFERRED REDEMPTION NOTE EVENT OF DEFAULTS 2.71.1
FAILURE TO PAY 2.71.2 OTHER NON-COMPLIANCE 2.71.3 SPV EVENTS 2.71.4
STRUCTURAL EVENTS OF DEFAULT 2.71.5 CONSEQUENCES NOTE COVENANTS RAMP-UP
NEGATIVE CARRY G INFORMING INVESTORS 2.75 2.76 2.77 2.78 2.79 2.80 2.81
2.82 ASSETS 2.83 2.84 INFORMING INVESTORS FINANCIAL REPORTING REPORTING
IN PRACTICE MEASURING PERFORMANCE BEST PRACTICE BENCHMARKING SELECTIVE
DISCLOSURE MIS-SELLING ASSET ELIGIBILITY CDO STRUCTURE A MATCHED FUNDING
2.85 2.86 2.87 B CREDIT 2.88 2.89 2.90 MATCHED FUNDING DOCUMENTATION
SET-OFF 2.87.1 SET-OFF IN SECURITIZATION 2.87.2 SET-OFF AND ORIGINATOR
2.87.3 SET-OFF AND INSOLVENCY 2.87.4 SET-OFF AND ACCOUNT BANK
ENHANCEMENT CREDIT ENHANCEMENT 2.88.1 TRANCHING/SUBORDINATION 2.88.2
OVER-COLLATERALIZATION 2.88.3 MONOLINE INSURANCE 2.88.4 RESERVE FUNDS
2.88.5 EXCESS SPREAD 2.88.6 SYNTHETIC EXCESS SPREAD CHOICE OTHER
STRUCTURAL FEATURES TABLE OF CONTENTS 51 51 51 52 53 54 54 55 55 55 55
56 56 56 57 57 58 58 59 60 61 61 62 62 62 63 63 63 64 64 64 64 65 65 66
66 67 67 67 67 68 70 70 71 72 72 TABLE OF CONTENTS XI 2.90.1 CASH
DIVERSION 72 2.90.2 TURBO 73 C STATIC AND DYNAMIC POOLS 73 73 74 74 74
75 75 77 78 78 79 79 79 80 80 80 81 81 81 81 82 82 82 82 83 83 83 84 84
85 85 86 86 86 86 87 87 88 88 88 89 89 D OTHER DOCUMENTATION 89 2.124
OTHER DOCUMENTATION 89 2.91 2.92 2.93 2.94 2.95 2.96 2.97 2.98 2.99
DYNAMIC POOLS STATIC POOLS REPLENISHMENT SUBSTITUTION REVOLVING
TRANSACTIONS MANAGED TRANSACTIONS COLLATERAL MANAGER MANAGER REPORTS
ADDITIONAL RISKS D BALANCING INTERESTS 2.100 2.101 2.102 BALANCING
INTERESTS ALIGNING THE NOTE HOLDERS ALIGNING THE COLLATERAL MANAGER
2.102.1 WATERFALL 2.102.2 FEE STRUCTURE 2.102.3 CHURNING OTHER
STRUCTURAL RISKS A COUNTERPARTY RISK 2.103 B SWAP 2.104 2.105 2.106
2.107 2.108 2.109 2.110 2.111 2.112 2.113 2.114 COUNTERPARTY RISK
COUNTERPARTIES SWAP COUNTERPARTIES RATING AGENCY RELIANCE INTEREST RATE
RISK: TRUE SALE INTEREST RATE: SYNTHETIC CURRENCY RISK AMORTIZING SWAPS
RATING AGENCY CRITERIA BANK SWAP COUNTERPARTY SCHEDULE ADAPTATIONS
CONSEQUENCES OF EARLY TERMINATION TERMINATION PAYMENTS C COLLATERAL RISK
2.115 2.116 2.117 2.118 2.119 2.120 2.121 2.122 2.123 COLLATERAL RISK
ADDRESSING COLLATERAL RISK ELIGIBLE COLLATERAL COLLATERAL IN SYNTHETIC
DEALS REPURCHASE AGREEMENT PUT OPTION TOTAL RETURN SWAP DERIVATIVE
COUNTERPARTY ELIGIBILITY DEPOSIT BANK XII 2.125 2.126 2.127 TABLE CASH
MANAGEMENT AGREEMENT GIC LIQUIDITY FACILITY VI EXECUTION AND
POST-CLOSING 2.128 2.129 2.130 PARTN EXECUTION CONDITIONS PRECEDENT
LEGAL OPINION SYNTHETIC STRUCTURES CHAPTER 3 CREDIT DERIVATIVES I
INTRODUCTION A INTRODUCTION 3.01 3.02 3.03 B TRADING 3.04 3.05 3.06 3.07
3.08 3.09 3.10 3.11 INTRODUCTION PURPOSE CHAPTER SET-UP CREDIT RISK
CREDIT RISK MANAGEMENT ADJUSTMENT OF CONTRACTUAL TERMS GUARANTEES CREDIT
WRAP INSURANCE CONTRACTS LOAN SYNDICATIONS SECURITIZATION PARTICIPATIONS
C CREDIT DERIVATIVES 3.12 3.13 3.14 3.15 3.16 3.17 3.18 3.19 3.20 3.21
II DRIVERS AND A DRIVERS 3.22 DEFINITION PARTIES TO CREDIT DERIVATIVE
TRANSACTION CHARACTERISTICS 3.14.1 TRADE CREDIT RISK ONLY 3.14.2 NO NEED
FOR TRANSFER OF UNDERLYING 3.14.3 UNFUNDED AND LEVERAGED INSTRUMENT
3.14.4 (NO) RELATIONSHIP WITH REFERENCE ENTITY 3.14.5 FLEXIBILITY CREDIT
DERIVATIVES MARKET CRT REPORT COMPARISON WITH EMERGENCE OF IRS
RELATIONSHIP WITH CORPORATE BOND MARKET COMMON CREDIT DERIVATIVE
PRODUCTS. MARKET PARTICIPANTS LIQUIDITY RISKS CREDIT DERIVATIVES DRIVERS
OF CONTENTS 90 90 91 91 91 92 92 95 97 97 97 97 97 98 98 98 98 99 100
101 102 103 104 105 105 106 107 107 107 107 108 108 108 109 110 110 110
111 112 112 112 112 TABLE OF CONTENTS 3.23 3.24 3.25 3.26 3.27 3.28 3.29
3.30 3.31 3.32 B RISKS 3.33 3.34 3.35 3.36 3.37 3.38 3.39 3.40 3.41 3.42
3.43 3.44 3.45 CREDIT RISK MANAGEMENT TRADING TOOL ARBITRAGE REGULATORY
CAPITAL RELIEF REQUIREMENTS AS TO LEGAL DOCUMENTATION ADDITIONAL
REQUIREMENTS CONFIDENTIALITY TRANSPARENT PRICING ACCESSIBILITY
CROSS-SECTOR TRANSFER RISKS IN CREDIT DERIVATIVES 3.33.1 COUNTERPARTY
RISK 3.33.2 CONCENTRATION RISK 3.33.3 CORRELATION RISK 3.33.4 BASIS RISK
3.33.5 LIQUIDITY RISK 3.33.6 OPERATIONAL RISK LEGAL RISKS AUTHORITY RISK
MISREPRESENTATION DOCUMENTATION RISK MORAL HAZARD RE-CHARACTERIZATION
RISK GAMBLING CONTRACT CONTRACT OF INSURANCE: RELEVANCE DISTINGUISHING
FROM INSURANCE CONTRACT 3.42.1 NO INDEMNITY 3.42.2. NO INSURABLE
INTEREST 3.42.3 NO PROOF OF LOSS 3.42.4 INTENTION OF THE PARTIES 3.42.5
LACK OF RECOURSE 3.42.6 FLOODGATES MITIGATING RE-CHARACTERIZATION RISK
COMPLIANCE RISK REAULATORV RISK XM 113 113 113 114 115 116 117 118 118
119 119 119 120 121 121 122 122 123 124 124 125 127 128 129 129 130 131
132 133 133 133 133 134 134 135 135 III CREDIT DERIVATIVES DOCUMENTATION
135 A DOCUMENTATION STRUCTURE 135 3.46 DOCUMENTATION 135 3.47 ISDA
MASTER AGREEMENT 135 3.48 CREDIT DERIVATIVES DEFINITIONS 136 3.49
CONFIRMATIONS 137 B TYPES OF CREDIT DERIVATIVES 137 3.50 TYPES OF CREDIT
DERIVATIVES 137 3.51 CREDIT DEFAULT SWAP 138 3.52 TOTAL RETURN SWAP 138
3.53 CREDIT SPREAD TRANSACTION 139 XIV TABLE OF CONTENTS C CREDIT
DEFAULT SWAP 139 3.54 CREDIT DEFAULT TRANSACTION 139 3.55 UNFUNDED
NOTIONAL INSTRUMENT 140 3.56 CASH FLOW 140 3.57 KEY PILLARS 141 3.58
REFERENCE ENTITIES 141 3.59 IDENTITY OF REFERENCE ENTITY 142 3.60
SUCCESSOR ENTITY 142 3.61 REFERENCE OBLIGATION 143 3.62 CALCULATION
AGENT 143 D CREDIT EVENTS 144 3.63 CREDIT EVENTS 144 3.64 STANDARD
CREDIT EVENTS IN OTC MARKET 145 3.65 BANKRUPTCY 145 3.66 FAILURE TO PAY
146 3.67 RESTRUCTURING 148 3.68 CONTENTIOUS 148 3.69 MULTIPLE HOLDER
OBLIGATION 149 3.70 BIFURCATION 149 3.71 REPUDIATION 150 3.72 BACK TO
BACK TRANSACTIONS 150 3.73 SOFT CREDIT EVENTS 152 3.74 OBLIGATIONS 153
3.75 OBLIGATION CATEGORIES 154 3.76 GUARANTEES 154 3.77 OBLIGATION
CHARACTERISTICS 155 3.78 CONDITIONS TO SETTLEMENT 155 3.79 CREDIT EVENT
NOTICE 156 3.80 NOTICE OF PUBLICLY AVAILABLE INFORMATION 157 3.81 NOTICE
OF PHYSICAL SETTLEMENT 158 E SETTLEMENT 158 3.82 TWO FORMS OF SETTLEMENT
158 3.83 PHYSICAL SETTLEMENT 158 3.84 TIMELINE 159 3.85 ADVANTAGES OF
PHYSICAL SETTLEMENT 159 3.86 DELIVERY 160 3.87 DELIVERABLE OBLIGATIONS
161 3.88 DELIVERABLE OBLIGATION CATEGORY 161 3.89 DELIVERABLE OBLIGATION
CHARACTERISTICS 161 3.90 RISKS IN PHYSICAL SETTLEMENT 162 3.91 DEFINING
DELIVERABLE OBLIGATIONS 162 3.92 UNAVAILABILITY 163 3.93 CHEAPEST TO
DELIVER OPTION 166 3.94 FLUCTUATIONS IN THE MARKET 166 3.95 CDS AND
BONDHOLDER POSITIONS 168 3.96 MOVE TO CASH SETTLEMENT 169 TABLE OF
CONTENTS XV 3.97 CASH SETTLEMENT 169 3.98 PREPAYMENT 170 3.99
STANDARDIZATION 171 3.99.1 MASTER CONFIRMATIONS 171 3.99.2 CDS MATRICES
173 3.99.3 UNWINDING TRANSACTIONS 173 3.99.4 NOVATION 174 174 175 175
175 176 176 176 176 176 177 178 178 181 181 182 182 183 185 186 187 188
188 188 188 189 189 190 190 192 192 C TOTAL RETURN SWAP PRODUCTS 195
3.122 TRS PRODUCTS 195 CHAPTER 4 COLLATERALIZED LOAN OBLIGATIONS (CLOS)
AND COLLATERALIZED DEBT OBLIGATIONS (CDOS) 197 I INTRODUCTION 197 4.01
CDOS 197 4.02 CDO IN THE SQUEEZE 197 3.100 IV STRUCTURED EXCHANGE-LISTED
CREDIT DERIVATIVES CREDIT A INTRODUCTION 3.101 3.102 B CREDIT 3.103
3.104 3.105 3.106 3.107 3.108 3.109 3.110 3.111 3.112 3.113 3.114 3.115
3.116 3.117 3.118 3.119 3.120 3.121 WORK IN PROGRESS STRUCTURED CREDIT
PRODUCTS DEFAULT SWAP PRODUCTS CREDIT DEFAULT SWAP PRODUCTS FIRST: CDS
VARIATIONS SELF-REFERENCING CDS RECOVERY LOCK CDS CONTINGENT CDS
LOAN-ONLY CDS CONSTANT MATURITY CDS CD SWAPTIONS SECOND: CDS ON
SECURITIZED PRODUCTS CDS ON ABS DOCUMENTATION CREDIT EVENTS IN CDS ON
ABS 3.114.1 BANKRUPTCY 3.114.2 FAILURE TO PAY 3.114.3 FAILURE TO PAY
PRINCIPAL 3.114.4 LOSS EVENT 3.114.5 RATINGS DOWNGRADE SETTLEMENT THIRD:
PORTFOLIO PRODUCTS PORTFOLIO CDS FIRST-TO-DEFAULT CDS CREDIT INDICES
SETTLEMENT PROTOCOLS DOCUMENTATION XVI II 4.03 SYNTHETIC CLOS A
INTRODUCTION 4.04 4.05 B DRIVERS AND 4.06 4.07 4.08 4.09 TABLE CDO
BATTLEGROUND DEFINITION MARKET RISKS DRIVERS IN SYNTHETIC CLOS RISKS IN
SYNTHETIC CLOS NO CONTRACTUAL RELATIONSHIP CONFLICTS OF INTEREST 4.09.1
CHERRY PICKING 4.09.2 CONFLICT OF INTEREST: SERVICER 4.09.3 CONFLICT OF
INTEREST: ORIGINATOR 4.09.4 COMPLIANCE OF REFERENCE ASSETS 4.09.5
VALUATION OF THE REFERENCE ASSET C STRUCTURE AND DOCUMENTATION I
STRUCTURE AND DUE DILIGENCE 4.10 4.11 4.12 BASIC CLO STRUCTURE PREAMBLE
DUE DILIGENCE 4.11.1 DISCLOSURE 4.11.2 DELIVERABILITY NO CASH FLOW
RESTRICTIONS II DOCUMENTATION 4.13 4.14 4.15 4.16 4.17 4.18 4.19 4.20
4.21 4.22 4.23 4.24 4.25 D TRANSACTIONS 4.26 DOCUMENTATION OVERVIEW
CREDIT EVENTS CONDITIONS FOR SETTLEMENT SETTLEMENT 4.16.1 MARKET
VALUATION 4.16.2 ACTUAL RECOVERY 4.16.3 FIXED RECOVERY TOTAL RETURN
SWAPS ISDA MASTER AGREEMENT SUPER SENIOR SWAP CREDIT-LINKED NOTES
COMBINATION NOTES TERMS AND CONDITIONS 4.22.1 NOTE EVENTS OF DEFAULT
4.22.2 EARLY REDEMPTION 4.22.3 WATERFALL TERMINATION PAYMENTS COLLATERAL
4.24.1 REPURCHASE AGREEMENTS 4.24.2 CONTINGENT FORWARD AGREEMENT HEDGES
S IN PRACTICE ASSET CLASSES OF CONTENTS 198 199 199 199 199 199 199 200
200 201 201 202 202 203 203 204 204 204 205 205 205 206 206 206 207 208
209 210 211 212 213 214 214 215 216 216 216 217 217 218 219 220 220 220
221 221 TABLE OF CONTENTS I CORPORATE LOANS 4.27 4.28 4.29 4.30 4.31
4.32 4.33 4.34 4.35 4.36 4.37 4.38 4.39 4.40 II SME ] 4.41 4.42 4.43
4.44 4.45 4.46 4.47 4.48 4.49 4.50 4.51 4.52 4.53 4.54 4.55 4.56
BILATERAL LOANS CLOS REGULATORY CAPITAL RELIEF STRUCTURAL FEATURES TERM
SHEET SECTORAL CREDIT RISK TRANSFER BANK INTERMEDIARY STRUCTURE
DOCUMENTATION SETTLEMENT JUMBO SYNTHETIC CLO DIVERSIFIED POOL OF
REFERENCE LOANS REFERENCE PORTFOLIO CHARACTERISTICS FUNDING AND/OR
CAPITAL RELIEF CLOS IN THE ASIA-PACIFIC LOANS SME LOANS CLOS MARKET KFW
PLATFORM ORIGINATORS STRUCTURE TYPICAL TRANSACTION UNDER KFW PLATFORM
SUB-PARTICIPATION LISTING REPLENISHMENT CASH SETTLEMENT TRUSTEE EARLY
TERMINATION SPECIAL FEATURES MODIFICATIONS JUMBO SME SME LOAN CRITERIA
III SOVEREIGN LOANS 4.57 4.58 4.59 4.60 4.61 IV PROJECI 4.62 4.63 4.64
4.65 4.66 4.67 4.68 SOVEREIGN LOANS ARIES CREDIT EVENTS CONDITIONS TO
SETTLEMENT CASH SETTLEMENT T FINANCE LOANS PROJECT FINANCE CLO PPP AND
PFI PFI PRINCIPLES LENGTH STRUCTURE STANDARD DOCUMENTATION RISK IN
PROJECT FINANCE LOANS XVII 221 221 222 222 222 223 224 224 225 225 226
226 226 227 227 228 228 228 228 229 229 229 230 231 231 231 232 232 233
233 233 234 234 234 235 235 235 236 236 236 237 237 237 238 238 238
XVIII TABLE OF CONTENTS 4.69 FURTHER RISKS 239 4.69.1 AVAILABILITY AND
OPERATING RISK 239 4.69.2 DEMAND RISK 240 4.69.3 SUPERVENING EVENTS 240
4.69.4 DEPENDENCY ON MONOLINES 241 4.70 ELIGIBILITY CRITERIA 241 4.71
LOAN LEVEL CRITERIA 241 4.72 FIRST SYNTHETIC CDOS OF PFI LOANS 242 4.73
TRANSACTION STRUCTURE 242 4.74 TWO ORIGINATORS 243 4.75 REFERENCE LOANS
243 4.76 REPLENISHMENT 243 4.77 CREDIT EVENTS 244 4.77.1 BANKRUPTCY 244
4.77.2 FAILURE TO PAY 244 4.77.3 RESTRUCTURING 245 4.78 SYNDICATE 245
4.79 VALUATION PROCESS 246 4.80 CASH SETTLEMENT 246 4.81 CREDIT-LINKED
NOTES 247 4.82 TENOR 247 4.83 RE-CHARACTERIZATION 248 4.84 REGULATORY
CAPITAL 248 4.85 FURTHER TRANSACTIONS 249 VI EMERGING MARKETS 250 4.86
EMERGING MARKET 250 4.87 EMERGING MARKET CLO RISK 250 4.88 SOVEREIGN 251
4.89 MULTILATERALS 251 4.90 THE ROLE OF LOCAL LAW 252 IH SYNTHETIC CDOS
252 A INTRODUCTION 252 4.91 SYNTHETIC CDO 252 4.92 RATIONALE 252 4.93
DIFFERENCES WITH CLOS 253 4.94 CHAPTER SET-UP 253 B MANAGED SYNTHETIC
CDOS 253 4.95 DEFINITION 253 4.96 OTHER DEBT 253 4.97 SOVEREIGN RISK 254
4.98 GEOGRAPHY 255 I DRIVERS AND RISKS 255 4.99 DRIVERS 255 4.100
ARBITRAGE 255 4.101 DIVERSIFICATION 256 TABLE OF CONTENTS 4.102 4.103
4.104 4.105 RATING STABILITY CONSEQUENCES MANAGER ROLE RISKS 4.105.1
MANAGERIAL EXPERTISE 4.105.2 MANAGER DISCRETION 4.105.3 KEY MAN RISK
4.105.4 MORAL HAZARD 4.105.5 FEES II STRUCTURE 4.106 4.107 4.108 4.109
4.110 4.111 TRADING IN SYNTHETIC CDOS CONTROLS ELIGIBILITY CRITERIA
TRADING GAINS AND LOSSES RE-INVESTMENT LOSS TRIGGERS III DOCUMENTATION
4.112 4.113 4.114 CREDIT DEFAULT SWAP RESPONSIBILITIES FEE STRUCTURE C
RETAIL CDOS 4.115 4.116 4.117 RETAIL CDOS INVESTOR DISCLOSURE LEGAL
ISSUES D COLLATERALIZED SWAP OBLIGATIONS 4.118 I DRIVERS 4.119 CSO J AND
RISKS KEY DRIVERS II STRUCTURE 4.120 4.121 4.122 4.123 4.124 STRUCTURAL
ISSUES DEALERS INVESTOR BENEFIT INTERMEDIARY SWAPS BULLET STRUCTURE III
DOCUMENTATION 4.125 4.126 4.127 4.128 4.129 4.130 4.131 4.132 4.133
DOCUMENTATION DOCUMENTATION PHYSICAL SETTLEMENT FURTHER TERMS OTHER USES
OF CDS OFFSETTING CDS NAKED CDS DISCLOSURE CSA XIX 256 257 257 257 258
258 258 259 259 259 259 260 260 261 261 261 262 262 262 262 263 263 263
264 264 264 265 265 266 266 266 267 267 267 268 268 268 269 270 271 271
272 273 273 E SINGLE TRANCHE CDO 273 XX 4.134 SINGLE TRANCHE CDO I
DRIVERS AND RISKS 4.135 TAILORED PRODUCT 4.136 HEDGING TECHNOLOGY II
STRUCTURE 4.137 ATTACHMENT AND DETACHMENT POINTS III DOCUMENTATION 4.138
TERM SHEET STRUCTURED FINANCE CDOS 4.139 STRUCTURED FINANCE CDO 4.140
PRODUCTS 4.141 MARKET I DRIVERS AND RISKS 4.142 DRIVERS 4.143 LEVERAGE
4.144 RISKS 4.145 OVERLAP AND CORRELATION 4.146 THE UNDERLYING PRODUCT:
CDS OF ABS 4.147 DRIVERS 4.148 COLLATERAL MANAGERS 4.149 ORIGINATORS AND
ISSUERS II STRUCTURE 4.150 STRUCTURE 4.151 CROSS-SUBORDINATION 4.152
COLLATERAL ARRANGEMENTS 4.153 MANAGING STRUCTURED FINANCE CDOS III
DOCUMENTATION 4.154 DIFFUSE DOCUMENTATION 4.155 DISCLOSURE 4.156
AMORTIZATION 4.157 (PUBLICLY) AVAILABLE INFORMATION 4.158 CREDIT EVENTS
4.158.1 BANKRUPTCY 4.158.2 RESTRUCTURING 4.158.3 FAILURE TO PAY 4.158.4
PIK SECURITIES 4.158.5 PRINCIPAL REDUCTION 4.158.6 FAILURE TO PAY ABS
4.159 RATINGS DOWNGRADE 4.160 RATING AGENCIES ROLE 4.161 CASH
SETTLEMENT: VALUATION 4.162 CASH SETTLEMENT 4.163 CREDIT-LINKED NOTES
4.164 REDEMPTION 4.165 HOLDBACK AMOUNT 4.166 WATERFALL TABLE OF CONTENTS
273 274 274 275 275 275 276 276 276 276 276 277 277 277 278 278 279 279
279 280 280 280 280 281 282 282 282 282 283 283 284 284 284 285 285 286
286 286 287 287 287 288 288 288 289 289 TABLE OF CONTENTS 4.167
TERMINATION PAYMENTS 4.168 RE-CHARACTERIZATION 4.169 INSURANCE 4.170
PARTIES' INTENTION 4.171 MIS-SELLING 4.172 SETTLEMENT 4.173 DRAFTING
PROCESS G HYBRID AND ESOTERIC CDOS CHAPTER 5 4.174 HYBRID CDOS 4.175
LIQUIDITY FACILITIES 4.176 ALTERNATIVE CDOS NON-CREDIT RISK
SECURITIZATION I INTRODUCTION 5.01 INTRODUCTION II EQUITY RISK
SECURITIZATION A INTRODUCTION 5.02 5.03 5.04 5.05 MARKET DRIVERS RISK
INVESTOR CONSIDERATIONS B STRUCTURE 5.06 5.07 5.08 5.09 5.10 5.11 5.12
5.13 5.14 EQUITY DEFAULT SWAP DIGITAL PUT OPTION DISTINCT FROM A CDS
NATURE OF RISK BENCHMARK RECOVERY AND EQUITY AMOUNT TRANSPARENCY EDO/ECO
SECURITIZATION OF EQUITY RISK C DOCUMENTATION 5.15 5.16 5.17 5.18 5.19
5.20 5.21 DEFINITIONS SPECIFIC ISSUES MARKET DISRUPTION EXTRAORDINARY
EVENTS OVERLAP DISCLOSURE RECHARACTERIZATION D TRANSACTIONS IN PRACTICE
5.22 5.23 5.24 5.25 5.26 EXAMPLE TRANSACTIONS PUBLIC RATING ACEO MANAGED
TRANSACTIONS CONCLUSION XXI 290 290 291 291 292 293 293 294 294 294 295
297 297 297 297 297 297 298 299 299 301 301 301 302 303 303 303 303 304
304 305 305 305 306 307 308 308 308 309 309 309 310 310 311 XXII TABLE
OF CONTENTS III COMMODITY RISK SECURITIZATION 311 A INTRODUCTION 311
5.27 COMMODITY RISK 311 5.28 MARKET 312 5.29 DRIVERS 313 B STRUCTURE AND
DOCUMENTATION 313 313 314 315 315 317 318 318 320 321 322 323 323 324
324 325 326 326 327 327 327 327 328 328 328 329 331 CHAPTER 6 MANAGED
FUND-STYLE SECURITIZATION 333 PAUL U. AH I INTRODUCTION 333 II MANAGED
FUNDS AND DEBT RETURNS 335 III A SECONDARY MARKET IN LIFE INSURANCE
POLICIES 337 IV SECURITIZING LIFE INSURANCE POLICIES 339 V INSURABLE
INTEREST RISK 341 VI SECURITIZING PRIVATE EQUITY FUNDS AND HEDGE FUNDS
342 VII CONCLUSION 346 5.30 5.31 5.32 5.33 5.34 ISDA FRAMEWORK COMMODITY
SWAP MARKET DISRUPTION COMMODITY TRIGGER SWAPS SECURITIZATION OF
COMMODITY RISK C TRANSACTIONS IN PRACTICE 5.35 5.36 5.37 5.38 5.39 5.40
5.41 5.42 5.43 5.44 5.45 APOLLO CASH FLOW TIMING OF LOSSES REFERENCE
PORTFOLIO PORTFOLIO CTS FURTHER TRANSACTIONS MAGNOLIA AMADEUS RATING
AGENCIES FLEXIBLE CONCLUSION IV FOREIGN EXCHANGE RISK SECURITIZATION
5.46 5.47 5.48 5.49 FXRISK STRUCTURE PROMETHEUS TERMS V DERIVATIVES
SECURITIZATION: NEXT STEPS 5.50 5.51 PART III PROPERTY RISK
SECURITIZATION COMBINED STRUCTURES NICHE TRANSACTIONS TABLE OF CONTENTS
XXIII CHAPTER 7 INSURANCE SECURITIZATION 349 PAUL U. AH I INTRODUCTION
349 II PUTTING INSURANCE SECURITIZATION IN CONTEXT 352 III CATASTROPHE
BONDS 357 IV WEATHER BONDS 361 V RECHARACTERIZATION RISK 364 VI
CONCLUSION 370 CHAPTER 8 WHOLE BUSINESS SECURITIZATION 373 PAUL U. ALI I
INTRODUCTION 373 II COMMERCIAL CONSIDERATIONS 375 HI UK MODEL OF WHOLE
BUSINESS SECURITIZATION 376 IV CONCLUSION 380 CHAPTER 9 MICROFINANCE
SECURITIZATION 381 9.01 MICROFINANCE AND SECURITIZATION 381 9.02
MICROFINANCE 381 9.03 MFIS 382 9.04 MARKET 382 9.05 DFIS 383 9.06
SECURITIZATION 383 9.07 EXAMPLES IN PRACTICE 384 9.08 DIFFERENT
STRUCTURES, SIMILAR PROBLEMS 384 9.09 PROCREDIT 385 9.10 MFT CLOS 385
9.11 BOLD 387 9.12 STRUCTURE 387 9.13 PREVALENT RISKS 388 9.13.1 CREDIT
RISK 389 9.13.2 SERVICERRISK 389 9.13.3 CURRENCY RISK 389 9.13.4
COUNTERPARTY RISK 390 9.14 CREDIT ENHANCEMENT 391 9.15 VG MICROFINANCE
391 9.16 RAMP-UP 392 9.17 THE LOANS 392 9.18 GLOBAL MICROFINANCE
FACILITY 393 9.19 RATING AGENCY CONSIDERATIONS 393 9.20 BRAE 394 9.21
ASSETS 394 XXIV TABLE OF CONTENTS 9.22 STRUCTURE 9.23 CASH FLOW 9.24
CONSIDERATIONS 9.25 RISKS 9.26 LEGAL RISKS 9.27 THE PROOF OF THE PUDDING
9.28 SYNTHETIC TRANSACTION? 9.29 CONCLUSION PART IV GAME RULES CHAPTER
10 REGULATORY CAPITAL STANDARDS FOR SECURITIZATION I INTRODUCTION 10.01
INTRODUCTION II THE BASEL II FRAMEWORK 10.02 BASEL FRAMEWORK 10.03
HISTORY 10.04 BASEL I 10.05 BASEL II 10.06 MINIMUM CAPITAL REQUIREMENTS
10.07 SUPERVISORY REVIEW PROCESS 10.08 MARKET DISCIPLINE 10.09 MODELS
10.10 STANDARDIZED AND IRB APPROACH 10.11 IRB 10.12 REGULATORY CAPITAL
ARBITRAGE HI THE SECURITIZATION FRAMEWORK IN BASEL II 10.13 SCOPE 10.14
RISK TRANSFER REQUIREMENTS 10.15 INVESTMENTS AND RETAINED EXPOSURE
CHARGES 10.16 COLLATERAL 10.17 364 10.18 RECOGNIZED EXTERNAL CREDIT
ASSESSMENT 10.19 GRANULARITY 10.20 EXTERNAL RATINGS 10.21 IMPLICIT
SUPPORT 10.22 PILLAR 2 10.23 PILLAR 3 10.24 SYNTHETIC SECURITIZATION
10.25 EFFECTIVE RISK TRANSFER REQUIREMENTS 10.26 CREDIT DERIVATIVES
10.27 SOLVENCY TREATMENT OF COLLATERAL AND GUARANTEES 10.28 MATURITY
MISMATCH 10.29 STEP-UP 395 396 397 397 398 400 400 401 403 405 405 405
405 405 406 406 408 408 408 408 409 409 410 410 410 410 412 413 413 415
415 416 417 418 419 420 421 421 422 424 425 426 TABLE OF CONTENTS XXV
10.30 LEGAL OPINIONS 426 IV IMPLEMENTATION OF BASEL II 427 10.31
IMPLEMENTATION 427 10.32 CHANGES 427 10.33 CONCLUSION 428 CHAPTER 11
ACCOUNTING FOR SECURITIZATIONS: THE POST-IFRS WORLD 431 I INTRODUCTION
431 II SECURITIZATION: AN AUSTRALIAN/EUROPEAN PERSPECTIVE 433 III
IMPLICATIONS OF THE ADOPTION OF IFRS IN AUSTRALIA 435 IV APPLICATION OF
UIG 112 435 V APPLICATION OF AASB 139 437 VI GENERAL RULES - SALES WITH
'STRINGS ATTACHED' 437 A SHOULD THE DERECOGNIZING PRINCIPLES BE APPLIED
TO PART OR ALL OF A FINANCIAL ASSET? 438 B HAVE THE RIGHTS TO THE CASH
FLOWS EXPIRED? 439 C HAS THE ENTITY TRANSFERRED SUBSTANTIALLY ALL RISKS
AND REWARDS? 439 D HAS THE ENTITY RETAINED SUBSTANTIALLY ALL RISKS AND
REWARDS? 439 E HAS THE ENTITY RETAINED CONTROL OF THE ASSET? 439 F
CONTINUE TO RECOGNIZE THE ASSET TO THE EXTENT OF THE ENTITY'S CONTINUING
INVOLVEMENT 440 VII RECOGNITION OF GAINS AND LOSSES ON TRANSFER 440 VIII
SECURITIZATIONS 441 A CONSOLIDATION OF SPES 441 B HAS THE ENTITY
TRANSFERRED ITS RIGHTS TO RECEIVE THE CASH FLOWS FROM THE ASSETS? 441 C
HAS THE ENTITY ASSUMED AN OBLIGATION TO PAY THE CASH FLOWS FROM THE
ASSETS THAT MEET THE PASS-THROUGH CRITERIA? 441 D RISKS AND REWARDS 443
E CONTROL 444 F CONTINUING INVOLVEMENT 444 IX ACCOUNTING ANALYSIS OF
CERTAIN FINANCING STRUCTURES USING SPES 444 A EXAMPLE 1. COLLATERALIZED
DEBT OBLIGATIONS (CDOS) 444 I OVERVIEW OF STRUCTURE 445 II ACCOUNTING
ANALYSIS - APPLYING THE FLOW CHART 445 III CONSOLIDATION OF THE SPE? 445
IV HAS THE ENTITY TRANSFERRED ITS RIGHTS TO RECEIVE CASH FLOWS FROM THE
ASSETS? 446 V HAVE THE PASS-THROUGH CONDITIONS BEEN MET? 446 VI HAS THE
ENTITY TRANSFERRED SUBSTANTIALLY ALL THE RISKS AND REWARDS? 446 B
EXAMPLE 2. RESIDENTIAL MORTGAGE-BACKED SECURITIZATIONS 446 I OVERVIEW OF
STRUCTURE 447 XXVI TABLE OF CONTENTS II ACCOUNTING ANALYSIS - APPLYING
THE FLOW CHART 447 III CONSOLIDATION OF THE SPE? 447 IV HAS THE ENTITY
TRANSFERRED ITS RIGHTS TO RECEIVE CASH FLOWS FROM THE ASSETS? 447 V HAVE
THE PASS-THROUGH CRITERIA BEEN MET? 447 VI HAS THE ENTITY TRANSFERRED
SUBSTANTIALLY ALL THE RISKS AND REWARDS? 448 C EXAMPLE 3. TRADE
RECEIVABLES 448 I OVERVIEW OF STRUCTURE 448 II ACCOUNTING ANALYSIS 449 A
CONSOLIDATION OF THE SPE? 449 B HAS THE ENTITY TRANSFERRED ITS RIGHTS TO
THE CASH FLOWS? 450 C HAVE THE PASS-THROUGH CONDITIONS BEEN MET? 450 III
HAS THE ENTITY TRANSFERRED SUBSTANTIALLY ALL THE RISKS AND REWARDS? 450
IV HAS THE ENTITY TRANSFERRED CONTROL OF THE ASSET? 450 D EXAMPLE 4.
CREDIT LINKED NOTES 450 I OVERVIEW OF STRUCTURE 451 II ACCOUNTING
ANALYSIS: CONSOLIDATION OF THE SPE? 451 III HAS THE ENTITY TRANSFERRED
ITS RIGHTS TO RECEIVE CASH FLOWS FROM THE ASSET? 451 IV HAVE THE
PASS-THROUGH CRITERIA BEEN MET? 451 X HAS THE US MOVED YET? 452 XI US
ACCOUNTING OVERVIEW 453 A SALE CRITERIA 454 I LEGAL ISOLATION 454 II
RIGHT TO PLEDGE OR EXCHANGE 454 III EFFECTIVE CONTROL CRITERIA 456 B
CURRENT DEVELOPMENTS IMPACTING THE SALE CRITERIA 456 XII CONSOLIDATION
457 XNI QUALIFYING SPECIAL PURPOSE ENTITIES (QSPES) 458 A DEMONSTRABLY
DISTINCT NATURE OF A QSPE 458 B ACTIVITIES OF A QSPE 458 C ASSETS A QSPE
MAY HOLD 459 D SELLING OF NONCASH FINANCIAL ASSETS HELD BY A QSPE 459
XTV CURRENT DEVELOPMENTS IMPACTING QSPES 459 XV VARIABLE INTEREST ENTITY
461 XVI VARIABLE INTEREST ENTITIES 462 XVII DETERMINING CONSOLIDATION OF
VIE BASED ON VARIABILITY 462 XVHI DECISION TREE TO DETERMINE IF SALE OR
SECURED BORROWING 463 XIX INITIAL ACCOUNTING/GAIN-ON-SALE CALCULATION
463 XX IMPACT OF PROPOSED CHANGES 464 XXI SUBSEQUENT ACCOUNTING 465 XXII
CONCLUSION 466 XXIII POSTSCRIPT 466 INDEX 469 |
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| index_date | 2024-07-02T22:24:40Z |
| indexdate | 2024-07-09T21:23:01Z |
| institution | BVB |
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| language | English |
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| publishDate | 2008 |
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| spelling | Vries Robbé, Jan Job de Verfasser (DE-588)130134597 aut Securitization law and practice in the face of the credit crunch Jan Job de Vries Robbé Alphen aan den Rijn [u.a.] Wolters Kluwer Law & Business [u.a.] 2008 XXXIV, 480 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier International banking and finance law series 8 Recht Security (Law) Asset-backed financing Law and legislation Internet resources gtlm International banking and finance law series 8 (DE-604)BV021464333 8 SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016798236&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Vries Robbé, Jan Job de Securitization law and practice in the face of the credit crunch International banking and finance law series Recht Security (Law) Asset-backed financing Law and legislation |
| title | Securitization law and practice in the face of the credit crunch |
| title_auth | Securitization law and practice in the face of the credit crunch |
| title_exact_search | Securitization law and practice in the face of the credit crunch |
| title_exact_search_txtP | Securitization law and practice in the face of the credit crunch |
| title_full | Securitization law and practice in the face of the credit crunch Jan Job de Vries Robbé |
| title_fullStr | Securitization law and practice in the face of the credit crunch Jan Job de Vries Robbé |
| title_full_unstemmed | Securitization law and practice in the face of the credit crunch Jan Job de Vries Robbé |
| title_short | Securitization law and practice |
| title_sort | securitization law and practice in the face of the credit crunch |
| title_sub | in the face of the credit crunch |
| topic | Recht Security (Law) Asset-backed financing Law and legislation |
| topic_facet | Recht Security (Law) Asset-backed financing Law and legislation Internet resources |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016798236&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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