Journal of Structured Finance最新文献

{"title":"Guest Editor’s Letter","authors":"J. Stern","doi":"10.3905/jsf.2019.25.3.009","DOIUrl":"https://doi.org/10.3905/jsf.2019.25.3.009","url":null,"abstract":"1. Jeffrey Stern\u0000 1. is a partner and co-chair of the structured finance practice at Winston & Strawn LLP in New York, NY. (jstern{at}winston.com)\u0000\u0000\u0000 \u0000\u00001. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157. \u0000\u0000This past September, I","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"10 - 9"},"PeriodicalIF":0.4,"publicationDate":"2019-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44913984","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Cayman Islands Corporate Law as a Tool for Innovative CLO Warehouse Structuring","authors":"P. Paschalides, James. Burch, S. Ennis, K. Green, C. Dibben","doi":"10.3905/jsf.2019.1.084","DOIUrl":"https://doi.org/10.3905/jsf.2019.1.084","url":null,"abstract":"The Cayman Islands is well known to be the jurisdiction of choice for structured finance transactions due to its robust legislation and judicial framework, its creditor friendly nature, its familiarity to market participants (in particular, rating agencies), and the list goes on. What is less obvious, and arguably more intriguing, is the increased reliance on basic features of Cayman Islands corporate law to facilitate innovative structuring, particularly at the warehouse stage of a collateralized loan obligation transaction, and create greater efficiencies in transaction execution. The existence of these features is not novel; however, their increased adoption is. In this article, the authors explore the most commonly utilized features and the ways in which they support transaction innovation. TOPICS: CLOs, CDOs, and other structured credit; legal and regulatory issues for structured finance Key Findings • The flexibility of the Cayman Islands corporate regime allows for bespoke structuring. • There is an ever-increasing reliance on basic corporate law features to support transaction innovation. • Cayman as a jurisdiction is commercially responsive, facilitating efficient transaction execution through a robust statutory framework and evolving market practices.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"34 - 39"},"PeriodicalIF":0.4,"publicationDate":"2019-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42602160","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"LIBOR and EU Securitization Changes","authors":"Andriana Loukanari, Christian Berardo","doi":"10.3905/jsf.2019.1.086","DOIUrl":"https://doi.org/10.3905/jsf.2019.1.086","url":null,"abstract":"Two major regulatory changes will significantly affect collateralized loan obligations (CLOs): the phasing out of support for LIBOR in 2021 and the European Union Securitization Regulations, which came into effect in January 2019. These changes will affect borrowers of capital, investment managers who securitize loans, investors in CLOs, and activity of trustees in this market. As markets prepare to transition away from LIBOR, the Fed’s Alternative Reference Rates Committee has established the secured overnight financing rate (SOFR) as its recommended benchmark interest rate. A collateral manager’s transition to using SOFR may require the assistance of a trustee to navigate the change. The EU Securitization Regulation imposes new standards of transparency, risk retention, and due diligence for issuers of and investors in securitizations. The new regulation will affect issuers of securitizations in any jurisdictions that market their products to investors in the EU. With a changing market, collateral managers and trustees should be prepared with language and systems in place to manage the transitions they may face. Ensuring that all parties are informed and prepared will abate market uncertainty and provide continuity. TOPICS: CLOs, CDOs, and other structured credit; legal and regulatory issues for structured finance; financial crises and financial market history Key Findings • As markets prepare for a transition away from using LIBOR as the benchmark interest rate, the Fed’s Alternative Reference Rates Committee has established the secured overnight financing rate as its recommended alternative. A collateral manager’s transition to using SOFR could be challenging and may require the cooperation of a trustee in navigating the change. • The EU Securitization Regulation, which came into effect in January 2019, imposes new standards of transparency, risk retention, and due diligence for issuers of and investors in securitizations. The new regulation will affect issuers of securitizations in any jurisdictions that market their products to investors in the EU. • With a changing market for CLOs, collateral managers and trustees should be prepared with language and systems in place to manage the transitions they may face proactively. Ensuring that all parties are informed and prepared will help to abate market uncertainty and provide continuity.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"40 - 46"},"PeriodicalIF":0.4,"publicationDate":"2019-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49154273","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Editor’s Letter","authors":"Mark Adelson","doi":"10.3905/jsf.2019.25.3.001","DOIUrl":"https://doi.org/10.3905/jsf.2019.25.3.001","url":null,"abstract":"Welcome to the Summer 2019 issue of The Journal of Structured Finance. This issue focuses entirely on collat‐ eralized loan obligations (CLOs) and has a guest editor, Jeffrey Stern, who co‐chairs the structured finance practice at Winston & Strawn, LLP. Mr. Stern is a leading expert on CLOs, and he has pulled together a great lineup of articles for this issue. CLOs are currently quite hot. This year’s issuance volume through mid‐October stands at $93.6 billion, which is slightly behind last year’s pace, but still brisk. For those who are new to CLOs, here is a quick intro: A CLO is like a mutual fund that invests in loans to highly leveraged companies (i.e., companies with speculative‐grade credit quality). However, unlike a mutual fund, most of the securities sold from a CLO are themselves bonds, rather than shares. In simplest terms, a CLO is an arrangement that raises money primarily by issuing its own bonds and then investing the proceeds in a portfolio of leveraged loans. Payments on the portfolio are the main source of funds for repaying the CLO’s own securities. An early ancestor of today’s CLOs was collateralized bond obligations (CBOs). Junk bonds composed the portfolios of many CBOs. CBOs experienced a rough period in the early 2000s, when many junk bonds defaulted (Exhibit 1). Participants in those deals appear to have overestimated the diversification in the underlying portfolios. Most CLOs have actively managed portfolios. A typical deal has a manager (i.e., a management company) that collects fees for managing the portfolio—again, like a mutual fund.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"1 - 3"},"PeriodicalIF":0.4,"publicationDate":"2019-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42075852","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Legislative and Regulatory Considerations in the Leveraged Loan and CLO Markets: Are They Still Safe?","authors":"Elliot Ganz","doi":"10.3905/jsf.2019.1.080","DOIUrl":"https://doi.org/10.3905/jsf.2019.1.080","url":null,"abstract":"In February 2018 the LSTA prevailed in its long legal battle with federal regulators when the DC Circuit Court ruled that CLO managers were not subject to risk retention. With the favorable resolution of that key issue and in light of the hands-off approach to financial regulation, it appeared that the CLO market would be able to continue doing business at historic levels for years to come. However, recent pressures from three different directions are calling that assumption into question. A lawsuit contending that loans are subject to the disclosure and anti-fraud provisions of the securities laws, new capital rules on CLOs published by Japanese regulators, and recent legislation relating to leveraged loans and CLOs introduced in both the House of Representatives and the Senate may change the benign landscape. This article examines the new threats and explains how each could upend the loan and CLO markets. TOPICS: CLOs, CDOs, and other structured credit; legal and regulatory issues for structured finance Key Findings • The leveraged loan and CLO markets successfully navigated regulatory challenges imposed by Dodd–Frank. • CLO issuance has reached record levels in the past few years, operating in a more benign regulatory environment. • Challenges from US and Japanese regulators and a lawsuit that could change the legal status of loans threaten to upend the loan and CLO markets.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"59 - 66"},"PeriodicalIF":0.4,"publicationDate":"2019-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44006805","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"CLO Equity Return and Manager Selection","authors":"Batur Bicer, R. Brauchler, S. Secmen, M. M. Wang","doi":"10.3905/jsf.2019.1.085","DOIUrl":"https://doi.org/10.3905/jsf.2019.1.085","url":null,"abstract":"In this article, the authors investigate the drivers of CLO equity return and how to identify a good CLO manager. Pre-crisis collateralized loan obligation (CLO) structures proved to be very robust in the end. Today’s CLOs are structured more conservatively with generally more CLO debt subordination, cleaner asset pools, and less reinvestment flexibility. Looking at historical CLO equity performance, CLO 1.0 equity benefited from having cheap funding costs and opportunities to buy discounted loans during the financial crisis, ultimately achieving over 20% IRR. CLO 2.0 equity’s returns have been running lower so far in a benign credit market. The authors note that top-quartile US CLO equity always delivered low-to-mid-teens’ returns, regardless of market timing. It is also worth noting that CLO equity’s deal-level and manager-level performance dispersion is evident across different vintages and even more pronounced today than before the Global Financial Crisis as the number of US CLO managers grew from 100 managers pre-crisis to more than 130 today, with the outstanding US CLO market having more than doubled in size. TOPICS: CLOs, CDOs, and other structured credit; project finance; legal and regulatory issues for structured finance; financial crises and financial market history; manager selection Key Findings • Any style could lead to good or bad CLO performance. Active trading and portfolio management are the key to outperform and differentiate from peers for CLO managers. • It is hard to balance principal and interest returns of CLO equity, because minimizing portfolio losses often hurts running excess spreads. We can tell if CLO manager is more “equity-friendly” or “debt-friendly” by comparing various performance metrics. • Manager tiering will continue to be a common theme in the CLO market during the next downturn and the subsequent recovery period.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"47 - 58"},"PeriodicalIF":0.4,"publicationDate":"2019-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49336329","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Global Forces on the US CLO Market","authors":"Kevin Kendra","doi":"10.3905/jsf.2019.1.081","DOIUrl":"https://doi.org/10.3905/jsf.2019.1.081","url":null,"abstract":"This article examines the macroeconomic factors that have led the US broadly syndicated loan and collateralized loan obligation (CLO) markets to be the largest in the world, considers how the markets evolved to the current state, and explores some of the current themes facing both markets. European leveraged loans and CLOs are the second largest market, followed by US middle market loans and CLOs. Each of these markets has different challenges facing them, but there are also similarities in structures, market participants, and market forces that can benefit from shared experiences. Finally, there is the potential for a CLO market to cross over to Asia to focus on Asian credit issuance. The US broadly syndicated loan and CLO markets can serve as a benchmark for the future development of global loan and CLO markets. TOPICS: CLOs, CDOs, and other structured credit; global markets; developed markets; emerging markets Key Findings • Growth in the US leveraged loan market has been supported by sustained, but moderate, GDP growth over the past decade, and monetary policy, both domestically and internationally, has encouraged investment in the US. • Prevalent features of the current leveraged loan market include robust secondary market trading and covenant-lite loan structures resulting from evolution of the leveraged loan market and convergence with the high-yield bond market. • US capital markets continue to evolve, with CLOs and private credit providing more sources of liquidity for corporate issuers.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"67 - 77"},"PeriodicalIF":0.4,"publicationDate":"2019-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42927086","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Highlights from Structured Finance Association (SFA)","authors":"","doi":"10.3905/jsf.2019.25.2.123","DOIUrl":"https://doi.org/10.3905/jsf.2019.25.2.123","url":null,"abstract":"","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"123 - 127"},"PeriodicalIF":0.4,"publicationDate":"2019-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48541788","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Role of ABS CDOs in the Financial Crisis","authors":"Larry Cordell, G. Feldberg, Danielle Sass","doi":"10.3905/jsf.2019.1.072","DOIUrl":"https://doi.org/10.3905/jsf.2019.1.072","url":null,"abstract":"We examine the role of asset-backed security collateralized debt obligations (ABS CDOs) as a primary catalyst for the financial crisis. We show how ABS CDOs became the main investment vehicle for the riskiest investment-grade securities in the private-label mortgage market. We estimate a final tally of writedowns on ABS CDOs, $410 billion in total, with $325 billion assumed by AAA and “super-senior” securities, which had minimal capital, margin, or liquidity requirements. Pre-crisis regulations allowed excessive leverage at some firms investing in these securities, imperiling their solvency and placing them at the center of the financial crisis. TOPICS: Asset-backed securities (ABS), credit risk management, financial crises and financial market history","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"10 - 27"},"PeriodicalIF":0.4,"publicationDate":"2019-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44877470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"LIBOR Replacement—The Long and Winding Road","authors":"Thomas M. Hughes","doi":"10.3905/JSF.2019.25.2.028","DOIUrl":"https://doi.org/10.3905/JSF.2019.25.2.028","url":null,"abstract":"LIBOR is foundational to global markets, but its design makes it unsuitable for the many uses to which it is put, creating enormous regulatory pressure to retire LIBOR in favor of more suitable benchmarks. Replacing LIBOR, however, is throwing up a new set of risks for market participants, some of which have been foreseen, and some of which are emerging as the transition gets under way. This article anatomizes those risks and roots them in the history of modern finance. TOPICS: Fixed income and structured finance, information providers/credit ratings, risk management, LIBOR, benchmarks, benchmark reform","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"28 - 34"},"PeriodicalIF":0.4,"publicationDate":"2019-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49333203","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}