Journal of Structured Finance最新文献

{"title":"Highlights from Global Capital","authors":"M. Adams","doi":"10.3905/jsf.2020.26.2.104","DOIUrl":"https://doi.org/10.3905/jsf.2020.26.2.104","url":null,"abstract":"","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"104 - 112"},"PeriodicalIF":0.4,"publicationDate":"2020-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49503267","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 Conference Notes 2020","authors":"Mark H. Adelson","doi":"10.3905/jsf.2020.1.105","DOIUrl":"https://doi.org/10.3905/jsf.2020.1.105","url":null,"abstract":"CLOs and Leveraged Loans 2020 was a virtual (online) event held June 16–17, 2020. Many of the speakers and panelists expressed strongly positive outlooks for the CLO and leveraged loan sectors. Although the economic fallout from the coronavirus pandemic was a central theme in many sessions, the dominant view was that leveraged loans and CLOs will be able to weather the storm. Sessions covered include: • Get to Know Your CLO Manager! • Opening Keynote: The Longest US Economic Expansion Comes to an End • The Evolution of CLO Documentation Standards • CLO Master Class for Allocators • The New Normal: Evolution of the 2.0 CLO Manager • LIBOR Transition in a Covid-19 World: Preparation Amidst the Chaos • Mezzanine Investor Roundtable: Getting Your Cash Back to Work! Key Findings • The CLO and leveraged-loan markets have withstood the stresses of early 2020 and are well positioned to handle further stresses that may appear. • CLO notes, especially highly-rated notes from recent vintages, have high levels of credit enhancement and other structural protections that enable them to survive adverse scenarios. • Still, tail risk remains. A double-dip recession or a second wave of COVID-19 could derail expectations and lead to tail-risk scenarios.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"103 - 88"},"PeriodicalIF":0.4,"publicationDate":"2020-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42965498","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":"Representation and Warranty Enforcement: Using Blockchain Technology to Improve the Investor Experience","authors":"Patrick J. Tadie, Joseph Deller","doi":"10.3905/jsf.2020.1.104","DOIUrl":"https://doi.org/10.3905/jsf.2020.1.104","url":null,"abstract":"Wilmington Trust is proposing to utilize blockchain technology to enhance the process of enforcing the implementation of representations and warranties (R&Ws). In the past, the R&W enforcement process has taken months, if not years, to get to a proposed solution, and even then, there has been much difficulty in getting to an agreement on how best to enforce R&Ws. The blockchain technology will enhance the speed and accuracy of the process, thus solving a problem that has vexed the investor community that buys mortgage products. By utilizing blockchain technology, Wilmington Trust proposes to do the following: 1. Centralize all documentation in one system, including the documents related to R&Ws at time of origination, at time of servicing, and for the life of the servicing, as well as the supporting documents needed to make a decision. 2. Speed up identification of issues related to non-compliance with R&Ws. 3. Arrive at decision resolutions in days instead of the current months/years-long process that is often accompanied by disagreements, disputes, and lawsuits. TOPICS: Legal and regulatory issues for structured finance, MBS and residential mortgage loans Key Findings • Enforcement of R&Ws has been a huge, time-consuming, costly, acrimonious, and investor-unfriendly process. • Wilmington Trust proposes to utilize blockchain technology to centralize the process, improve the time frames dramatically, and remove the issues listed above. • Investors have expressed strong interest, hoping to remove impediments to a more efficient, fair, and balanced process that ensures adherence to the R&Ws of both origination and servicing of loans they purchase.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"83 - 87"},"PeriodicalIF":0.4,"publicationDate":"2020-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43766976","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":"Pattern Risk of the Securitized Biopharmaceutical Mega-Fund","authors":"Carlos E. Ortiz, C. A. Stone, A. Zissu","doi":"10.3905/jsf.2020.1.103","DOIUrl":"https://doi.org/10.3905/jsf.2020.1.103","url":null,"abstract":"Clinical-stage biopharmaceutical companies are constantly challenged to raise sufficient capital to advance the development of the drug projects in their pipelines. The risk of capital becoming too costly or unavailable when it is needed can constrain the development and commercialization of important medical advances. Securitization has been discussed as a way to increase the flow of capital to clinical-stage biopharmaceutical companies. For securitization to draw more capital into funding biopharmaceutical development, a technique for allocating the current and future cash flows associated with specific biopharmaceutical products must be developed. Fernandez et al. (2012), Fagnan et al. (2013), and Fagnan et al. (2014) have proposed a “mega-fund” scheme as the foundation for a clinical stage biopharmaceutical securitization structure. The securities issued to finance the “mega-fund” are called “Research Backed Obligations.” In this article, the authors modify their label by calling the securities structured biopharmaceutical-backed bonds (SBBBs). This model of the flows of cash through the SBBBs illustrates that it is not only the final number of projects that succeed that drives the value of the fund; also important are the timing of failure, the probability of failing in each phase of development, and the magnitude of success in each phase. TOPICS: Legal and regulatory issues for structured finance, fixed income and structured finance Key Findings • The pattern of drug development failure across the three phases of FDA clinical trials drives the portfolio value of the Biopharmaceutical Mega Fund. • Incorporating licensing/royalty agreements between clinical stage biopharmaceutical companies that are developing the drugs that compose the biopharmaceutical mega-fund and commercial stage biopharmaceutical companies into the securitization program will alleviate adverse selection issues that could depress the value of the securities issued by the mega-fund. • Pattern risk is the uncertain path of progress through the clinical stages of testing that the assets in the biopharmaceutical mega-fund follow. This risk can be managed by engineering the structured biopharmaceutical-backed bonds to account for variations in the patterns of clinical failure.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"30 - 44"},"PeriodicalIF":0.4,"publicationDate":"2020-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47850582","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":"Foreclosures and Their Costs: Could They Have Been Avoided? The Case of California during the Mortgage Crisis","authors":"Mejda Bahlous-Boldi","doi":"10.3905/jsf.2020.1.102","DOIUrl":"https://doi.org/10.3905/jsf.2020.1.102","url":null,"abstract":"The author analyzes a loan-level dataset of 1,528 defaults in California that led to sale of the property as “real estate owned” during the period from 2005 to 2017. In 898 cases (59%), lenders lost 43% of the initial loan ($89,877) on average, per foreclosure. In 942 cases (62%), borrowers lost 30% of the initial price of their home ($147,077), on average. The borrowers who ended up with a profit were those who increased their debt the most after the first purchase loan. Moreover, one in four borrowers generated an average profit of $115,856, while their lenders incurred an average loss of $93,114 precisely because excessive equity extraction transfered the downside risk to the lender. Two-thirds of all ARM borrowers defaulted within the first 3 years of the loan, implying underqualified borrowers at origination. This is an indication of predatory lending/borrowing practices that fueled the wave of foreclosures. The author finds that foreclosure discounts on REO sales in California were 35%, on average, with the highest discount appearing in 2009. Measures that prevent or limit cash-outs during a housing boom, and incentives to default during a housing bust, could help reduce foreclosures and their costs. TOPICS: MBS and residential mortgage loans, legal and regulatory issues for structured finance, financial crises and financial market history Key Findings • An analysis of 1,528 foreclosures in California shows that lenders lost $89,877 and borrowers lost $147,027, on average, per foreclosure during the 2008 mortgage crisis. One in four defaulting borrowers generated a profit, while their lenders incurred a loss due to excessive equity extraction. • ARM borrowers defaulted within the first 3 years of the loan, indicating that these borrowers were underqualified at origination. FRM borrowers defaulted later but used cash-outs more aggressively, leading to negative equity that motivated defaults during the crisis. • Foreclosure discounts were 35% in California, on average, with the worst discount occurring in 2009. Despite the volatility of HPI, every period of 12 years or longer since 1975 led to price appreciation, indicating that foreclosure should be avoided, as the recovery of the market always leads to capital gains.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"29 - 9"},"PeriodicalIF":0.4,"publicationDate":"2020-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45222431","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.2020.26.1.097","DOIUrl":"https://doi.org/10.3905/jsf.2020.26.1.097","url":null,"abstract":"","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"103 - 97"},"PeriodicalIF":0.4,"publicationDate":"2020-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45915678","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.26.1.001","DOIUrl":"https://doi.org/10.3905/jsf.26.1.001","url":null,"abstract":"Cathy Scott General Manager and Publisher Private equity (buyout and venture capital) is perhaps the most controversial asset class. Not a week goes by without academic or industry reports criticizing the PE industry, practices, and performance. The PE industry is not without faults, and some of the criticisms are warranted. Many of the PE industry’s practices that are subjects of these criticisms are directly related to the investments’ nature. For example, IRR is the common measure of performance in the industry. This measure is not easy to interpret and is not directly comparable to the performance of public benchmarks. However, developing alternative performance measures has not been easy, and very often, they create their own ambiguities. For example, while PME measures make it easier to compare PE investments’ performance to publicly traded assets, they cannot be used in portfolio optimization algorithms. A common criticism of the PE industry is that the GPs may manipulate fund NAVs to embellish their intermediate performance. There is evidence of inflated NAVs, especially when a new fund is launched. However, this is not unique to the PE industry, and the same criticism can be levied against many other entities (public traded companies have been shown to manipulate their earnings). Agency problems and agency costs arise in many parts of the financial industry. Many practices of venture capital (VC) and buyout funds do deserve to be criticized, and the industry can take steps to correct them. Lack of transparency about fees, dividend recapitalization, and too much reliance on subscription lines of credit are just a few of those practices that the industry should address. The Journal of Alternative Investments has published many articles addressing these concerns. We are happy to begin this JAI issue with four excellent articles focusing on the PE and VC industry. Brown, Hu, and Zhang provide the first large-sample analysis of buyout and VC fund values in “The Evolution of Private Equity Fund Value,” where each fund’s performance is examined over its lifetime. The article examines interim fund investment multiples, internal rates of return, and direct alphas based on the current reported NAVs at each quarter of a fund’s life. Using a sample of 1,400 mature buyout and VC funds, the authors find that the typical fund experiences a falloff in returns after seven to eight years. The remaining performance is highly variable for funds of all ages, however, and the dispersion in returns also tends to increase after funds are about eight years old. They report that several fund-specific and market-wide factors affect future performance. For example, high dry powder levels tend to harm young funds yet benefit older funds. In “LBO and VC Investments in Recent Crises,” Stark and Lauterbach investigate the impact of economic and financial crises on the investment behavior and cash flow allocations of LBO and VC funds. Using a large sample of LBO and VC ","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"1 - 4"},"PeriodicalIF":0.4,"publicationDate":"2020-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43670005","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 Global Capital","authors":"M. Adams","doi":"10.3905/jsf.2020.26.1.087","DOIUrl":"https://doi.org/10.3905/jsf.2020.26.1.087","url":null,"abstract":"Credit card ABS issuance has “fallen off a cliff” over the last year, declining by 35.9%, according to Bank of America, from roughly $42bn in 2018 to $26bn in 2019. The decline was largely driven by large bank sponsors like Citibank preferring to fund card receivables with cheap retail deposits rather than through securitization, BofA analysts wrote in a 2020 outlook report. For example, JPMorgan Chase removed $13bn of receivables from their Chase Issuance Trust in October, “another sign of a shift in funding preference,” analysts added. The steep decline in issuance from large bank sponsors is likely to continue through 2020, said John McElravey, senior analyst at Wells Fargo. Analysts are expecting credit card ABS volume to stay muted this year, in the range of $23bn–$35bn. Coinciding with the drop in primary issuance has been a sharp decrease in secondary trading activity. “[Secondary] volumes are actually down as trading would increase with issuance,” a consumer ABS trader told GlobalCapital. “[Credit card ABS] used to be the benchmark sector, but has been diminishing with a decline in issuance. This year doesn’t look much better for issuance either as the big issuers (Citi, Bank of America, JPMorgan) all have cheaper funding alternatives.” While the lack of supply will make it harder for investors to trade smaller BWICs, investors who want to obtain a big chunk of credit card ABS of $500m–$750m can usually work with the bank sponsors to meet their needs. “What usually happens is if the investor has a specific need that is big in size, they end up going directly to the primary market,” said an ABS analyst. “[Credit card ABS] is a reverse inquiry model. That’s why you see a lot of credit card deals sold before they are announced.” Going into 2019, 17% of investors surveyed by JPMorgan said that they were looking to add exposure to credit card ABS in the coming year. Headed into 2020, that number has increased to 21%. For many market participants, credit card is the most noteworthy “wild card” this year that will determine the overall ABS supply. “On the one hand, new issue volumes have historically tracked maturities and with $5 billion less reaching maturity in 2020, this Highlights from","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"87 - 95"},"PeriodicalIF":0.4,"publicationDate":"2020-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48646068","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":"Anonymous","doi":"10.3905/jsf.2019.25.4.102","DOIUrl":"https://doi.org/10.3905/jsf.2019.25.4.102","url":null,"abstract":"Read SFA’s response here [https://structuredfinance org/wp-content/uploads/2020/03/SFA-Response-to-ARRC-Spread-Adjustment-Consultation-March-2020 pdf] March 23, 2020 Structured Finance Association Applauds Fed Action, Asks for Additional Program Eligibility SFA Calls for Fed to Quickly Expand Eligible Collateral Under New TALF WASHINGTON—The Structured Finance Association (SFA) today applauded the Federal Reserve for taking initial steps to support the economy by purchasing Treasury securities and agency mortgage-backed securities (MBS) “in the amounts needed to support smooth market functioning and effective transmission of monetary policy to broader financial conditions and the economy,” as well as establishing the Term Asset-Backed Securities Loan Facility (TALF) “to support the flow of credit to consumers and businesses ” “The Structured Finance Association and its 370 corporate member institutions support today’s action by the Federal Reserve to help address the unique nature of the economic impacts of the COVID-19 pandemic, and we hope this is simply a first step on their part,” said Michael Bright, chief executive officer of SFA The Federal Reserve announcement follows calls on Sunday by SFA for prompt implementation of a program substantially based on the Term Asset-Backed Securities Loan Facility (TALF), which was announced by the Federal Reserve Bank of New York in November 2008 and was intended to make credit available to consumers and small businesses on more favorable terms with a government guarantee Full text of the letter sent Sunday is available online here [https://structuredfinance org/wp-content/uploads/2020/03/106711__113068379v7_SFA-SPARCC-comment-letter_SFALetterhead pdf] With more than 370 member institutions comprised of accounting firms, broker/dealers, diversified financial intermediaries, investors, issuers, IT vendors, law firms, mortgage insurers, other small financial institutions, rating agencies, servicers and trustees, SFA is the leading voice for the securitization industry","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"102 - 107"},"PeriodicalIF":0.4,"publicationDate":"2020-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49559424","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":"ABS East 2019 Conference Notes","authors":"Mark H. Adelson","doi":"10.3905/jsf.2019.1.089","DOIUrl":"https://doi.org/10.3905/jsf.2019.1.089","url":null,"abstract":"1. Mark Adelson\u0000 1. is the editor of The Journal of Structured Finance at Pageant Media in New York, NY. (m.adelson{at}pageantmedia.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\u0000The 25th Annual ABS East","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"59 - 82"},"PeriodicalIF":0.4,"publicationDate":"2020-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44810104","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}