Journal of Structured Finance最新文献

{"title":"Highlights from Global Capital","authors":"M. Adams","doi":"10.3905/jsf.2019.25.4.090","DOIUrl":"https://doi.org/10.3905/jsf.2019.25.4.090","url":null,"abstract":"The US dollar market is lagging behind the sterling market in adopting LIBOR replacement, according to Fitch. However, with the Alternative Reference Rates Committee (ARRC) leading the initiative, more US market participants are looking at applying the committee’s guidelines to ensure a successful transition to a new benchmark rate. The intense focus on the issue could be felt throughout ABS East in Miami Beach last week, where attendees devoted much of their time discussing LIBOR fallback language and alternative benchmark rates. Four panels were exclusively dedicated to LIBOR, while the topic was brought up in almost every other session throughout the three day conference. Out of the many challenges, the most diff icult may be modifying older documents to have standardised fallback language, market participants agreed. Fitch added that progress over the next six months “may be critical” to leave time for transitions in legacy contracts to take place before the end of 2021. “You can probably separate the LIBOR transition issue into two separate areas,” said Francisco Paez, head of structured finance credit research at MetLife. “Part one is what do we do now going forward with new transactions coming online. Part two is how do we deal with transactions that were issued before the standard fallback language was developed. This is the legacy contract issue that people feel is more challenging because there isn’t one simple solution to deal with disparate transaction language that did not contemplate a permanent unavailability of LIBOR.”","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"101 - 90"},"PeriodicalIF":0.4,"publicationDate":"2020-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42154092","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":"Exchange Rate Shocks and the Dynamics of International Asset-Backed Securities (ABS)","authors":"O. Ibhagui","doi":"10.3905/jsf.2019.1.079","DOIUrl":"https://doi.org/10.3905/jsf.2019.1.079","url":null,"abstract":"This article presents a practitioner-relevant view on the response of international asset-backed securities (ABS) spreads to exchange rate shocks. The author documents that positive exchange rate shocks tighten international ABS spreads across maturities; the tightening is more pronounced for lower-rated ABS. Thus, the spread-reducing effects of positive exchange rate shocks are larger for lower-rated international ABS. The author argues that this phenomenon relates to the potential of foreign-currency appreciation to induce risk-on sentiments in favor of the riskier foreign securities experiencing the foreign-currency appreciation, which subsequently lowers ABS spreads. For other variables, the author finds that the interaction between measures of risk aversion in the equities market—VIX—and in the bond market—MOVE—is important in explaining the dynamics of international ABS spreads. Specifically, a positive shock to these risk aversion measures triggers a flight to safety, which subsequently elevates international ABS spreads. TOPICS: Asset-backed securities (ABS), emerging markets, portfolio management/multi-asset allocation, performance measurement Key Findings • The author examines the response of spreads to exchange rate shocks in the international ABS market. • A positive shock to exchange rate triggers a negative spread response (spread-tightening) that is significant across maturities and more pronounced for lower investment-rated ABS. • The author also finds that international ABS spreads relate positively with measures of risk aversion in the equities market (the VIX measure) and bond market (the MOVE measure). • Specifically, a positive shock to these risk aversion measures triggers a flight-to-safety response, which elevates spreads in the international ABS market.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"20 - 31"},"PeriodicalIF":0.4,"publicationDate":"2020-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42801439","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":"Default Probability Assessment for Project Finance Bank Loans and Basel Regulations: Searching for a New Paradigm","authors":"Vikas Srivastava, Surya Dashottar","doi":"10.3905/jsf.2019.1.088","DOIUrl":"https://doi.org/10.3905/jsf.2019.1.088","url":null,"abstract":"Syndicated loan data from India suggest that despite the pressure on margins and volumes, available “bankable” deals in infrastructure are still strongly contested by commercial lenders. With the implementation of Ind AS accounting norms (IFRS) for commercial banks, the expected credit loss–based provisions have to be set by the bank based on internally estimated probability of default (PD) for different loan portfolios. This change may lead to heavier risk-weighted capital requirements for banks, thus impacting the project finance business. Basel III norms and subsequent discussion papers propose a revised standardized approach doing away with internal modeling approaches and introduction of standardized output floors for specialized lending, including project finance. In this light, the authors present a cash flow simulation model to address the issue of PD estimation by simulating key risk factors. This method may be useful as each project and each sector is unique and so are the risks associated with it. Thus, the authors argue that the use of a simulation model will result in better assessment and monitoring of credit risk than conventional assessment methods, leading to lower default rates and therefore lower capital charge. The authors then suggest some new rules of engagement for project finance lenders to stay relevant in the changing regulatory scenario. TOPICS: Simulations, project finance, credit risk management Key Findings • Probability of default estimation and subsequent impact on credit risk capital is important for project finance lenders in India especially after emerging Basel III reforms and subsequent discussion papers on credit risk capital. (Informally called as Basel IV) • The authors suggest a cash flow simulation model developed using risk parameters “specific” to each project. The application of the model is shown on a road project and it calculates cumulative default risk probability of the project. • The article argues that this model will result in better assessment and monitoring of credit risk. Authors also suggest new rules for engagement for the project finance lenders in the emerging regulatory scenario.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"41 - 53"},"PeriodicalIF":0.4,"publicationDate":"2020-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44871692","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":"Project Finance","authors":"Introbooks","doi":"10.1002/9781119389316.part2","DOIUrl":"https://doi.org/10.1002/9781119389316.part2","url":null,"abstract":"","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"10 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2020-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84394633","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":"Behind the Scenes","authors":"P. Wood, Dr Clare Tovee","doi":"10.1002/9781119389316.ch9","DOIUrl":"https://doi.org/10.1002/9781119389316.ch9","url":null,"abstract":"","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"8 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85440398","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":"Planning, Strategizing, and Anticipating: Bringing a CRE CLO to Market","authors":"Dennis J. Kelly, Christine A. Spletzer","doi":"10.3905/jsf.2019.1.083","DOIUrl":"https://doi.org/10.3905/jsf.2019.1.083","url":null,"abstract":"The authors discuss basic structural and process considerations relating to the execution of a commercial real estate collateralized loan obligation (CRE CLO) transaction, focusing on several key differences between CRE CLOs and more-standard CLOs, with a particular emphasis on the tax analysis. The authors explore the tax challenges of the REMIC and grantor trust structures, as well of the advantages and disadvantages of utilizing a qualified REIT subsidiary (QRS) structure or having the issuer domiciled outside of the United States in a traditional offshore CLO/CDO structure. In recent years, CRE CLOs have provided CRE CLO sponsors an important financing alternative for transitional properties, one that is nonrecourse to the CRE CLO sponsor, and generally offers better match-term funding, and largely eliminates mark-to-market risks for the CRE CLO sponsor. CRE CLOs use much of the terminology and technology of middle market CLOs and achieve like goals for sponsors by achieving balance sheet leverage, but the nature of the collateral and the tax structure underlying the CRE CLO are fundamentally different from other CLOs. A potential CRE CLO sponsor should be aware that asset level disclosure in the CRE CLO market is far more granular than that for middle market CLOs. A potential CRE CLO sponsor should consider that significant company resources will be devoted to vetting the disclosure for a period of several months. TOPIC: CLOs, CDOs, and other structured credit Key Findings • In recent years, CRE CLOs have provided CRE CLO sponsors an important financing alternative for transitional properties, one that is nonrecourse to the CRE CLO sponsor, generally offers better match-term funding, and largely eliminates mark-to-market risks for the CRE CLO sponsor. • CRE CLOs use much of the terminology and technology of middle market CLOs and achieve like goals for sponsors by achieving balance sheet leverage, but the nature of the collateral and the tax structure underlying the CRE CLO are fundamentally different from other CLOs. • A potential CRE CLO sponsor should be aware that the level of asset level disclosure in the CRE CLO market is far more granular than in the middle market CLO market. Given the transitional nature of the underlying properties, which require more due diligence by investors, together with short loan terms, investors demand significantly more disclosure than a middle market CLO offering. A potential CRE CLO sponsor should consider that significant company resources will be devoted to vetting the disclosure for a period of several months.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"17 - 25"},"PeriodicalIF":0.4,"publicationDate":"2019-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47954276","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.2019.25.3.079","DOIUrl":"https://doi.org/10.3905/jsf.2019.25.3.079","url":null,"abstract":"Despite consistent year on year issuance increases in the esoteric ABS sub-sector and strong demand from buyers, aircraft ABS investors say cracks are beginning to show. “Several aircraft ABS transactions have been underperforming their original underwriting,” said Mario Rivera, managing director of the Fortress credit funds business. “People have been quiet about it because they think these were smaller, oneoff transactions that were not widely received by the market to begin with.” Aircraft leasing has experienced heady growth since 2015, bolstered by increased global demand for air travel and favourable interest rates. As deal structures evolved over the years and investors grew more comfortable with the asset class, aircraft ABS issuance hit an all-time record last year, with 14 deals totalling $7.45bn of rated notes, according to data from Kroll Bond Rating Agency. The sector has also grown more liquid, according to Kroll, with trading volumes averaging $177m each month in 2018, compared with $89m and $62m in 2017 and 2016, respectively. “We were always attracted to [aircraft ABS],” said an ABS investor, just one of many higher yield investors who began eyeing the space over the past few years. “It’s the siren song, seeing that yield. It was one of the spreadier opportunities out there.” However, he added that his f irm has been hesitant to invest in recent deals, and has not participated in any transactions this year. This is the case for many investors who believe aircraft ABS has finally reached maximum altitude in 2019, especially considering where the market is in the credit cycle. Losses are already racking up in some transactions, such as BOC Aviation’s Shenton 2015-1 deal and Aergo Capital’s METAL 2017-1 transaction, market participants noted. The Shenton deal has been hit with defaults at the equity level, while the METAL transaction saw interruption of cash f low, impacted by the bankruptcy of Jet Airways in April. Some older aircraft engine deals are also performing below originally underwritten expectations. “There has quietly been a fair amount of airlines default. I don’t think the deals have suffered tremendously yet, but could that be an indicator of increased stress in Highlights from","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"79 - 86"},"PeriodicalIF":0.4,"publicationDate":"2019-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45138258","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.2019.25.3.087","DOIUrl":"https://doi.org/10.3905/jsf.2019.25.3.087","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":"87 - 91"},"PeriodicalIF":0.4,"publicationDate":"2019-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45445178","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":"Recent Trends in Raising Captive Equity for Broadly Syndicated CLOs","authors":"R. J. Reilly","doi":"10.3905/jsf.2019.1.087","DOIUrl":"https://doi.org/10.3905/jsf.2019.1.087","url":null,"abstract":"The Loan Syndications and Trading Association victory over federal regulators released managers of open market collateralized loan obligation (CLO) transactions from the requirement to comply with the US risk retention rules. This removed one of the most substantial economic hurdles to managing CLOs sold to investors in the United States and Asia. In their quest for a broader investor base, however, CLO managers are more frequently looking to Europe. At the same time, CLO managers continue to raise capital to fund the equity that supports their CLOs. Because CLOs sold to European institutional investors need to comply with the EU Securitisation Regulation, several important factors must be considered when structuring investment vehicles used by CLO managers to fund their CLO equity. This article examines some of the key legal, tax, and regulatory issues that CLO managers face when raising capital that will be used to fund the equity in EU-compliant CLOs. 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 • US CLO managers are increasingly looking to issue CLOs that may be sold to certain types of regulated European investors. At the same time, they continue to raise capital to fund the equity in their CLOs. • There have been several recent developments affecting the manner in which CLO managers are able to raise captive equity. These include, among others, the elimination of the US risk retention rules for “open market CLOs” and the adoption of the European Securitisation Regulation, which provides some clarity around some of the regulatory considerations related to investment vehicles through which such capital is deployed. • When structuring these investment vehicles, US CLO managers should be aware of the current state of the market on a variety of legal, regulatory, and tax issues.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"26 - 33"},"PeriodicalIF":0.4,"publicationDate":"2019-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44626182","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":"Financing the Middle Market: Growth and Evolution","authors":"M. T. Mullins, Russell J. Casper","doi":"10.3905/jsf.2019.1.082","DOIUrl":"https://doi.org/10.3905/jsf.2019.1.082","url":null,"abstract":"Middle market lending has become a highly competitive environment, both in terms of lenders competing for transactions as well as the capital structures and financings that support the market. As the array of products offered by middle market lenders becomes more complex, so does the method by which those lenders seek to finance those offerings. The increasing interest in the middle market from investors and asset managers has led to an evolution in the market and diversification of the investor base as middle market lenders seek to achieve their desired returns. TOPIC: CLOs, CDOs, and other structured credit Key Findings • Middle market lending has become increasingly competitive for lenders and increasingly attractive for investors. • Availability of non-traditional financing sources to middle market lenders has caused a fundamental shift in the role of such lenders from providers of capital to asset managers. • The number and structures of financing products available to middle market lenders have increased and evolved to meet the increased demand and diversification of investors for middle market loans.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"25 1","pages":"11 - 16"},"PeriodicalIF":0.4,"publicationDate":"2019-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44209976","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}