The Global Market for Asset -Backed Securitiespeople.stern.nyu.edu/igiddy/ABS/globalabs.pdf · The...
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The Global Market for Asset-Backed Securities Prof. Ian Giddy Stern School of Business New York University Asset-Backed Securities
Transcript of The Global Market for Asset -Backed Securitiespeople.stern.nyu.edu/igiddy/ABS/globalabs.pdf · The...
The Global Marketfor
Asset-Backed Securities
Prof. Ian GiddyStern School of Business
New York University
Asset-Backed Securities
Copyright ©2003 Ian H. Giddy The ABS Market 2
Asset Securitization
ABN-AMRO (SPONSOR)
SPECIALPURPOSEVEHICLE
CREDIT CARDRECEIVABLES
ISSUESASSET-BACKEDCERTIFICATES
SALE ORASSIGNMENT
CREDIT CARDRECEIVABLES
Copyright ©2003 Ian H. Giddy The ABS Market 3
Structure
Copyright ©2003 Ian H. Giddy The ABS Market 4
US Examples
Commercial PaperAuto Loans and LeasesConsumer LoansCredit CardsCommercial Assets
AircraftFranchise Loans
Equipment LeasesTimeshare LoansEntertainment/Intellectual Property
SBA LoansTrade Receivables
Mutual Fund FeesHealthcare Receivables
Net Interest MarginSecuritizations (NIMs)
Home Equity LoansManufactured HousingSubprime MortgagesStudent LoansInsurance Related Securitizations
Life SettlementsCatastrophic RiskInsurance PremiumsStructured Settlements
Sports ReceivablesDealer FloorplanStranded CostsTobacco Settlements
Copyright ©2003 Ian H. Giddy The ABS Market 5
Example
HAUS MBS2001-1
Copyright ©2003 Ian H. Giddy The ABS Market 6
COMM 2003-LNB1$846 million commercial mortgage pass-through certificates series 2003-LNB1
Copyright ©2003 Ian H. Giddy The ABS Market 7
Example: Corporate Cash Flow
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US Bond Market
Source: www.bondmarkets.com
Copyright ©2003 Ian H. Giddy The ABS Market 10
FNMA Pass-Throughs
Fannie Mae
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The US ABS Market
Source: www.bondmarkets.com
Copyright ©2003 Ian H. Giddy The ABS Market 12
Asset-Backed CP Market
Recent estimates suggest ABCP is about half of all CP issuance.
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European ABS
Source: www.europeansecuritisation.com
2003
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European ABS
Source: www.europeansecuritisation.com
2003
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Dealmakers
Copyright ©2003 Ian H. Giddy The ABS Market 16
The Market in Europe
Source: Commerzbank (from absnet.net)
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The Market in Europe
Source: Commerzbank (from absnet.net)
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Source: Commerzbank (from absnet.net)
Copyright ©2003 Ian H. Giddy The ABS Market 19
ABS in Europe
l Mortgagesl Loans (CLOs) (Smile, €5 billion CLO of
SME loans) l Trade receivablesl Consumer receivablesl Royalties, taxes, etc (Italian government
€3 billion securitisation of lottery receivables)
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Example: Formula One Bond
l In May1999, Morgan Stanley Dean Witter and WestLB led a $1.4 billion F1 Eurobond issue.
l The bond was backed by TV rights and revenues from the exclusive contract between Bernie Ecclestone’s F1 company and broadcasters for Grand Prix racing coverage.
Copyright ©2003 Ian H. Giddy The ABS Market 21
ABS in Asia
l Mortgagesl Commercial loans (including NPLs &
SMEs) l Auto receivablesl Future-flow payments
ABN-AMRO first synthetic securitization of residential mortgage loans in Hong Kong
Nomura whole business securitization of First Silicon (Malaysian wafer plant)
Copyright ©2003 Ian H. Giddy The ABS Market 22
Three New Developments
l Synthetic ABSl Whole Business Securitizationl Asset-Backed Commercial Paper
Conduits
Copyright ©2003 Ian H. Giddy The ABS Market 31
Corporate Cash Flow Financing
SecuritizedCorporate Debt
Asset-BackedSecurities
Segregated SecuredWhole Business Notes
Credit-LinkedNotes
Copyright ©2003 Ian H. Giddy The ABS Market 32
Vintage Asset Securitization
q The transfer must be a true sale, or its legal equivalent. If originator is only pledging the assets to secure a debt, this would be regarded as collaterized financing in which the originator would stay directly indebted to the investor.
q The assets must be owned by a special-purpose corporation, whose ownership of the sold assets is likely to survive bankruptcy of the seller.
q The special-purpose vehicle that owns the assets must be independent
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Vintage ABS Structure
BusinessGroup
Corporatefinance company
Seller(intermediate company)
Underlyingbusiness assets
Bond Issuer(SPV)
InvestorsAssets Bonds
Trustee
ServicingAgreement
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A Guide
l The deal – what kind?l The pooll The business and the cash flow
economicsl The structure – what would really
happen in distress?l The parties involved – motivation and
quality
Copyright ©2003 Ian H. Giddy The ABS Market 49
ABSresearch.com
Ian H. GiddyStern School of BusinessNew York University44 West 4th Street, New York, NY 10012, USA
Tel [email protected]://giddy.org
