The Global Market for Asset -Backed Securitiespages.stern.nyu.edu/~igiddy/ABS/globalabs.pdfThe Global Market for Asset -Backed Securities Prof. Ian Giddy Stern School of Business New

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


Structure


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


Example

HAUS MBS2001-1


COMM 2003-LNB1$846 million commercial mortgage pass-through certificates series 2003-LNB1


Example: Corporate Cash Flow


US Bond Market

Source: www.bondmarkets.com


FNMA Pass-Throughs

Fannie Mae


The US ABS Market

Source: www.bondmarkets.com


Asset-Backed CP Market

Recent estimates suggest ABCP is about half of all CP issuance.


European ABS

Source: www.europeansecuritisation.com

2003


European ABS

Source: www.europeansecuritisation.com

2003


Dealmakers


The Market in Europe

Source: Commerzbank (from absnet.net)


The Market in Europe





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)


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.


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)


Three New Developments

l Synthetic ABSl Whole Business Securitizationl Asset-Backed Commercial Paper

Conduits


Corporate Cash Flow Financing

SecuritizedCorporate Debt

Asset-BackedSecurities

Segregated SecuredWhole Business Notes

Credit-LinkedNotes


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


Vintage ABS Structure

BusinessGroup

Corporatefinance company

Seller(intermediate company)

Underlyingbusiness assets

Bond Issuer(SPV)

InvestorsAssets Bonds

Trustee

ServicingAgreement


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


ABSresearch.com

Ian H. GiddyStern School of BusinessNew York University44 West 4th Street, New York, NY 10012, USA

Tel [email protected]://giddy.org

Documents

The Global Market for Asset -Backed Securitiespages.stern.nyu.edu/~igiddy/ABS/globalabs.pdfThe Global Market for Asset -Backed Securities Prof. Ian Giddy Stern School of Business New