the global market for asset -backed securitiespages.stern.nyu.edu/~igiddy/abs/globalabs.pdfthe...
TRANSCRIPT
![Page 1: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/1.jpg)
The Global Marketfor
Asset-Backed Securities
Prof. Ian GiddyStern School of Business
New York University
Asset-Backed Securities
![Page 2: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/2.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 2
Asset Securitization
ABN-AMRO (SPONSOR)
SPECIALPURPOSEVEHICLE
CREDIT CARDRECEIVABLES
ISSUESASSET-BACKEDCERTIFICATES
SALE ORASSIGNMENT
CREDIT CARDRECEIVABLES
![Page 3: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/3.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 3
Structure
![Page 4: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/4.jpg)
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
![Page 5: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/5.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 5
Example
HAUS MBS2001-1
![Page 6: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/6.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 6
COMM 2003-LNB1$846 million commercial mortgage pass-through certificates series 2003-LNB1
![Page 7: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/7.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 7
Example: Corporate Cash Flow
![Page 8: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/8.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 8
US Bond Market
Source: www.bondmarkets.com
![Page 9: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/9.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 10
FNMA Pass-Throughs
Fannie Mae
![Page 10: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/10.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 11
The US ABS Market
Source: www.bondmarkets.com
![Page 11: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/11.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 12
Asset-Backed CP Market
Recent estimates suggest ABCP is about half of all CP issuance.
![Page 12: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/12.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 13
European ABS
Source: www.europeansecuritisation.com
2003
![Page 13: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/13.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 14
European ABS
Source: www.europeansecuritisation.com
2003
![Page 14: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/14.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 15
Dealmakers
![Page 15: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/15.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 16
The Market in Europe
Source: Commerzbank (from absnet.net)
![Page 16: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/16.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 17
The Market in Europe
Source: Commerzbank (from absnet.net)
![Page 17: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/17.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 18
Source: Commerzbank (from absnet.net)
![Page 18: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/18.jpg)
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)
![Page 19: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/19.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 20
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.
![Page 20: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/20.jpg)
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)
![Page 21: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/21.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 22
Three New Developments
l Synthetic ABSl Whole Business Securitizationl Asset-Backed Commercial Paper
Conduits
![Page 22: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/22.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 31
Corporate Cash Flow Financing
SecuritizedCorporate Debt
Asset-BackedSecurities
Segregated SecuredWhole Business Notes
Credit-LinkedNotes
![Page 23: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/23.jpg)
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
![Page 24: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/24.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 33
Vintage ABS Structure
BusinessGroup
Corporatefinance company
Seller(intermediate company)
Underlyingbusiness assets
Bond Issuer(SPV)
InvestorsAssets Bonds
Trustee
ServicingAgreement
![Page 25: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/25.jpg)
Copyright ©2003 Ian H. Giddy The ABS Market 47
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
![Page 26: 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](https://reader033.vdocuments.mx/reader033/viewer/2022050406/5f834c10ccb92f7f2f0f1a1d/html5/thumbnails/26.jpg)
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