The Securitization Conduit articles from March 22 2002

The Securitization Conduit archives from March 22 2002

C'est La VIE: FIN 46.(Letter from the Editors)(variable interest entities)(Editorial)
March 22, 2002... Financial Interpretation 46 (FIN 46) and its subsequent revision in January of 2003 (FIN 46 R) has changed the rules for the consolidation of variable interest entities (VIEs). An asset-backed commercial paper conduit is a VIE and thus affected...

The CDO product.
March 22, 2002... Collateralized debt obligations, or CDOs, are structured vehicles that are similar to leveraged closed-end funds. Since their creation in the late 1980s, CDOs have evolved into three major classifications: cash flow CDOs; synthetic CDOs; and...

CDO transactions structural basics.
March 22, 2002... CDO structures contain various covenants and mechanisms that dictate the composition of the collateral portfolio, define the trading activities permitted, allocate cash proceeds to the rated notes and equity, and aim to protect noteholders by...

CDO evaluator and portfolio benchmarks.
March 22, 2002... Standard & Poor's new CDO Evaluator refines CDO default analysis. This new model uses Monte Carlo statistical methodology to evaluate the credit quality of a portfolio of CDO assets and to provide scenario-default rates for the portfolio at...

CDO manager quality: a critical consideration.(collateralized debt obligations)
March 22, 2002... The goal of any CDO manager analysis is to attempt to anticipate, as well as possible, how well equipped the CDO team is to meet the diverse needs of a variety of constituents. Given the complexity of the analysis and the poor availability of...

Structural and collateral considerations.
March 22, 2002... This section highlights the credit support and payment features of CDOs, and their effect on the CDO transactions. I. CREDIT SUPPORT AND PAYMENT STRUCTURES 1. SUBORDINATION One of the most common forms of credit enhancement in CDOs...

Cash flow analytics for CDO transactions.(collateralized debt obligations)
March 22, 2002... The exact capital structure for cash flow CDO transaction, or for synthetic CDO transaction with cash flow components, is determined by modeling cash flow simulations under different assumptions. The aim of this analysis is to show that each...

Hedging considerations in CDO transactions.(collateralized debt obligations)
March 22, 2002... CDO will use some combination of interest rate swap and cap agreements to hedge its risks against interest rate mismatches between fixed rate assets and floating rate liabilities, or visa-versa. Similarly, it may be necessary to employ a...

Legal considerations for CDO Transactions.(collateralized debt obligations)
March 22, 2002... This article broadly describes the methodology used in reviewing the legal aspects of CDO securitization structures and the application of that methodology to the most commonly used U.S. structures. Nevertheless, it provides a useful guide to...

Solving corporate finance problems with securitization. (Letter from the Editors).(Letter to the Editor)
March 22, 2002... I. MATCHED FUNDING Securitization of leases of commercial property to refinance bank debt and secure long term capital market funding that matches the tenor of their assets, has recently been used by British Land and Canary Wharf. Long...

New accounting rules for investors in credit-sensitive ABS and MBS.
March 22, 2002... EITF 99-20 sets forth the rules (effective in the second quarter of 2001) for (1) recognizing interest income (including amortization of premium or discount) on (a) all credit-sensitive mortgage and asset- backed securities and (b) certain...

FASB issues FASB Statement 140 replacing FASB 125.
March 22, 2002... On September 29, 2000, the FASB released FASB Statement 140 which replaces FASB 125 in its entirety, but carries forward many of its provisions without reconsideration. The major changes to FASB 125 affecting securitizations are summarized...

Asset Backed Securities: a practical guide for investors.
March 22, 2002... This guide is an introduction to ABS, presented from the point of view of the investor. It proposes a breakdown in simple notions, which enable a partial reading. I. What is an ABS? ABS (Asset Backed Securities) are experiencing strong...

CBO, CLO, CDO: a practical guide for investors.
March 22, 2002... The CDO market has been developing rapidly since 1996, reaching an issuance volume of USD l00bn in 1999, i.e. approximately twice the securitisation volume of US credit cards, the most mature market segment. MBS (Mortgage Backed Securities) and...

Canadian securitization 2000: Current trends and developments.
March 22, 2002... If you were looking for two words to describe the current state of Canadian securitization, they would be Growth and Change. I. INTRODUCTION If you were looking for two words to describe the current state of Canadian securitization,...