DEFEASANCE  FINANCEMENTS STRUCTURES    SOCIETES AD HOC - SPECIAL PURPOSE VEHICLES TITRISATION

LES TECHNIQUES D'INGENIERIE JURIDIQUE

Bibliographie

Comptabilité et ingénierie juridico-financière,  Berlioz, Georges,  Revue de droit comptable, n° 1,  01/01/1996, pp 103-122

La titrisation

TITRISATION

Une technique de gestion  d’actif : la gestion active du bilan

La titrisation consiste à transférer à des investisseurs les risques de crédit liés à un portefeuille de créances non en les cédant.

Le recours par les entreprises aux  opérations de titrisation et la désintermédiation

                les classes d’actif titrisables par les entreprises (titrisations « corporate ») : actifs corporels et créances

                les créances commerciales : créances acquises et créances futures

                clause de transfert de recouvrementcccccccccccccccccccccccccccccccccccccccccccccccccccccccccccc

                les opérations adossées à des stocks

  l'amélioration des créances

Les montages

                choix des véhicules de titrisation

                la traduction comptable de l’opération de titrisation

Les FCC

                Les FCC classiques

                Les FCC à compartiments

loi 88-1201 du 23 décembre 1988? loi DDOEF du 2 juillet 1998

L’amélioration des créances

                l’assurance

  Xavier de Kergommeaux, Titrisation, le décret nouveau est arrivé, Option Finance, 23/11/ 1998

La notation

La titrisation synthétique

La titrisation consiste à transférer à des investisseurs les risques de crédit liés à un portefeuille de créances non en les cédant, comme dans la titrisation classique, mais en mettant en place des garanties de risques. La question principale est de savoir si le risque a été effectivement transféré.

Articles

Eric Davoudet, Titrisation de créances commerciales, une fiscalité en progrès ...relatif, Option Finance, 10/01/2000

CLO

Kissane, CormacKBC's synthetic CLO [collateralized loan obligation] breathes life into Europe asset-backed market, International Financial Law Review (IFLR),  01/08/2000,pp.  14-16

Titrisation en Chine

 Peiji, Gao ; Kruger Paul, China faces up to the new challenges of securization, The Contract Law, International Financial Law Review (IFLR),n° 8, 01/08/2000,pp. 29-34

Titrisation en Suisse 

Koch, Hans Andrée ; Giger, Marcel, Les titrisations (asset-backed securities ou A.B.S), aspects juridiques et fiscaux, Gaz. Pal. n° 196, 14/07/2000, p.19

La titrisation aux USA (securitization)

www.securitization.net

http://www.asset-backed.com/

 Securitization is a technique  whereby assets are pooled and security interests in the pool are sold. These operations are made typically to institutional investors.

 Assets created in this manner include mortgage-backed securities wich are backed by residential mortgages, and asset-backed securities which are backed by credit card receivables or consumer installment loans.

 

In a typical arrangement, the assets are transferred to a trust [ and security interests are sold to investors. While various arrangements are used, typically, principal and interest cash flows are paid directly to investors. In this way, the investors incur the prepayment risk of the underlying assets.

Most deals entail some sort of  credit enhancement. This may include over-collateralisation, a third party guarantee, or other enhancements. For this reason, the securities tend to have excellent credit ratings.

The originator of the underlying assets may continue to process the assets—communicating with borrowers and collecting their payments. They subtract a fee for doing so. Alternatively, the originator may sell these "processing rights" to a third party.

For loan originators securitization is a means of removing risky assets from their balance sheet, freeing up capital to support further loan writing.

For investors, the securities offer yields that exceed those on comparable corporate bonds. Because the deals are usually large and have high credit ratings, the securities tend to be liquid—most are actively traded on secondary markets.

 

Mortgage-backed security (MBS) is a bond which represents a securitized interest  in a pool of (typically residential) mortgages. The simplest form of MBS is a mortgage pass-through. With that structure, all principal and interest payments (less a processing fee) from the pool of mortgages are passed directly to investors each month.

A typical 30-year fixed-rate residential mortgage makes a fixed payment each month until its maturity. Each payment represents a partial repayment of principal along with interest on the outstanding principal. Over time, as more and more of the principal is paid off, the size of the interest payment declines. Accordingly, the proportion of each payment representing principal repayment increases over the life of the mortgage.

Although the scheduled payments on a mortgage are fixed from one month to the next, the cash flows to the holder of a mortgage pass-through are not fixed. This is because mortgage holders have the option of   prepaying their mortgages. When a mortgage holder exercises that option, their principal prepayment is passed to the holder of the pass-through. This accelerates the cash-flows to the holder of the pass-through who receives the principal payments early, but never receives the future interest payments that would have been made on that principal.

Prepayments introduce uncertainty into the cash flows of a mortgage pass-through. The rate at which mortgage holders prepay their mortgages is influenced by many factors, not least of these being the level of interest rates. If interest rates decline following the issuance of a mortgage, the mortgage holder is more likely to prepay—refinancing the mortgage to take advantage of the lower rate. On the other hand, if interest rates rise, the mortgage holder is more likely to not prepay because the mortgage's rate is now low relative to rates otherwise available in the market.

By acting in their own best interest, mortgage holders act to the detriment of the investor holding the mortgage pass-through. The duration of the pass-through extends as interest rates rise, and contracts as interest rates fall. For this reason, mortgage pass-throughs entail significant convexity risk. To compensate investors for that convexity risk, pass-throughs typically offer higher yields than comparable corporate bonds.

Despite their market risk, mortgage pass-throughs typically entail little credit risk. This is because they are usually insured by a US federal agency or quasi-federal agency such as FHLMC (the Federal Home Loan Mortgage Corporation, or "Freddie Mac"), FNMA (the Federal National Mortgage Association, or "Fannie Mae") or GNMA (the Government National Mortgage Association, or "Ginnie Mae")

Asset-backed securities represent securitized interests in a pool of assets. Issues have been backed by credit card receivables, auto loans and other forms of consumer installment loans.

Investors receive monthly payments of principal and interest. Securities backed by installment loans operate much like a mortgage pass-through.  All principal and interest payments flow directly to investors.

Securities backed by revolving credit lines, such as credit cards, may delay distributing principal during a lockout period. During that period, principal cash flows are reinvested in additional receivables. Once the lockout period is over, principal flows to the investors.

The rate at which asset-backed securities pay down principal, as well as their ultimate maturity date, is uncertain. This is because principal cash flows depend upon the rate at which individual consumers decide to prepay their indebtedness. However, because deals are large, and diversified across many loans, this uncertainty is minimal. Unlike mortgage-backed securities, whose prepayment rates are affected by changes in interest rates, asset-backed security prepayments show little sensitivity to interest rates.

Articles

Coutenier, Brigitte, Les techniques de mobilisation des créances internationales : aspects de droit international et de droit comparé - Mechanisms of international receivables-backed financing : aspects of international and comparative law, Reveue de droit des affaires internationales- International Business, 01/03/1999

LA SUBORDINATION

c. Sekfali, Zine, La technique de la subordination dans les financements d'acquistion d'entreprises, de projets et d'actis, régime juridique et pratique en France, aux Etats Unis et en Grande Bretagne, Banque et Droit, 01/07/1999

titrisation en Afrique du Sud

http://www.sotta.co.za/

Russian equity market

http://www.rmg.ru/

securitization in Latin America