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LES TECHNIQUES D'INGENIERIE JURIDIQUEIl s'agit d'abord de techniques de gestion de bilan, consistant à améliorer la structure de bilan ayant pour objet soit d'individualiser un ensemble de risques (gestion du passif), soit un ensemble de créances (gestion de l'actif). Il s'agit respectivement de la defeasance et de la titrisation. Ces techniques d'ingénierie juridique font intervenir en particulier des notions de droit comptable, puisqu'il s'agit de structure de bilan, la question étant de savoir si l'opération ne constitue pas en fait un habillage de bilan pouvant être requalifié. Une analyse rigoureuse doit être faite en tenant compte en particulier de l'impact potentiel du droit du redressement judiciaire sur la séparation des éléments d'actif. La defeasanceLa defeasance à l'origine est une technique de gestion de haut de bilan pour éliminer un engagement constituant un passif (émission obligataire) en individualisant dans une structure autonome un actif garantissant le paiement de cet engagement En France, puis dans d'autres pays (Chine par exemple) la defeasance est devenue une technique pour séparer la "bonne" entreprise de la "mauvaise" entreprise, en mettant de côté les activités à risque difficilement déterminable et les activités saines.
Defeasance et défaillanceconférence Michel Rouger, 6 mai 1996 http://interlex.u-nancy.fr/CNA-ANASED/PAGES_WEB/BARREAU_296_DOSSIER.htm defeasance : opérateurhttp://newrisk.ifci.ch/00011079.htm defeasance : dispositif législatif
Illinois Compiled Statutes, Local Government
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A technique of liability immunization which permits a debtor to offset and eliminate a liability with the purchase of government securities or a special risk management contract . For tax, regulatory, contractual or other reasons, the issuer of debt may find it more appropriate to set aside certain assets-typically government bonds , and/or cash equivalents-against a debt obligation rather than repurchasing and canceling the debt. Unless the dedication of the assets set aside for extinguishing the debt is irrevocable , both the assets and liabilities will continue to appear on the balance sheet. |
TITRISATION
Une technique de gestion d’actif : la gestion active du bilan
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
les opérations adossées à des stocks
Les montages
choix des véhicules de titrisation
la traduction comptable de l’opération de titrisation
Les FCC
Les FCC classiques
Les FCC à compartiments
L’amélioration des créances
l’assurance
La notation
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
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
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
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.
Dérivés de crédit et titrisation : un mariage prometteur, Carron, Alain ; Tanguy, Eric, Banque, n° 625, 01/05/2001, pp. 30-33
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