Fixed Income reading 42: fixed income securities: defining elements

a.4) Credit Enhancements (Cải thiện tín nhiệm)

tải về 2.83 Mb.

Chế độ xem pdf

trang	13/90
Chuyển đổi dữ liệu	25.07.2022
Kích	2.83 Mb.
	#52729

1 ... 9 10 11 12 13 14 15 16 ... 90

1. Fixed Income - Slide
Đề bài Thiết kế dây truyền sợi pha Cotton Pes 67 33 N44 làm sợi dọc dệt vải sản lượng 15000 tấn năm

a.4) Credit Enhancements (Cải thiện tín nhiệm)

Methods of Internal credit enhancements (built into the structure of a bond issue)
o Overcollateralization
 the collateral pledged has a value greater than the par value of the debt issued.
 One limitation is that the additional collateral is also the underlying assets  when asset
defaults are high, the value of the excess collateral declines in value.
o Cash reserve fund  cash set aside to make up for credit losses on the underlying assets.
o Excess spread account
 the promised yield on the assets supporting the ABS > the yield promised on the ABS issued
Nhà
Khoản
vay
Covered bonds
TS đảm bảo
Tài trợ mua nhà
Mortgage loans
Cover pool
TS đảm bảo
MBS
DN
SPE
MBS/
ABS
Thành lập
cty con
Phát hành
Banks
Covered
bonds
Phát hành

Mai Nguyen
Dawn of Finance
5
 gives some protection if the yield on the financial assets is less than anticipated.
 If the assets perform as anticipated, the excess cash flow from the collateral can be used to
retire (payoff the principal on) some of the outstanding bonds.
o Dividing a bond issue into tranches (French for slices) with different seniority of claims.
 Any losses due to poor performance of the assets supporting a securitized bond are first
absorbed by the bonds with the lowest seniority, then the bonds with the next-lowest priority of
claims.
 The most senior tranches in this structure can receive very high credit ratings
 The subordinated tranches must have higher yields to compensate investors for the additional
risk of default.
 Waterfall structure


tải về 2.83 Mb.

Chia sẻ với bạn bè của bạn:

1 ... 9 10 11 12 13 14 15 16 ... 90