Global Securitisation and CDOs

JOHN DEACON is Executive Director and Head of Debt Principal Finance at UBS in London where he focuses on asset-backed investment opportunities for the Euro 3 billion Brooklands Synthetic CDO series originated by UBS Principal Finance in London since 2001.He is also a co-founder of the ThorABS asset-backed securities website (www.ThorABS.com).Prior to joining UBS he was Head of Principal Finance at Greenwich NatWest, where he was responsible for the acquisition and restructuring of performing and non-performing assets for the balance sheet of the bank.Mr. Deacon has worked as a securitisation, principal finance and derivatives specialist in the European and Asian markets as an investor, issuer, investment banker and lawyer in London, Paris and Hong Kong. He has extensive global securitisation and principal finance experience from transactions in France, Hong Kong, Indonesia, Italy, Spain, Thailand and the UK and structuring in Germany, Japan, Korea, the Netherlands, Singapore, Sweden and the Philippines, for products as diverse as: Principal financeNon-performing loansWhole businessCommercial mortgagesSyntheticsResidential mortgagesCredit derivativesAuto leases and hire purchase contractsStructured derivativesTrade receivablesBond repackagingsMulti-family residential real estateCDO structuresCommercial real estateCommercial paper conduitsNuclear moratorium creditsAsset-backed MTN programmesPFI receivablesMr. Deacon qualified as a lawyer at Clifford Chance. He is a Solicitor of the Supreme Court in England and Wales, a Solicitor of the Supreme Court in Hong Kong and an ACIB and has written articles for the International Securitisation Report and for the International Securitization & Structured Finance Report. He has spoken at seminars and workshops for securitisation and credit derivatives industry professionals organised by Euromoney, AIC Conferences, ICC and Futures & Options World.

• Preface. About the Author.1 Introduction.1.1 Forms of securitisation.1.2 Rationale for securitisation.1.3 Global ABS markets.2 Rating and Credit Structure.2.1 Rating agencies.2.2 Credit enhancement and liquidity.2.3 Hedging and prepayment risk.3 Deal Structure.3.1 Ring-fencing and true sale.3.2 SPVs and trusts.3.3 Offshore centers.3.4 Commonly used offshore jurisdictions.3.5 Bonds and CP funding.3.6 Securities laws.3.7 US securities laws.3.8 UK securities laws.3.9 EU securities laws.3.10 Tax treatment.3.11 Accounting treatment.3.12 Capital treatment.3.13 Data and consumer regulation.3.14 Regulatory approvals.3.15 Administration and systems.4 Investor Concerns.4.1 Investor credit analysis.4.2 Eligibility criteria.4.3 Cash flow waterfall.4.4 Bond pricing and valuation.4.5 Performance and reporting.5 Asset Classes.5.1 ABS: Commercial and EETCs.5.2 ABS: Consumer and credit cards.5.3 Collateralised debt obligations.5.4 Commercial mortgage-backed securities.5.5 Covered bonds and Pfandbriefe.5.6 Future flows.5.7 Non-performing loans.5.8 Real estate investment trusts.5.9 Repackagings.5.10 Residential mortgage-backed securities.5.11 Trade receivables.5.12 Whole business securitisation.6 Opportunities and Challenges.6.1 Introduction.6.2 Significance of accounting and capital off-balance-sheet reform.6.3 New Basel Accord.7 Synthetics and Credit Derivatives.7.1 Synthetic securitisation: Credit derivatives.7.2 Super-senior pieces.7.3 Pros and cons of synthetic securitisations for investors.7.4 Terminology and types of credit derivative.7.5 Use and pricing for credit derivatives.7.6 Structure and concerns.7.7 Regulatory capital advantages of synthetics.7.8 International capital treatment for credit derivatives.8 Whole Business Securitisation.8.1 Benefits and requirements of whole business deals.8.2 Structures.8.3 Corporate valuation.8.4 Rating analysis.8.5 Feasibility in different countries.8.6 Threats to whole business technology.9 The European Union.9.1 Ring-fencing and true sale.9.2 Securities laws.9.3 Tax treatment.9.4 Accounting treatment.9.5 Capital treatment.9.6 Data protection/confidentiality.9.7 Consumer protection.9.8 Other issues.10 Accounting for Securitisation.10.1 US accounting standards.10.2 UK accounting standards.10.3 International Accounting Standards.10.4 The influence of the European Union.11 Capital.11.1 Banking book.11.2 Trading book.11.3 New Basel Accord.11.4 Basel capital arbitrage.11.5 Off-balance-sheet treatment under Basel.11.6 Basel capital treatment and new Basel proposals.11.7 Capital for banking book exposures.11.8 Capital for trading book exposures.12 Global Securitisation Markets.12.1 Argentina.12.2 Australia.12.3 Austria.12.4 Belgium.12.5 Bolivia.12.6 Brazil.12.7 Canada.12.8 Chile.12.9 China.12.10 Colombia.12.11 Czech Republic.12.12 Denmark.12.13 Egypt.12.14 Finland.12.15 France.12.16 Germany.12.17 Greece.12.18 Hong Kong SAR.12.19 Hungary.12.20 India.12.21 Indonesia.12.22 Ireland.12.23 Israel.12.24 Italy.12.25 Japan.12.26 Korea.12.27 Luxembourg.12.28 Malaysia.12.29 Mexico.12.30 The Netherlands.12.31 New Zealand.12.32 Norway.12.33 Pakistan.12.34 Panama.12.35 Paraguay.12.36 Peru.12.37 The Philippines.12.38 Poland.12.39 Portugal.12.40 Russia.12.41 Scotland.12.42 Singapore.12.43 South Africa.12.44 Spain.12.45 Sweden.12.46 Switzerland.12.47 Taiwan.12.48 Thailand.12.49 Turkey.12.50 United Kingdom.12.51 United States.12.52 Venezuela.13 Terminology in the Securitisation and Derivatives Markets.References.Index.