New Frontiers For European Securitisation

Publication Date	June 2008
Publisher	IFR Market Intelligence
Product Type	Report
Pages	75
ISBN Number	not applicable
Product Code	IFR00015

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Summary

Edited by Andrew Cavenagh

The European securitisation market is sure to recover from its present state of paralysis in the coming months. With the exception of securities backed by US sub-prime mortgages, the dramatic decline in the value of bonds across the sector does not reflect the performance of the underlying assets but has resulted directly from the global squeeze on short-term credit.

Once the current volatility settles down - and a few benchmark issues re-price risk across the rating spectrum at more realistic levels than those that prevailed up to mid-July - other issuers will return to the primary market in force as the incentives for them to securitise their assets will be as strong as ever. When they do, expect to see a range of new asset classes and structures emerge as initiatives to expand the market in various directions - which were underway before the credit crisis - come back with fresh momentum.

New Frontiers for European Securitisation offers expert analysis on developments to broaden the market in terms of asset class, investment vehicle and jurisdiction. Featuring contributions from many leading market practitioners, and including many case studies of the more progressive and innovative deals, this report will be required reading for professionals looking to participate in these markets of the future.

Content

Executive Summary
- Changes In The Market
- New Areas For Investment
- About This Report
Chapter 01 Insurance-Linked Securities
- Market Status
- The Deals
  - New Products From Investment Banks
- Life Transactions
- New Frontiers
Chapter 02 Case Study: Munich Re Issue Details
- Benefits To Munich
Chapter 03 Future Use Of Securitisation In European Infrastructure
- Introduction
  - Current Problems
- The Pfi Programme In The Uk
- Emerging Ppp Programmes In Continental Europe
- The Russian Giant
  - Some Project Finance Challenges
- Acquisition Refinancing
  - Examples Of Bond-Based Financing
- Uk Airports
- Uk Water Companies
- Uk Power Companies
- Future Prospects
Chapter 04 Mbs In New Markets: The Key Ingredients
- The Key Points
  - Regulatory Considerations
- Origination Stage
- Securitisation Stage
- Taking Security
- Currency
- Tax Considerations

Withholding Tax

Transfer Taxes Or Stamp Duty

Real Estate Taxes

Lending Practices

Taking Security For The Loan

Taking Security Over The Loan

Enforcement Mechanisms And Processes: Pre- And Post-Insolvency

Pre-Insolvency

Upon Insolvency And Post-Insolvency

Servicing Considerations

Conclusions

Chapter 05 Property Derivatives: Capturing Value From Uncertainty

Property Derivatives Showing Steady Growth
Part Of The Real Estate Framework
Steady Build Or Big-Bang?
Making Pricing More Transparent
Why Property Derivatives?
Valuation And Volatility Of Derivatives
- Valuation
- Drivers Of Volatility
- Investors Time Horizon
- Supply/Demand Pressures In Derivatives Market
- Diversity Of Derivatives Market Participation
- Continuously Measured Derivatives Market Versus Discontinuous Physical Market
- Hedging Dilemma
The Use For Property Derivatives In Managing Risk
Are Derivatives Lagging Or Leading The Physical Market?
Trading Opportunities In The Current Uk Market
Trading Opportunities For French Offices
Who Should Take Responsibility?

Chapter 06 Can Environmental Control Bonds Emerge In Europe?

Benefits Of Ecbs
Exemption From Risks For Ratepayer Green Bonds
European Environmental Legislation
Estimated Costs Of Air Pollution Control Equipment
Western Europe
Central And Eastern Europe
Legislative Framework In The Us
New Us Template
Utility Fee Securitisation
Ratepayer Savings And Shareholder Benefits
Investment Benefits

Chapter 07 Acquisition Finance: New Frontiers For Securitisation?

Renewed Interest In Securitisation
A Competitive Tool
Challenges To Further Development
Legal And Structural Requirements
Opportunities For Further Development
- Liquid Assets
- Long-Term Tangible Or Intangible Assets
- Assets That Generate Stable And Predictable Cash Flows
Corporate Market Value Versus Whole Business Securitisation
An Example Of Implementation: Punch Taverns Finance

Chapter 08 New Frontiers For European Securitisation: Abcds

Development Of Abcds
Effect Of Abcds On The Credit Crisis
Future Prospects For Abcds
- Short Selling
- Capital Structure Trades
- Maturity Curve Trades
- Abs Cdos
- Indices
Conclusion

Chapter 09 Emea New Markets Structured Finance

Introduction
Russia And Turkey Still Dominate Issuance
Country Highlights
- Russia
2007 Review
2008 Issuance Outlook
Kazakhstan And Ukraine

2007 Review

2008 Issuance Outlook

Central And Eastern Europe

2007 Review

2008 Issuance Outlook

Turkey

2007 Review

2008 Issuance Outlook

Middle East And North Africa

2007 Review

2008 Issuance Outlook

Chapter 10 Russias Expanding Pipeline

Market Background
Securitisation Activity
- Current Investors
Russian Potential
Structuring Deals
- Legislative Changes
Product Development
Regional Comparisons

Chapter 11 Italian Securitisation: Looking Forward

Core Questions For Regulators And Economists
Lessons From The Sub-Prime Crisis
Developments And Trends In The Italian Securitisation Market
Market Prospects

List Of Tables And Figures

Table 5.1:Total Return Uk All-Property Forecasts, 200711
Table 5.2:Total Return Uk All-Property Forecasts, (% P.A.)
Table 5.3:Total Return France All-Office Forecasts (% P.A.)
Table 9.1:Year Over Year Comparison Of Issuance Volume And Number Of Transactions For Emea New Markets
Table 9.2:Sovereign Ratings For Central Europe, The Baltic States And Slovenia
Table 9.3:Sovereign Ratings For Bulgaria, Romania And Slovakia
Table 9.4:Sovereign Ratings For The Balkan States
Table 9.5:Sovereign Ratings For Southern Europe
Table 9.6:Emea New Market Transactions Closed In 2007 (Us$M)
Figure 1.1:Total Non-Life Bonds, 19972007, (Us$M)
Figure 1.2:Investor Base By Type, As Of 4 January 2008 (%)
Figure 1.3:Catastrophe Bond Trigger Breakdown, 19972007, 20042007 (%)
Figure 1.4:Total Life Bonds, 19972007 (Us$M)
Figure 5.1:Total Returns From Uk Commercial Property, 19872007 (%)
Figure 5.2:Key Real Estate Drivers
Figure 5.3:Global Trading Volumes In Property Derivatives, 200407 (m)
Figure 5.4:Possible Investor Routes
Figure 5.5:Complementing Direct Property Exposure
Figure 5.6: Simple Total Return Swap
Figure 5.7:Property Forecast Returns Less Actual Returns, 19992007
Figure 5.8:Derivatives Implied Calendar Year Total Returns Versus Forecast Returns (%)
Figure 5.9:Property Derivative Mid-Prices As At 30 Nov 2007
Figure 5.10:Typical Fund Management Institution Business Framework
Figure 9.1:Emea Securitisations In New Markets, 2007 (Us$M)
Figure 9.2:Emea New Markets Issuance By Asset Type, 2007 (%)
Figure 9.3:Emea New Markets Issuance By Country, 2007 (Us$M)
Figure 9.4:Volume Of Russian Securitisation, 200407 (Us$Bn)
Figure 9.5:Russian Securitisation By Asset Type, 2007 (%)
Figure 9.6:Russian Mortgage And Housing Lending, Q2 2004q2 2007 (Us$Bn)
Figure 9.7:Outstanding Russian Consumer Loans (Excluding Mortgages), 1999jul 2007 (Us$Bn)
Figure 9.8:Securitisation In Kazakhstan And Ukraine, 200307 (Us$Bn)
Figure 9.9:Consumer Lending In Turkey, Jan 2004oct 2007 (Tlbn)
Figure 9.10:Securitisation In Mena, 200507 (Us$M)
Figure 9.11:Mena Securitisation By Asset Class (%)
Figure 9.12:Uae Real Estate Lending, Commercial & Residential, 200007 (Dh M)