Lecture 7 – Structured Finance (CDO, CLO, MBS, ABL, ABS)
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Up to EUR 3,500,000.00 7% Fixed Rate Bonds Due 6 April 2026 ISIN
Up to EUR 3,500,000.00 7% Fixed Rate Bonds due 6 April 2026 ISIN IT0005440976 Terms and Conditions Executed by EPizza S.p.A. 4126-6190-7500.7 This Terms and Conditions are dated 6 April 2021. EPizza S.p.A., a company limited by shares incorporated in Italy as a società per azioni, whose registered office is at Piazza Castello n. 19, 20123 Milan, Italy, enrolled with the companies’ register of Milan-Monza-Brianza- Lodi under No. and fiscal code No. 08950850969, VAT No. 08950850969 (the “Issuer”). *** The issue of up to EUR 3,500,000.00 (three million and five hundred thousand /00) 7% (seven per cent.) fixed rate bonds due 6 April 2026 (the “Bonds”) was authorised by the Board of Directors of the Issuer, by exercising the powers conferred to it by the Articles (as defined below), through a resolution passed on 26 March 2021. The Bonds shall be issued and held subject to and with the benefit of the provisions of this Terms and Conditions. All such provisions shall be binding on the Issuer, the Bondholders (and their successors in title) and all Persons claiming through or under them and shall endure for the benefit of the Bondholders (and their successors in title). The Bondholders (and their successors in title) are deemed to have notice of all the provisions of this Terms and Conditions and the Articles. Copies of each of the Articles and this Terms and Conditions are available for inspection during normal business hours at the registered office for the time being of the Issuer being, as at the date of this Terms and Conditions, at Piazza Castello n. -
Structured Finance & Securitisation
GETTING THROUGH THE DEAL Structured Finance & Securitisation Structured Finance & Securitisation Finance Structured Contributing editor Patrick D Dolan 2017 2017 © Law Business Research 2017 Structured Finance & Securitisation 2017 Contributing editor Patrick D Dolan Norton Rose Fulbright US LLP Publisher Law The information provided in this publication is Gideon Roberton general and may not apply in a specific situation. [email protected] Business Legal advice should always be sought before taking Research any legal action based on the information provided. Subscriptions This information is not intended to create, nor does Sophie Pallier Published by receipt of it constitute, a lawyer–client relationship. [email protected] Law Business Research Ltd The publishers and authors accept no responsibility 87 Lancaster Road for any acts or omissions contained herein. The Senior business development managers London, W11 1QQ, UK information provided was verified between Alan Lee Tel: +44 20 3708 4199 February and March 2017. Be advised that this is a [email protected] Fax: +44 20 7229 6910 developing area. Adam Sargent © Law Business Research Ltd 2017 [email protected] No photocopying without a CLA licence. Printed and distributed by First published 2015 Encompass Print Solutions Dan White Third edition Tel: 0844 2480 112 [email protected] ISSN 2058-5594 © Law Business Research 2017 CONTENTS Global overview 5 Japan 31 Patrick D Dolan Motohiro Yanagawa, Takashi -
Margin Requirements Across Equity-Related Instruments: How Level Is the Playing Field?
Fortune pgs 31-50 1/6/04 8:21 PM Page 31 Margin Requirements Across Equity-Related Instruments: How Level Is the Playing Field? hen interest rates rose sharply in 1994, a number of derivatives- related failures occurred, prominent among them the bankrupt- cy of Orange County, California, which had invested heavily in W 1 structured notes called “inverse floaters.” These events led to vigorous public discussion about the links between derivative securities and finan- cial stability, as well as about the potential role of new regulation. In an effort to clarify the issues, the Federal Reserve Bank of Boston sponsored an educational forum in which the risks and risk management of deriva- tive securities were discussed by a range of interested parties: academics; lawmakers and regulators; experts from nonfinancial corporations, investment and commercial banks, and pension funds; and issuers of securities. The Bank published a summary of the presentations in Minehan and Simons (1995). In the keynote address, Harvard Business School Professor Jay Light noted that there are at least 11 ways that investors can participate in the returns on the Standard and Poor’s 500 composite index (see Box 1). Professor Light pointed out that these alternatives exist because they dif- Peter Fortune fer in a variety of important respects: Some carry higher transaction costs; others might have higher margin requirements; still others might differ in tax treatment or in regulatory restraints. The author is Senior Economist and The purpose of the present study is to assess one dimension of those Advisor to the Director of Research at differences—margin requirements. -
Margin Requirements and Equity Option Returns∗
Margin Requirements and Equity Option Returns∗ Steffen Hitzemann† Michael Hofmann‡ Marliese Uhrig-Homburg§ Christian Wagner¶ December 2017 Abstract In equity option markets, traders face margin requirements both for the options them- selves and for hedging-related positions in the underlying stock market. We show that these requirements carry a significant margin premium in the cross-section of equity option returns. The sign of the margin premium depends on demand pressure: If end-users are on the long side of the market, option returns decrease with margins, while they increase otherwise. Our results are statistically and economically significant and robust to different margin specifications and various control variables. We explain our findings by a model of funding-constrained derivatives dealers that require compensation for satisfying end-users’ option demand. Keywords: equity options, margins, funding liquidity, cross-section of option returns JEL Classification: G12, G13 ∗We thank Hameed Allaudeen, Mario Bellia, Jie Cao, Zhi Da, Matt Darst, Maxym Dedov, Bjørn Eraker, Andrea Frazzini, Ruslan Goyenko, Guanglian Hu, Hendrik Hülsbusch, Kris Jacobs, Stefan Kanne, Olaf Korn, Dmitriy Muravyev, Lasse Pedersen, Matthias Pelster, Oleg Rytchkov, Ivan Shaliastovich, as well as participants of the 2017 EFA Annual Meeting, the SFS Cavalcade North America 2017, the 2017 MFA Annual Meeting, the SGF Conference 2017, the Conference on the Econometrics of Financial Markets, the 2016 Annual Meeting of the German Finance Association, the Paris December 2016 Finance Meeting, and seminar participants at the Center for Financial Frictions at Copenhagen Business School, the CUHK Business School, the University of Gothenburg, and the University of Wisconsin-Madison for valuable discussions and helpful comments and suggestions. -
GE Commercial Finance Meeting
Mike Neal GE Commercial Finance Overview Organized for faster growth and lower cost 90’s 2002 Today GE Commercial Consumer Commercial Infrastructure Industrial NBCU Healthcare MID -MARKET FINANCING Vendor Financial Finance Finance Commercial Commercial Services Commercial Dave Calhoun John Rice Bob Wright Equipment European Finance Bill Castell Structured Vice Chairman Vice Chairman Vice Chairman Vice Chairman Financing Equipment Finance Joe Hogan Finance Finance Sr. Vice President3 Dave Nissen Mike Neal Card Services Finance Group Healthcare Sr. Vice President Vice Chairman Global Finance Real – Aircraft Engines – Cons. & Ind’l. – Network – Diagnostic Consumer Estate – Energy – Plastics – Film Imaging – Oil & Gas – Silicones/Quartz – Stations – Biosciences Finance – Rail – Security – Ent. Cable – Clinical Sys. – Water – Sensing – TVPD – Info. Tech. –Europe –Capital Solutions Financial Equity GE Consumer – Energy Fin. – Fanuc – Sports/Olympics – Services Assurance Svcs. – Inspect Tech. – Parks – Aviation Fin. – Equip. Svcs. –Asia –Real Estate CONSUMER SPECIALIZED FINANCING 2002 Svcs. (GECAS) SPECIALIZED SERVICES GE Capital SPECIALTY INSURANCE –Americas –Corp. Fin. Svcs. SPECIALIZED SERVICES SPECIALTY INSURANCE Finance Employers Capital Reinsurance –Australia –Healthcare Markets Reinsurance Corporation Re-org Fin. Svcs. Global Process Mortgage –Insurance Solutions InsuranceInsurance GE Insurance Technology Rail Financial Services Services Guaranty Aviation Insurance Penske Truck Services Mod Space Leasing Fleet Trailer European Equipment -
Margin-Based Asset Pricing and Deviations from the Law of One Price∗
Margin-Based Asset Pricing and Deviations from the Law of One Price∗ Nicolae Gˆarleanu and Lasse Heje Pedersen† Current Version: September 2009 Abstract In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities’ required returns are characterized both by their betas and their margins. Negative shocks to fundamentals make margin constraints bind, lowering risk-free rates and raising Sharpe ratios of risky securities, especially for high-margin securities. Such a funding liquidity crisis gives rise to “bases,” that is, price gaps between securities with identical cash-flows but different margins. In the time series, bases depend on the shadow cost of capital, which can be captured through the interest- rate spread between collateralized and uncollateralized loans, and, in the cross section, they depend on relative margins. We apply the model empirically to CDS-bond bases and other deviations from the Law of One Price, and to evaluate the Fed lending facilities. ∗We are grateful for helpful comments from Markus Brunnermeier, Xavier Gabaix, Andrei Shleifer, and Wei Xiong, as well as from seminar participants at the Bank of Canada, Columbia GSB, London School of Economics, MIT Sloan, McGill University, Northwestern University Kellog, UT Austin McCombs, UC Berkeley Haas, the Yale Financial Crisis Conference, and Yale SOM. †Gˆarleanu (corresponding author) is at Haas School of Business, University of California, Berkeley, NBER, and CEPR; e-mail: [email protected]. Pedersen is at New York University, NBER, and CEPR, 44 West Fourth Street, NY 10012-1126; e-mail: [email protected], http://www.stern.nyu.edu/∼lpederse/. -
Guide for Margin Finance
Guide for Margin Finance Guide for Margin Finance Contents Margin Finance What is margin finance? How does margin finance take place? Risks of margin finance Acknowledgement 1 / 6 Guide for Margin Finance Margin Finance Investors should request copies from their financial brokers and familiarize themselves with the following: The guide issued by the Jordan Securities Commission, Margin Finance Instructions, the list of securities allowed to be margin financed, and the margin finance agreement. Investors should also sign an acknowledgement that they have familiarized themselves with the above in order to protect their rights. This guide aims to familiarize investors with the concept of margin finance and the risks related to it. It should be read thoroughly. 2 / 6 Guide for Margin Finance What is margin finance? The term “Margin Finance” shall mean the financing by a Financial Broker of a part of the value of the securities in the margin finance account by guaranteeing the securities in that account. How does margin finance take place? Say you are an investor and you buy shares worth JD 5,000 with your own money, then the value of these shares rises to JD 7,500, your profit would be 50%. But if you finance your purchase of these shares through margin finance the shares, you would pay JD 2,500 of your own money and your broker would pay JD 2,500, so your profit would be 100%. In other words, your profit is greater when you margin finance. If, on the other hand, the value of the shares drops to JD 2,500 after you had bought them with your own money, your loss would be 50%; but if you had bought them from the margin finance account, your loss would be 100% plus any interest payments and fees. -
EQUITY EQUITY DER- PARAMETERS METHODOLOGIES USED in MARGIN CALCULATIONS Manual
EQUITY EQUITY DER- PARAMETERS METHODOLOGIES USED IN MARGIN CALCULATIONS Manual APRIL 2021 V02.0 1 TABLE OF CONTENTS Executive summary ...................................................................................... 3 Methodologies for determining Margin Parameters used in Margin Calculations ...................................................................................................... 5 2.1 Main parameters...................................................................................... 6 2.2 Margin Interval calculation ...................................................................... 7 2.2.1 Defining Coverage Level......................................................................... 7 2.2.2 Determining the Margin Interval for Equity cash ........................................ 7 2.2.3 Determining the Margin Interval for Equity derivatives .............................. 10 2.3 Product Group Offset Factor .................................................................. 10 2.4 Futures Straddle Margin ........................................................................ 10 2.4.1 Straddle Interest Rate Methodology ........................................................ 11 2.4.2 Straddle Correlation Methodology ........................................................... 13 2.5 Minimum Initial Margin ......................................................................... 13 2.6 Margin Intervals and Additional Margin changes ................................... 14 2 EXECUTIVE SUMMARY 3 EXECUTIVE SUMMARY This -
Structured Finance & Restructuring
Ian H. Giddy/NYU Structured Finance-1 Structured Finance & Restructuring Prof. Ian Giddy New York University Structured Finance z Corporate financial restructuring z Asset-backed securitization z Synthetic and whole business securitization z Credit-linked structured finance z Structured financing techniques Debt-linked Equity-linked z Leveraged finance Copyright ©2004 Ian H. Giddy Structured Finance 2 Ian H. Giddy/NYU Structured Finance-2 Structured Finance Copyright ©2004 Ian H. Giddy Structured Finance 3 Assignments z Individual 30% z Team 30% z Caselets 20% z Final 40% Copyright ©2004 Ian H. Giddy Structured Finance 4 Ian H. Giddy/NYU Structured Finance-3 Investor economics SPONSORING COMPANY ACCOUNTS RECEIVABLE Rates Ratings Risk SALE OR Liquidity ASSIGNMENT SPECIAL PURPOSE Spread analysis VEHICLE ISSUES ACCOUNTS ASSET-BACKED RECEIVABLE CERTIFICATES Copyright ©2004 Ian H. Giddy Structured Finance 5 Bowie Rights: Where’s the Money? Copyright ©2004 Ian H. Giddy Structured Finance 6 Ian H. Giddy/NYU Structured Finance-4 Credit-Linked Notes BANK Credit Default Swap SPV Credit Guarantee Deposits Credit- REFERENCE Linked POOL OF LOANS Fee Notes (like spread on bond) T-bonds (ABS) Copyright ©2004 Ian H. Giddy Structured Finance 7 Structure of the US MBS Market MortgageMortgage Loan Loan BankBank (mortgage (mortgage originator) originator) makes makes a a whole whole loan loan Ancillary:Ancillary: brokers, brokers, servicers, servicers, insurers insurers MortgageMortgage Pass-Through Pass-Through FNMAFNMA or or GMAC GMAC (conduit) (conduit) -
The Role of Credit Rating Agencies in Structured Finance Markets
THE ROLE OF CREDIT RATING AGENCIES IN STRUCTURED FINANCE MARKETS FINAL REPORT TECHNICAL COMMITTEE OF THE INTERNATIONAL ORGANIZATION OF SECURITIES COMMISSIONS MAY 2008 BACKGROUND TO THE TASK FORCE WORK In 2003, the Technical Committee of the International Organization of Securities Commissions formed a task force of its members’ principal representatives to study issues related to the activities of credit rating agencies (CRAs). This Chairmen’s Task Force on Credit Rating Agencies (frequently referred to as the CRA Task Force) issued a report in September 2003 describing the role CRAs play in the global capital market and issues that CRAs currently face that may have an impact on the quality of the credit ratings they publish.1 At the same time that the Technical Committee published this report, it also published a set of principles that regulators, CRAs and other market participants might follow as a way to better guard the integrity of the rating process and help ensure that investors are provided with ratings that are timely and of high quality.2 The IOSCO CRA Principles are high-level and meant to be used by CRAs of all types and sizes, using all types of methodologies, and operating under a wide variety of legal and market environments. Shortly after the release of the IOSCO CRA Principles, several CRAs advised IOSCO’s Technical Committee that it would be helpful to them and other market participants, if the Technical Committee were to describe in more detail how the IOSCO CRA Principles might be applied in practice. Subsequently, the CRA Task Force drafted the Code of Conduct Fundamentals for Credit Rating Agencies (IOSCO CRA Code of Conduct)3 designed to serve as a model upon which CRAs could base their own codes of conduct as a way of implementing the IOSCO CRA Principles. -
Margin-Based Asset Pricing and Deviations from the Law of One Price
Margin-based Asset Pricing and Deviations from the Law of One Price Nicolae Garleanuˆ University of California Lasse Heje Pedersen New York University In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities’ required returns increase in both their betas and their margin require- ments. Negative shocks to fundamentals make margin constraints bind, lowering risk-free rates and raising Sharpe ratios of risky securities, especially for high-margin securities. Such a funding-liquidity crisis gives rise to “bases,” that is, price gaps between securities with identical cash-flows but different margins. In the time series, bases depend onthe shadow cost of capital, which can be captured through the interest-rate spread between collateralized and uncollateralized loans and, in the cross-section, they depend on rela- tive margins. We test the model empirically using the credit default swap–bond bases and other deviations from the Law of One Price, and use it to evaluate central banks’ lending facilities. (JEL G01, G12, G13, E44, E50) The paramount role of funding constraints becomes particularly salient dur- ing liquidity crises, with the one that started in 2007 being an excellent case in point. Banks unable to fund their operations closed down, and the fund- ing problems spread to other investors, such as hedge funds, that relied on bank funding. Therefore, traditional liquidity providers became forced sellers, interest-rate spreads increased dramatically, Treasury rates dropped sharply, and central -
Securitisation 2020
Securitisation 2020 A practical cross-border insight to securitisation work 13th Edition Featuring contributions from: Allen & Overy LLP Macfarlanes LLP Roschier Advokatbyrå AB Brodies LLP Maples Group Schulte Roth & Zabel LLP Cuatrecasas Mayer Brown Shearman & Sterling LLP Freshfields Bruckhaus McMillan LLP Sidley Austin LLP Deringer LLP Nishimura & Asahi VdA GSK Stockmann Oon & Bazul LLP Walder Wyss Ltd. King & Wood Mallesons Orrick, Herrington & Sutcliffe (Europe) Waselius & Wist Loyens & Loeff Luxembourg S.à r.l. LLP ISBN 978-1-83918-046-0 ISSN 1745-7661 Published by 59 Tanner Street London SE1 3PL United Kingdom Securitisation 2020 +44 207 367 0720 [email protected] th www.iclg.com 13 Edition Group Publisher Rory Smith Editor Jane Simmons Senior Editor Contributing Editor: Sam Friend Rupert Wall Head of Production Suzie Levy Sidley Austin LLP Chief Media Officer Fraser Allan CEO Jason Byles Printed by Stephens & George Print Group Cover image www.istockphoto.com ©2020 Global Legal Group Limited. All rights reserved. Unauthorised reproduction by any means, Strategic Partners digital or analogue, in whole or in part, is strictly forbidden. PEFC Certified Disclaimer This product is from sustainably managed forests and controlled sources This publication is for general information purposes only. It does not purport to provide comprehen- PEFC/16-33-254 www.pefc.org sive full legal or other advice. Global Legal Group Ltd. and the contributors accept no responsibility for losses that may arise from reliance upon information contained in this publication. This publication is intended to give an indication of legal issues upon which you may need advice. Full legal advice should be taken from a qualified professional when dealing with specific situations.