Pub Date : 2021-01-31DOI: 10.3905/jsf.2021.26.4.117
Jennifer Kang
AIRCRAFT LESSORS START TALKS ON NEW WAVE OF ABS DEALS AS AID DRIES UP By Jennifer Kang 01 Oct 2020 US government aid for the airlines expired on Thursday, kicking off sweeping job cuts at major carriers and adding stress to an already battered industry Nonetheless, lessors are beginning talks to tap the ABS market next year with a public deal to find stable financing as existing sources dry up Since the coronavirus outbreak, the aviation sector has received government aid through two main channels under the Coronavirus Aid, Relief, and Economic Security (CARES) Act [ ]tomorrow, we will begin the difficult process of furloughing 19,000 of our hardworking and dedicated colleagues ” [ ]Wave Downgrades The pause in government aid will have a “critical” impact on not just the aircraft industry, but also on the already stressed aircraft ABS market, sources said
随着援助的减少，飞机租赁商开始讨论新一波ABS交易。作者：Jennifer Kang 2020年10月1日美国政府对航空公司的援助于周四到期，导致主要航空公司全面裁员，并给本已遭受重创的航空业增加了压力，出租人正在开始谈判，以在现有资金枯竭的情况下，通过一项公开协议，在明年开拓ABS市场，寻找稳定的融资。自新冠病毒爆发以来，航空业已根据明天的《冠状病毒援助、救济和经济安全法》通过两个主要渠道获得政府援助，我们将开始一个艰难的过程，让19000名勤奋敬业的同事休假
{"title":"Highlights from Global Capital","authors":"Jennifer Kang","doi":"10.3905/jsf.2021.26.4.117","DOIUrl":"https://doi.org/10.3905/jsf.2021.26.4.117","url":null,"abstract":"AIRCRAFT LESSORS START TALKS ON NEW WAVE OF ABS DEALS AS AID DRIES UP By Jennifer Kang 01 Oct 2020 US government aid for the airlines expired on Thursday, kicking off sweeping job cuts at major carriers and adding stress to an already battered industry Nonetheless, lessors are beginning talks to tap the ABS market next year with a public deal to find stable financing as existing sources dry up Since the coronavirus outbreak, the aviation sector has received government aid through two main channels under the Coronavirus Aid, Relief, and Economic Security (CARES) Act [ ]tomorrow, we will begin the difficult process of furloughing 19,000 of our hardworking and dedicated colleagues ” [ ]Wave Downgrades The pause in government aid will have a “critical” impact on not just the aircraft industry, but also on the already stressed aircraft ABS market, sources said","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"117 - 125"},"PeriodicalIF":0.4,"publicationDate":"2021-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49161961","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-31DOI: 10.3905/jsf.2021.26.4.006
E. Callahan
Someone who had slept through 2020 and woke up at the start of 2021 one would barely suspect that only nine months ago the securitization market was at a standstill and that Federal Reserve was on the verge of embarking on an extraordinary level of fiscal and monetary support, including a reboot of the Term Asset Loan Facility (TALF), the Federal Reserve’s lending facility, which has been credited with stabilizing the securitization markets in the wake of the Great Financial Crisis In their article, “Aircraft Lease Asset-Backed Securities and Aircraft Enhanced Equipment Trust Certificates Workouts,” David Yu, Christopher Papajohn, and Tasos Michael examine how two major aircraft asset-financing structures, aircraft asset-backed securities and enhanced equipment trust certificates, may be affected by the near-term challenges facing the aircraft leasing industry [ ]Nicholas Spizzirri offers an exposition of fat tail distributions in “Fat Tails: An Untrustworthy Friend ”
睡过2020年、在2021年初醒来的人几乎不会想到，就在9个月前，证券化市场还处于停滞状态，美联储即将启动非同寻常的财政和货币支持措施，包括重启美联储的定期资产贷款工具(TALF)。在他们的文章《飞机租赁资产支持证券和飞机增强型设备信托证书》中，David Yu, Christopher Papajohn和Tasos Michael研究了两种主要的飞机资产融资结构，飞机资产支持证券和增强设备信托证书，如何受到飞机租赁行业面临的近期挑战的影响[]Nicholas Spizzirri在“肥尾:一个不值得信赖的朋友”中对肥尾分布进行了阐述
{"title":"Guest Editor’s Letter","authors":"E. Callahan","doi":"10.3905/jsf.2021.26.4.006","DOIUrl":"https://doi.org/10.3905/jsf.2021.26.4.006","url":null,"abstract":"Someone who had slept through 2020 and woke up at the start of 2021 one would barely suspect that only nine months ago the securitization market was at a standstill and that Federal Reserve was on the verge of embarking on an extraordinary level of fiscal and monetary support, including a reboot of the Term Asset Loan Facility (TALF), the Federal Reserve’s lending facility, which has been credited with stabilizing the securitization markets in the wake of the Great Financial Crisis In their article, “Aircraft Lease Asset-Backed Securities and Aircraft Enhanced Equipment Trust Certificates Workouts,” David Yu, Christopher Papajohn, and Tasos Michael examine how two major aircraft asset-financing structures, aircraft asset-backed securities and enhanced equipment trust certificates, may be affected by the near-term challenges facing the aircraft leasing industry [ ]Nicholas Spizzirri offers an exposition of fat tail distributions in “Fat Tails: An Untrustworthy Friend ”","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"6 - 8"},"PeriodicalIF":0.4,"publicationDate":"2021-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46249869","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-31DOI: 10.3905/jsf.2021.26.4.126
{"title":"Highlights from Structured Finance Association (SFA)","authors":"","doi":"10.3905/jsf.2021.26.4.126","DOIUrl":"https://doi.org/10.3905/jsf.2021.26.4.126","url":null,"abstract":"","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"126 - 131"},"PeriodicalIF":0.4,"publicationDate":"2021-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45376457","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-31DOI: 10.3905/jsf.2021.26.4.097
Y. Egawa
Despite the pandemic-related slowdown in economic activities, the securitization market in Japan has remained open. The sudden change in the workstyle of securitization professionals at the beginning of the year 2020 did not prevent securitization transactions from closing, nor were there any disruptions or noticeable slowdowns. This article takes a closer look at the impact of COVID-19 on the Japanese economy and the Japanese securitization market and compares this to massive natural disasters of the past. TOPICS: Fixed income and structured finance, developed markets, financial crises and financial market history Key Findings ▪ Despite the abrupt change in the working practice of the securitization professionals at the beginning of 2020, new deals kept flowing to the market. ▪ Because the pandemic is not a financial crisis, its impact on the Japanese asset securitization market differs from what was observed during the Great Financial Crisis of 2007–2009. ▪ I note some resemblance of my recent experience to my experience during the major disasters in Japan’s recent past.
{"title":"Observation on How COVID-19 Affected the Securitization Market in Japan","authors":"Y. Egawa","doi":"10.3905/jsf.2021.26.4.097","DOIUrl":"https://doi.org/10.3905/jsf.2021.26.4.097","url":null,"abstract":"Despite the pandemic-related slowdown in economic activities, the securitization market in Japan has remained open. The sudden change in the workstyle of securitization professionals at the beginning of the year 2020 did not prevent securitization transactions from closing, nor were there any disruptions or noticeable slowdowns. This article takes a closer look at the impact of COVID-19 on the Japanese economy and the Japanese securitization market and compares this to massive natural disasters of the past. TOPICS: Fixed income and structured finance, developed markets, financial crises and financial market history Key Findings ▪ Despite the abrupt change in the working practice of the securitization professionals at the beginning of 2020, new deals kept flowing to the market. ▪ Because the pandemic is not a financial crisis, its impact on the Japanese asset securitization market differs from what was observed during the Great Financial Crisis of 2007–2009. ▪ I note some resemblance of my recent experience to my experience during the major disasters in Japan’s recent past.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"97 - 104"},"PeriodicalIF":0.4,"publicationDate":"2021-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45373549","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In the wake of energy transition, owners of renewable energy (RE) assets are seeking alternative sales channels besides subsidy schemes. Power purchase agreements (PPAs) can help both off-takers and sellers of RE to reach their economic targets. However, these contracts have to be structured in a way that ensures that the RE asset receives project financing. To show the interdependency between a PPA and project financing, we conduct a study based on three parts. First, we implement a financial model that shows the strong connection between PPA pricing and the debt sizing. Second, we analyze credit ratings and credit default swap spreads of different off-taker types and detect that electricity end-consumers like corporates can be a good alternative to the traditional utility off-taking the energy output. Finally, we conduct a survey among international banks having an exposure in global PPA markets. The survey results indicate that the bankability of a PPA strongly depends on the credit risk of the off-taker. TOPICS: Commodities, credit default swaps, credit risk management Key Findings ▪ We discuss the access to project financing of renewable energy projects outside subsidies. ▪ We present the importance of the off-taker’s creditworthiness for the overall bankability of renewable energy projects. ▪ The debt sizing of renewable energy projects is commonly related to the sculpted debt approach which induces the risk of over-leveraging in case the underlying off-take scenario is too optimistic.
{"title":"Power Purchase Agreements and Financing Renewables: An Interdependency","authors":"S. Hundt, Johanna Jahnel, A. Horsch","doi":"10.3905/jsf.2020.1.119","DOIUrl":"https://doi.org/10.3905/jsf.2020.1.119","url":null,"abstract":"In the wake of energy transition, owners of renewable energy (RE) assets are seeking alternative sales channels besides subsidy schemes. Power purchase agreements (PPAs) can help both off-takers and sellers of RE to reach their economic targets. However, these contracts have to be structured in a way that ensures that the RE asset receives project financing. To show the interdependency between a PPA and project financing, we conduct a study based on three parts. First, we implement a financial model that shows the strong connection between PPA pricing and the debt sizing. Second, we analyze credit ratings and credit default swap spreads of different off-taker types and detect that electricity end-consumers like corporates can be a good alternative to the traditional utility off-taking the energy output. Finally, we conduct a survey among international banks having an exposure in global PPA markets. The survey results indicate that the bankability of a PPA strongly depends on the credit risk of the off-taker. TOPICS: Commodities, credit default swaps, credit risk management Key Findings ▪ We discuss the access to project financing of renewable energy projects outside subsidies. ▪ We present the importance of the off-taker’s creditworthiness for the overall bankability of renewable energy projects. ▪ The debt sizing of renewable energy projects is commonly related to the sculpted debt approach which induces the risk of over-leveraging in case the underlying off-take scenario is too optimistic.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"27 1","pages":"35 - 50"},"PeriodicalIF":0.4,"publicationDate":"2020-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46720055","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-10-31DOI: 10.3905/jsf.2020.26.3.109
M. Adams
{"title":"Highlights from Global Capital","authors":"M. Adams","doi":"10.3905/jsf.2020.26.3.109","DOIUrl":"https://doi.org/10.3905/jsf.2020.26.3.109","url":null,"abstract":"","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"109 - 117"},"PeriodicalIF":0.4,"publicationDate":"2020-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47234204","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Earlier this year, the US economy dropped from historical highs to a severe downturn almost overnight due to the government’s response to the coronavirus outbreak. The pandemic affected all sectors of the economy, including the MBS market. Historically, there has been a direct link between an economic downturn and the fundamentals of the financial markets leading up to the downturn. As we saw in the Great Recession, the exuberance in the mortgage market, poor mortgage loan underwriting quality, and the exponential leverage resulting from the derivative markets contributed to financial disaster. The recent economic downturn resulted not from overleverage and the kind of “wild west” behavior observed in the early to mid-2000s, but from the deliberate shut down of the US economy in an effort to mitigate the spread of the coronavirus. Unlike the Great Recession and the Great Depression, the events leading to the current economic downturn were exogenous to the market. As a result, the economy and the MBS market rebounded quickly. TOPICS: MBS and residential mortgage loans, financial crises and financial market history Key Findings • The forced shutdown of the economy resulted in an economic downturn paralleling the Great Depression. • Delinquency rates on residential mortgages and forbearance requests rose quickly, with a knock-on effect on MBS pricing and prepayment speeds. • Due to the strength of the economy and the MBS market pre-COVID, the time to recovery has been shorter than in previous downturns.
{"title":"But This Time IS Different—COVID Recession","authors":"Francis Parisi","doi":"10.3905/JSF.2020.1.113","DOIUrl":"https://doi.org/10.3905/JSF.2020.1.113","url":null,"abstract":"Earlier this year, the US economy dropped from historical highs to a severe downturn almost overnight due to the government’s response to the coronavirus outbreak. The pandemic affected all sectors of the economy, including the MBS market. Historically, there has been a direct link between an economic downturn and the fundamentals of the financial markets leading up to the downturn. As we saw in the Great Recession, the exuberance in the mortgage market, poor mortgage loan underwriting quality, and the exponential leverage resulting from the derivative markets contributed to financial disaster. The recent economic downturn resulted not from overleverage and the kind of “wild west” behavior observed in the early to mid-2000s, but from the deliberate shut down of the US economy in an effort to mitigate the spread of the coronavirus. Unlike the Great Recession and the Great Depression, the events leading to the current economic downturn were exogenous to the market. As a result, the economy and the MBS market rebounded quickly. TOPICS: MBS and residential mortgage loans, financial crises and financial market history Key Findings • The forced shutdown of the economy resulted in an economic downturn paralleling the Great Depression. • Delinquency rates on residential mortgages and forbearance requests rose quickly, with a knock-on effect on MBS pricing and prepayment speeds. • Due to the strength of the economy and the MBS market pre-COVID, the time to recovery has been shorter than in previous downturns.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"63 - 70"},"PeriodicalIF":0.4,"publicationDate":"2020-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42181539","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-10-31DOI: 10.3905/jsf.2020.26.2.118
{"title":"Highlights from Structured Finance Association (SFA)","authors":"","doi":"10.3905/jsf.2020.26.2.118","DOIUrl":"https://doi.org/10.3905/jsf.2020.26.2.118","url":null,"abstract":"","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"118 - 123"},"PeriodicalIF":0.4,"publicationDate":"2020-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47144409","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Current business models have struggled to support early-stage drug development. In this paper, we study an alternative financing model, the megafund structure, to fund drug discovery. We extend the framework proposed in previous studies to account for correlation between phase transitions in drug development projects, thus making the model a more realistic representation of biopharma research and development. In addition, we update the parameters used in our simulation with more recent estimates of the probability of success (PoS). We find that the performance of the megafund becomes less attractive when correlation between projects is introduced. However, the risk of default and the expected returns of the vanilla megafund remain promising even under moderate levels of correlation. In addition, we find that a leveraged megafund outperforms an equity-only structure over a wide range of assumptions about correlation and PoS. TOPICS: Portfolio theory, portfolio construction, equity portfolio management, asset-backed securities (ABS), mutual funds/passive investing/indexing, simulations, performance measurement Key Findings • The performance of a biomedical megafund becomes less attractive when correlation between phase transitions in drug development projects is introduced. • The risk of default and the expected returns of the vanilla megafund remain promising to fixed-income investors and equity holders, even under moderate levels of correlation. • A leveraged megafund outperforms an equity-only structure over a wide range of assumptions about correlation and probability of success.
{"title":"Financing Correlated Drug Development Projects","authors":"A. Lo, K. W. Siah","doi":"10.2139/ssrn.3695209","DOIUrl":"https://doi.org/10.2139/ssrn.3695209","url":null,"abstract":"Current business models have struggled to support early-stage drug development. In this paper, we study an alternative financing model, the megafund structure, to fund drug discovery. We extend the framework proposed in previous studies to account for correlation between phase transitions in drug development projects, thus making the model a more realistic representation of biopharma research and development. In addition, we update the parameters used in our simulation with more recent estimates of the probability of success (PoS). We find that the performance of the megafund becomes less attractive when correlation between projects is introduced. However, the risk of default and the expected returns of the vanilla megafund remain promising even under moderate levels of correlation. In addition, we find that a leveraged megafund outperforms an equity-only structure over a wide range of assumptions about correlation and PoS. TOPICS: Portfolio theory, portfolio construction, equity portfolio management, asset-backed securities (ABS), mutual funds/passive investing/indexing, simulations, performance measurement Key Findings • The performance of a biomedical megafund becomes less attractive when correlation between phase transitions in drug development projects is introduced. • The risk of default and the expected returns of the vanilla megafund remain promising to fixed-income investors and equity holders, even under moderate levels of correlation. • A leveraged megafund outperforms an equity-only structure over a wide range of assumptions about correlation and probability of success.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"27 1","pages":"17 - 34"},"PeriodicalIF":0.4,"publicationDate":"2020-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42536017","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-07-31DOI: 10.3905/jsf.2020.26.2.113
{"title":"Highlights from Structured Finance Association (SFA)","authors":"","doi":"10.3905/jsf.2020.26.2.113","DOIUrl":"https://doi.org/10.3905/jsf.2020.26.2.113","url":null,"abstract":"","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"26 1","pages":"113 - 119"},"PeriodicalIF":0.4,"publicationDate":"2020-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46064436","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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