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9.1 STRUCTURED CREDIT BASICSWe begin by sketching the major types of securitizations and structuredcredit products, sometimes collectively called portfolio credit products.These are vehicles that create bonds or credit derivatives backed by a poolof loans or other claims. This broad definition can’t do justice to the be-wildering variety of structured credit products, and the equally bewilderingterminology associated with their construction.First, let’s put structured credit products into the context of other secu-rities based on pooled loans. Not surprisingly, this hierarchy with respect tocomplexity of structure corresponds roughly to the historical developmentof structured products that we summarized in Chapter 1:Covered bonds are issued mainly by European banks, mainly in Ger-many and Denmark. In a covered bond structure, mortgage loansare aggregated into a cover pool, by which a bond issue is secured.The cover pool stays on the balance sheet of the bank, rather thanbeing sold off-balance-sheet, but is segregated from other assets ofthe bank in the event the bank defaults. The pool assets would beused to make the covered bond owners whole before they could beapplied to repay general creditors of the bank. Because the under-lying assets remain on the issuer’s balance sheet, covered bonds arenot considered full-fledged securitizations. Also, the principal andinterest on the secured bond issue are paid out of the general cashflows of the issuer, rather than out of the cash flows generated bythe cover pool. Finally, apart from the security of the cover pool,the covered bonds are backed by the issuer’s obligation to pay.Mortgage pass-through securities are true securitizations or structuredproducts, since the cash flows paid out by the bonds, and the creditrisk to which they are exposed, are more completely dependent onthe cash flows and credit risks generated by the pool of underlyingloans. Mortgage pass-throughs are backed by a pool of mortgageloans, removed from the mortgage originators’ balance sheets, andadministered by a servicer, who collects principal and interest fromthe underlying loans and distributes them to the bondholders. Mostpass-throughs are agency MBS, issued under an explicit or implicitU.S. federal guarantee of the performance of the underlying loans,so there is little default risk. But the principal and interest on thebonds are “passed through” from the loans, so the cash flows de-pend not only on amortization, but also voluntary prepayments bythe mortgagor. The bonds are repaid slowly over time, but at anuncertain pace, in contrast to bullet bonds, which receive full repay-ment of principal on one date. Bondholders are therefore exposedto prepayment risk.Collateralized mortgage obligations were developed partly as a meansof coping with prepayment risk, but also as a way to create bothlonger- and shorter-term bonds out of a pool of mortgage loans.Such loans amortize over time, creating cash flow streams that di-minish over time. CMOs are “sliced,” or tranched into bonds orStructured Credit Risk tranches, that are paid down on a specified schedule. The simpleststructure is sequential pay, in which the tranches are ordered, with“Class A” receiving all principal repayments from the loan until itis retired, then “Class B,” and so on. The higher tranches in thesequence have less prepayment risk than a pass-through, while thelower ones bear more.Structured credit products introduce one more innovation, namely thesequential distribution of credit losses. Structured products arebacked by credit-risky loans or bonds. The tranching focuses on cre-atingbondsthathavedifferentdegreesofcreditrisk.Aslossesoccur,the tranches are gradually written down. Junior tranches are writ-ten down first, and more senior tranches only begin to bear creditlosses once the junior tranches have been written down to zero.This basic credit tranching feature can be combined with otherfeatures to create, in some cases, extremely complex security struc-tures. The bottom-up treatment of credit losses can be combinedwith the sequential payment technology introduced with CMOs.Cash flows and credit risk arising from certain constituents of theunderlying asset pool may be directed to specific bonds.Securitization is one approach to financing pools of loans and other re-ceivables developed over the past two decades. An important alternativeand complement to securitization are entities set up to issue asset-backedcommercial paper (ABCP) against the receivables, or against securitizationbonds themselves. We describe these in greater detail in Chapter 12.A structured product can be thought of as a “robot” corporate entitywith a balance sheet, but no other business. In fact, structured productsare usually set up as special purpose entities (SPE) or vehicles (SPV), alsoknown as a trust. This arrangement is intended to legally separate the assetsand liabilities of the structured product from those of the original creditorsand of the company that manages the payments. That is, it makes the SPEbankruptcy remote. This permits investors to focus on the credit quality ofthe loans themselves rather than that of the original lenders in assessing thecredit quality of the securitization. The underlying debt instruments in theSPV are the robot entity’s assets, and the structured credit products built onit are its liabilities.Securitizations are, depending on the type of underlying assets, oftengenerically called asset- (ABS) or mortgage-backed securities (MBS), or col-lateralized loan obligations (CLOs). Securitizations that repackage other se-curitizations are called collateralized debt obligations (CDOs, issuing bondsagainst a collateral pool consisting of ABS, MBS, or CLOs), collateralizedmortgage obligations (CMOs), or collateralized bond obligations (CBOs).There even exist third-level securitizations, in which the collateral pool con-sists of CDO liabilities, which themselves consist of bonds backed by acollateral pool, called CDO-squareds.There are several other dimensions along which we can classify the greatvariety of structured credit products:Underlying asset classes. Every structured product is based on a set ofunderlying loans, receivables, or other claims. If you drill down farenough into a structured product, you will get to a set of relativelyconventional debt instruments that constitute the collateral or loanpool. The collateral is typically composed of residential or commer-cial real estate loans, consumer debt such as credit cards balancesand auto and student loans, and corporate bonds. But many othertypes of debt, and even nondebt assets such as recurring fee income,can also be packaged into securitizations. The credit quality andprepayment behavior of the underlying risks is, of course, critical inassessing the risks of the structured products built upon them.Type of structure. Structured products are tools for redirecting the cashflowsandcreditlossesgeneratedbytheunderlyingdebtinstruments.The latter each make contractually stipulated coupon or other pay-ments. But rather than being made directly to debt holders, theyare split up and channeled to the structured products in specifiedways. A key dimension is tranching, the number and size of thebonds carved out of the liability side of the securitization. Anotheris how many levels of securitization are involved, that is, whetherthe collateral pool consists entirely of loans or liabilities of othersecuritizations.How much the pool changes over time. Wecandistinguishhereamongthreedifferentapproaches,tendingtocoincidewithassetclass.Eachtype of pool has its own risk management challenges:Static pools are amortizing pools in which a fixed set of loans isplaced in the trust. As the loans amortize, are repaid, or de-fault, the deal, and the bonds it issues, gradually wind down.Static pools are common for such asset types as auto loansand residential mortgages, which generally themselves have afixed and relatively long term at origination but pay down overtime.Revolving pools specify an overall level of assets that is to be main-tainedduringarevolvingperiod.Asunderlyingloansarerepaid,the size of the pool is maintained by introducing additionalloans from the balance sheet of the originator. Revolving poolsStructured Credit Risk 301are common for bonds backed by credit card debt, which is notissued in a fixed amount, but can within limits be drawn uponand repaid by the borrower at his own discretion and withoutnotification. Once the revolving period ends, the loan pool be-comes fixed, and the deal winds down gradually as debts arerepaid or become delinquent and are charged off.Managed pools are pools in which the manager of the structuredproducthasdiscretiontoremoveindividualloansfromthepool,sell them, and replace them with others. Managed pools havetypically been seen in CLOs. Managers of CLOs are hired inpart for skill in identifying loans with higher spreads than war-rantedbytheircreditquality.Theycan,intheory,alsoseecreditproblems arising at an early stage, and trade out of loans theybelieve are more likely to default. There is a secondary marketfor syndicated loans that permits them to do so, at least in manycases. Also, syndicated loans are typically repaid in lump sum,well ahead of their legal final maturity, but with random timing,so a managed pool permits the manager to maintain the levelof assets in the pool.The number of debt instruments in pools depends on asset type and on thesize of the securitization; some, for example CLO and commercial mortgage-backed securities (CMBS) pools, may contain around 100 different loans,each with an initial par value of several million dollars, while a large residen-tial mortgage-backed security (RMBS) may have several tens of thousandsof mortgage loans in its pool, with an a
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