I- Structure of securitization operations

• The main options :
o Transfert of assets or transfer of synthetic risk.
o Funding on bond market (long term) or on the stock market of claims (short term).
o Public or private operation.
o Vehicle of the dedicated refinancing or muti-assignors structure.
o Unique operation unique, set of similar operations or permanent financing structure.

• Classic structure with assets transfer:
o Transfer of the assets to a independant dedicated entity (transfer without any resort).
o The profits coming from the assets given are in priority allocated to repay the debt produced by the vehicle.
o The assignor loses the control of the assets given.
o It usually stays in charge of the management of the assets within the framework of a contract with the securitization vehicle.
o Funding made with the issue of one or more phases of rates stocks.

• The main interveners in a securitization operation :
o The assignor / recoverer
o Trust company / trustee
o Swap counter-party, contributors of cash or external guarantors
o Rating agencies
o External advice
o Regulatory authorities
o The bank in charge of the investment and the structuration.

• Identification and analysis of the risks:
o Credit risks on assets
o Credit risks on the assignor
o Market risk
o Juridical, fiscal and prudential requalification risks

II- The economy of a securitization:

• The economic advantages intended:
o The reduction of the financing cost : it can be less costly to redeem a debt with a high mark than to make a bond directly from the bank balance-sheet.
o The reduction of the amount of consumed equity in the balance-sheet by the assets.
o The optimization of the risky yield profile of the portfolio (expected margin/ volatility of the margin).

• The parameters affecting the cost of a securitization:
o The risky and/ or the margin level of securitized assets.
o The exit price of the different risk ranges sold to the market.
o The economy of the regulatory capital or economic equity generated by the operation.
o The structure of the operation can have an influence on the choice of securitized assets and the refund profile of the risks sold to the market.
o The complexity of the operation directly affects the cost of the setting up and so the cost price of an operation.