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Introduction to Structured Finance
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Created by the experienced author team of Frank Fabozzi, Henry Davis, and Moorad Choudhry, Introduction to Structured Finance examines the essential elements of this discipline. It is a convenient reference guide—which covers all the important transaction types in one place—and an excellent opportunity to enhance your understanding of finance.
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Index 385
Synthetic transactions, 5, 149
investor risks, 140–141
Take-and-pay contract, 278
Take-or-pay contract, 278
Take-or-pay contracts, 277
Take-out financing. See Long-
term take-out financing
Tan, Madeleine M.L., 4
Tavakoli, Janet, 4
Tax considerations. See Project
financing
Tax credit, usage, 226
Tax indemnities, 246
Tax law
changes, tax indemnification,
253–254
risk, definition, 254
Tax-loss-carryforward position, 212
Tax-oriented lease, 212
Tax-oriented leasing, economics
(understanding), 243
Tax-oriented TRAC lease, usage.
See Over-the-road vehicles
Tax-oriented true leases, 209–211
Tax-rate change, risk, 254
Technological obsolescence, 215
Telecom bonds, 55
ownership, 56
Telpner, Joel S., 195
Termination value, 49
TermoEmcali (counterparty risk;
political risk), 275
Term subordinated debt, 288
Third-party agent, 301
Third-party calculations, 183
Third-party contractor, 252
Third-party credit support, 66
Third-party equity participant,
244–245
Third-party guarantees, 66
disadvantage, 105
Third-party leasing company, 218
Third-party rents, guarantees, 242
Third-party sponsor, 260–261
Three-party transactions, 211
Threshold, 53
amount, 154
Thym, Jennifer, 301
Tier 1 capital, 288
elements, 293
Tier 2 capital, 288
elements, 293
Time horizon, 292
Time value, 40
Total contingent lease payments, 222
Total return bond index swap, 58
Total return credit swaps, 58
Total return index swaps, 58, 63
Total return payer, 58–59
Total return receiver, 58, 61
Total return swaps (TRSs), 45,
57–58. See also Basket
TRS; Unfunded TRS
approach, 164
basket value, 170–171
counterparty, 164
diagram, 59
drawback, 60
economics, 58–63
funding structures, combina-
tion. See Referenced notes
illustration, 61–62
interest rate swaps, compari-
son, 60–61
reset date, 168–169
structure, 177
trade, funding, 165
usage, 60, 136
Toyota Auto Receivables 2003-B
Owner Trust, 96
Trade date, 30
Tranches, 68. See also Equity
ratings, 146
Transaction
closure, 111
costs, 149
sizing, 107
Transparency, increase, 20–21
Treasury bonds. See U.S. Trea-
sury bonds
Treasury notes. See U.S. Treasury
notes
Triggering event, 299
Triggers, 112–113
levels. See CIT Equipment
Collateral 2006-VT1
term, meaning, 112
Triple-net lease, 208
True lease transactions, federal
income tax requirements,
222–224
True sale, 14
True-sale asset swap, 57
True-sale issues, 149
Trust certificates, issuance, 244
Trustees
assumption. See Single trustees
involvement. See Indenture
trustees
reports, 123
Uchill, Lawrence E., 4
Uncapped interest costs, 302
Unconsolidated subsidiaries, equity
investment, 279
Underwriting. See CIT Equipment
Collateral 2006-VT1
process, information usage, 83–
85
standards, 68
Unexpected loss (UL), 291
Unfunded CDO, 146
structure, 134
Unfunded CDS, 152
Unfunded structured finance trans-
actions, usage, 11
Unfunded synthetic MBS, 298–299
Unfunded TRS, 57
Universal Information Technology
(UIT) Company, 204–206
U.S. dollar-denominated bonds,
U.S. investor purchase, 196
U.S. Federal Reserve Board of
Governors, 290
U.S. Treasury bonds, 136
futures, 25–26
contracts, trading. See Chi-
cago Board of Trade
U.S. Treasury issue, delivery
(consideration), 50
U.S. Treasury notes futures, 25–26
Useful life (deterioration), 215
test, 251
Van Gorp, Jon, 4
Variable fee structure, 14
Variable interest entity (VIE),
280–282
Vendor lease, 218
Vrensen, Hans, 4
Wadden, William M., 91
WAM. See Weighted average matu-
rity
Waterfall, 107, 123. See also Cash
flow
order, paydown, 116
Waterson, David, 143
Weather-related securities, 7
Weighted average contract rate,
85–87
Weighted average cost of capital
(WACC), 226
usage, 230
Weighted-average coupon, 128
Weighted average coupon (WAC).
See Gross WAC; Net WAC
Weighted average maturity (WAM),
87
Weighted-average rating, 128
Weighted-average rating factor
(WARF), 129
Weighted-average spread, 128
Wholesale price, 84
Worenklein, Jacob, 20–21
Working capital
conservation, 212–213
requirements, 155
World Bank, criteria, 197
Writer, 36–37
XL Capital Assurance, 106
Yen assets, U.S. investor expo-
sure (avoidance), 196
Yield maintenance agreement, 103
Yield spread, 138. See also Collat-
eralized debt obligations
Ziser, Boris, 4
Table of contents
- Introduction to Structured Finance