Table of Contents

Executive summary

  • Changes in the market
  • New areas for investment
  • About this report

Chapter 01  Insurance-linked securities

  • Market status
  • The deals
    • New products from investment banks
  • Life transactions
  • New frontiers

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Chapter 02  Case study: Munich Re Issue details

  • Benefits to Munich

Chapter 03  Future use of securitisation in European infrastructure

  • Introduction
    • Current problems
  • The PFI programme in the UK
  • Emerging PPP programmes in Continental Europe
  • The Russian giant
    • Some project finance challenges
  • Acquisition refinancing
    • Examples of bond-based financing
      • UK airports
      • UK water companies
      • UK power companies
      • Future prospects
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Chapter 04  MBS in new markets: the key ingredients

  • The key points
    • Regulatory considerations
      • Origination stage
      • Securitisation stage
      • Taking security
    • Currency
    • Tax considerations
      • Withholding tax
      • Transfer taxes or stamp duty
      • Real estate taxes
    • Lending practices
    • Taking security for the loan
    • Taking security over the loan
    • Enforcement mechanisms and processes: pre- and post-insolvency
      • Pre-insolvency
      • Upon insolvency and post-insolvency
    • Servicing considerations
  • Conclusions

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Chapter 05  Property derivatives: capturing value from uncertainty

  • Property derivatives showing steady growth
  • Part of the real estate framework
  • Steady build or big-bang?
  • Making pricing more transparent
  • Why property derivatives?
  • Valuation and volatility of derivatives
    • Valuation
    • Drivers of volatility
    • Investors’ time horizon
    • Supply/demand pressures in derivatives market
    • Diversity of derivatives market participation
    • Continuously measured derivatives market versus discontinuous physical market
    • Hedging dilemma
  • The use for property derivatives in managing risk
  • Are derivatives lagging or leading the physical market?
  • Trading opportunities in the current UK market
  • Trading opportunities for French offices
  • Who should take responsibility?

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Chapter 06  Can environmental control bonds emerge in Europe?

  • Benefits of ECBs
  • Exemption from risks for ratepayer green bonds
  • European environmental legislation
  • Estimated costs of air pollution control equipment
  • Western Europe
  • Central and Eastern Europe
  • Legislative framework in the US
  • New US template
  • Utility fee securitisation
  • Ratepayer savings and shareholder benefits
  • Investment benefits

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Chapter 07  Acquisition finance: new frontiers for securitisation?

  • Renewed interest in securitisation
    A competitive tool
  • Challenges to further development
  • Legal and structural requirements
  • Opportunities for further development
    • Liquid assets
    • Long-term tangible or intangible assets
    • Assets that generate stable and predictable cash flows
  • Corporate market value versus whole business securitisation
  • An example of implementation: Punch Taverns Finance

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Chapter 08  New frontiers for European securitisation: ABCDS

  • Development of ABCDS
  • Effect of ABCDS on the credit crisis
  • Future prospects for ABCDS
    • Short selling
    • Capital structure trades
    • Maturity curve trades
    • ABS CDOs
    • Indices
  • Conclusion

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Chapter 09  EMEA new markets structured finance

  • Introduction
  • Russia and Turkey still dominate issuance
  • Country highlights
    • Russia
      • 2007 review
      • 2008 issuance outlook
    • Kazakhstan and Ukraine
      • 2007 review
      • 2008 issuance outlook
    • Central and Eastern Europe
      • 2007 review
      • 2008 issuance outlook
    • Turkey
      • 2007 review
      • 2008 issuance outlook
    • Middle East and North Africa
      • 2007 review
      • 2008 issuance outlook

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Chapter 10  Russia’s expanding pipeline

  • Market background
  • Securitisation activity
    • Current investors
  • Russian potential
  • Structuring deals
    • Legislative changes
  • Product development
  • Regional comparisons

Chapter 11  Italian securitisation: looking forward

  • Core questions for regulators and economists
  • Lessons from the sub-prime crisis
  • Developments and trends in the Italian securitisation market
  • Market prospects

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LIST OF TABLES AND FIGURES

  • Table 5.1:    Total return UK All-Property forecasts, 2007–11
  • Table 5.2:    Total return UK All-Property forecasts, (% p.a.)
  • Table 5.3:    Total return France All-Office forecasts (% p.a.)
  • Table 9.1:    Year over year comparison of issuance volume and number of transactions for EMEA new markets
  • Table 9.2:    Sovereign ratings for Central Europe, the Baltic States and Slovenia
  • Table 9.3:    Sovereign ratings for Bulgaria, Romania and Slovakia
  • Table 9.4:    Sovereign ratings for the Balkan states
  • Table 9.5:    Sovereign ratings for Southern Europe
  • Table 9.6:    EMEA new market transactions closed in 2007 (US$m)
  • Figure 1.1:    Total non-life bonds, 1997–2007, (US$m)
  • Figure 1.2:    Investor base by type, as of 4 January 2008 (%)
  • Figure 1.3:    Catastrophe bond trigger breakdown, 1997–2007, 2004–2007 (%)
  • Figure 1.4:    Total life bonds, 1997–2007 (US$m)
  • Figure 5.1:    Total returns from UK commercial property, 1987–2007 (%)
  • Figure 5.2:    Key real estate drivers
  • Figure 5.3:    Global trading volumes in property derivatives, 2004–07 (£m)
  • Figure 5.4:    Possible investor routes
  • Figure 5.5:    Complementing direct property exposure
  • Figure 5.6:     Simple total return swap
  • Figure 5.7:    Property forecast returns less actual returns, 1999–2007
  • Figure 5.8:    Derivatives – implied calendar year total returns versus forecast returns (%)
  • Figure 5.9:    Property derivative mid-prices as at 30 Nov 2007
  • Figure 5.10:    Typical fund management institution business framework
  • Figure 9.1:    EMEA securitisations in new markets, 2007 (US$m)
  • Figure 9.2:    EMEA new markets issuance by asset type, 2007 (%)
  • Figure 9.3:    EMEA new markets issuance by country, 2007 (US$m)
  • Figure 9.4:    Volume of Russian securitisation, 2004–07 (US$bn)
  • Figure 9.5:    Russian securitisation by asset type, 2007 (%)
  • Figure 9.6:    Russian mortgage and housing lending, Q2 2004–Q2 2007 (US$bn)
  • Figure 9.7:    Outstanding Russian consumer loans (excluding mortgages), 1999–Jul 2007 (US$bn)
  • Figure 9.8:    Securitisation in Kazakhstan and Ukraine, 2003–07 (US$bn)
  • Figure 9.9:    Consumer lending in Turkey, Jan 2004–Oct 2007 (TLbn)
  • Figure 9.10:    Securitisation in MENA, 2005–07 (US$m)
  • Figure 9.11:    MENA securitisation by asset class (%)
  • Figure 9.12:    UAE real estate lending, commercial & residential, 2000–07 (Dh m)

 

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