Introduction on Master Trust.docx

Introduction on Master Trust.docx

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IntroductiononMasterTrust

IntroductiononMasterTrust

Contents

1：

Summary2

2:

StructureofMasterTrust2

3:

ApplicationandFeature4

4:

SampleDeal7

4.1CHASESeries7

4.2和祥系列集合资金信托计划15

5:

Reference16

BelowisabriefintroductiononthefeaturesofMasterTrust.

1：

Summary

SecuritiesissuedthroughmastertrustareaspecialtypeofABS.Thedifferencebetweenamastertrustandadiscretetrustisthatthemastertrustwouldcontinueacquiringreceivablesandissuingsecuritiesbasedthereononanongoingbasis.Asaresultofthefeatureabove,originatorofthemastertrustcanhavetheflexibilitytohandleandissuedifferentsecuritiesatdifferenttimes.

Mastertrustisparticularlysuitedtohandleassetswithveryshortpaybackperiod,suchascreditcardreceivables.Itspotentialinissuingsecuritiesbackedbyassetswithlongerpaybackperiodislargelyunexplored.Becausecreditcardreceivablesessentiallydonothaveanycollateral,therecoveryrateisusuallyverylow.

2:

StructureofMasterTrust

Inordertohandleassetswithashorterpaybackperiodandpackthemintoproductswithadesirablelength,mastertrusthasauniquestructurecomparedtodiscretetrusts,whichconsistofafixedorstaticpoolofreceivables.

Belowisthestructureofade-linkedmastertrust,themostpopulartypeinthemarket:

Inthediagramabove,wecanseetwoseriesofconventionalsingleseriesissuanceswiththeirownrespectiveSenior/Substructure.Therighthandsideisaschematicillustrationofanissuanceundermastertrustthatgivetheissuerflexibility:

theycanissuedifferenttrancheswithdifferentratingandseniorityatanytimeofissuer’schoice.

Tounderstandtheflexibilityofissuerunderde-linkedmastertruststructure,wecantakealookatthediagrambelow:

Inmastertrust,Ibelievetherearetwokindsofeventsthatarerelatedtopaymentofprincipal:

Early-AmortizationEventandEventsofdefault.Theapproximatetimelineofthesetwoeventscanbeillustratedasbelow:

Thediagramaboveisaroughrepresentationanddoesnotcoverallthesituations.Generallyspeaking,whenan“EarlyAmortizationEvent”occurs,theissuerwillberequiredtorepaytheprincipalofeach“affected”trancheofnotesbeforetheScheduledPrincipalPaymentDateofthattranch,totheextentthatfundsareavailableaftergivingeffecttoallallocationsandreallocations.

WhenanEventofDefaultoccurs（itsconditionsarestatedbelow）,eithertheindenturetrusteeortheholdersofmorethan662/3%oftheoutstandingdollarprincipalamountofthatclassortrancheofnotesmaydeclaretheprincipalofallthoseoutstandingnotestobeimmediatelydueandpayable.ThisislikelytoleadtoaSaleofAsset.

Foramoredetailedexplanation,pleaserefertotheSampleDealCHASESeriesinsection4.1

3:

ApplicationandFeature

Asstatedabove,themastertruststructureisparticularlysuitedtothesecuritizationofassetssuchascreditcardreceivables.ButrecentlyintheUK,itisalsousedtosecuritizeresidentialmortgagesaswell,suchasGraniteMasterTrustIIissuedbytheNorthernRock.

BelowaretwodiagramsshowingtheevolutionofUSMastertruststructureandcurrentde-linkedissuanceplatforms:

Mastertruststructurehasthefollowingfeatures:

1-InsteadofissuingClassAs,Bs,andCstranchesconcurrently,asthecaseinsingleseriesstructure,mastertrustallowstheseparationofissuingtime,i.e.issuercanissueaSubordinateCertificatefirst,andthen,dependingonthemarketcondition,issueacorrespondingSeniorCertificateatadifferenttime.Thisfeaturegivesissuertheflexibilitytobettermeetthemarketdemandfordifferentrisk/returnprofile.

2-Ensuringthereissufficienthardcreditsupportorsubordinationatalltimes.Ensuringincertaincasesthatexcesssubordination（relatedtoover-issuanceofanysub-classrelativetotheseniornotes）isnotusedtoabsorblosses;

3-Ensuringthatthecashflowstructureisengineeredtoallowfortheearliermaturityofjuniornoteswhilstpreservingthecreditintegrityofoutstandingseniornotes.

Thesecondandthirdadditionalrequirementsinde-linkedmastertrustsintroducenewfeaturessuchaspre-funding,sliding/scalingenhancement,etc.

4-CreditEnhancement:

Intermsofcreditenhancementandtheallocationoflosses,inafully-fundedmastertrust,theClassA/B/Cnoteswouldnotconstituteafixedpercentofthecapitalstructure.Instead,issuanceoptionsmaycreateadifferentcombinationofsu-classeseachtime.Butcertaincriteriamustbemettomaintainminimumcreditenhancementlevelsforeachclassofnotes:

Forexample,ClassAnotesmustatalltimesbenefitfromafixedpercentofhardsubordination.However,theseniornoteholderswillonlybenefitfromtherequiredsubordinationlevel,irrespectiveoftheamountsofjuniornotesoutstanding.Thusjuniornotesthatmayhavebeenissuedinexcessofsuchrequiredlevelwillnotabsorblossesforthebenefitofseniornotes.Thestructureofallocationoflossescanbeshownasthediagrambelow:

4:

SampleDeal

4.1CHASESeries

Firstlet’slookattheorganizationalstructureofthismastertrust:

Interest

Interestonatrancheofnoteswillequaltheproductof:

•

theinterestrateforthattrancheofnotesfortheapplicableinterestperiod; times

•

（x）either

（1）theactualnumberofdaysintherelatedinterestperiodor

（2）thenumberofdaysintherelatedinterestperiodbasedona360-dayyearoftwelve30-daymonths,dividedby（y）360; times

•

theoutstandingdollarprincipalamountofthattrancheofnotesasofthecloseofbusinessonthelastinterestpaymentdateor,forthefirstinterestpayment,theoutstandingdollarprincipalamountofthattrancheofnotesasoftheissuancedate.

Eachinterestperiodwillbeginonandincludeaninterestpaymentdateandendonbutexcludethenextinterestpaymentdate.However,thefirstinterestperiodwillbeginonandincludetheissuancedateofatrancheofnotesandendonbutexcludethefirstinterestpaymentdateforthattrancheofnotes.Theinterestaccrualmethodforatrancheofnoteswillbespecifiedintheapplicableprospectussupplement.

Principal

Theissuingentityexpectstopaythestatedprincipalamountofeachtrancheofnotesinonepaymentonthescheduledprincipalpaymentdateforthattrancheofnotes,andisobligatedtodosoiffundsareavailableonthatdateforthatpurpose.Ifthestatedprincipalamountofatrancheofnotesisnotpaidinfullonitsscheduledprincipalpaymentdateduetoinsufficientfunds,noteholderswillgenerallynothaveanyremediesagainsttheissuingentityuntilthelegalmaturitydateofthattrancheofnotes.

Ifthestatedprincipalamountofatrancheofnotesisnotpaidinfullonthescheduledprincipalpaymentdate,then,subjecttotheprincipalpaymentrulesdescribedin “—Subordination,CreditEnhancement” and“—RequiredSubordinatedAmount,” anearlyamortizationeventwithrespecttothattrancheofnoteswilloccurandprincipalandinterestpaymentsonthattrancheofnoteswillbemademonthlyuntiltheyarepaidinfullortheirlegalmaturitydateoccurs,whicheverisearlier.Principalofatrancheofnotesmaybepaidearlierthanthescheduledprincipalpaymentdateforthattrancheofnotesifanyearlyamortizationeventoraneventofdefaultandaccelerationoccurswithrespecttothattrancheofnotes.See “TheNotes—RedemptionandEarlyAmortizationofNotes;EarlyAmortizationEvents” and “—EventsofDefault.”

Subordination,CreditEnhancement

Thepaymentofprincipalandinterestonsubordinatednoteswillbesubordinatedtothepaymentofprincipalofandinterestonseniornotes.

Principalcollectionsallocatedtosubordinatednotesmaybereallocatedtopayinterestonseniornotesortheportionoftheservicingfeeallocabletoseniornotes.Thesereallocationswillreducethenominalliquidationamountofthesubordinatednotes.Inaddition,thenominalliquidationamountofthesubordinatednoteswillgenerallybereducedforcharge-offsresultingfromanyuncovereddefaultamountallocatedtothenotespriortoanyreductionsinthenominalliquidationamountoftheseniornotes.Charge-offsresultingfromanyuncovereddefaultamountallocatedtothenoteswillinitiallybeallocatedtoeachtranche prorata baseduponeachtranche’snominalliquidationamount.Thesecharge-offswillthenbereallocatedfromtranchesofseniornotestotranchesofsubordinatednotestotheextentcreditenhancementintheformofsubordinationisstillavailabletothosetranchesofseniornotes.

Inaddition,principalcollectionsallocatedtothenoteswillfirstbeusedtofundtargeteddepositstotheprincipalfundingsubaccountsofseniornotesbeforebeingappliedtotheprincipalfundingsubaccountsofsubordinatednotes.

Atrancheofsubordinatednotesthatreachesitsscheduledprincipalpaymentdate,orthathasanearlyamortizationevent,eventofdefaultandacceleration,oranoptionalredemption,willnotbepaidtotheextentthatthattrancheisnecessarytoprovidetherequiredsubordinationfortranchesofseniornotes.Ifatrancheofsubordinatednotescannotbepaidbecauseofthesubordinationprovisionsoftheseniornotes,prefundingoftheprincipalfundingsubaccountsfortranchesofseniornoteswillbeginasdescribedinthisprospectus.Afterthattime,thattrancheofsubordinatednoteswillbepaidonlytotheextentthat:

•

theprincipalfundingsubaccountsforthetranchesofseniornotesareprefundedtoanappropriatelevelsuchthatnoneofthetranchesofsubordinatednotesthathavereachedtheirscheduledprincipalpaymentdatearenecessar