Introduction on Master TrustWord下载.docx

1、3: Application and Feature 44: Sample Deal 74.1 CHASE Series 74.2 和祥系列集合资金信托计划 155: Reference 16Below is a brief introduction on the features of Master Trust.SummarySecurities issued through master trust are a special type of ABS. The difference between a master trust and a discrete trust is that th

2、e master trust would continue acquiring receivables and issuing securities based thereon on an ongoing basis. As a result of the feature above, originator of the master trust can have the flexibility to handle and issue different securities at different times.Master trust is particularly suited to h

3、andle assets with very short payback period, such as credit card receivables. Its potential in issuing securities backed by assets with longer payback period is largely unexplored. Because credit card receivables essentially do not have any collateral, the recovery rate is usually very low. Structur

4、e of Master TrustIn order to handle assets with a shorter payback period and pack them into products with a desirable length, master trust has a unique structure compared to discrete trusts, which consist of a fixed or static pool of receivables.Below is the structure of a de-linked master trust, th

5、e most popular type in the market:In the diagram above, we can see two series of conventional single series issuances with their own respective Senior/Sub structure. The right hand side is a schematic illustration of an issuance under master trust that give the issuer flexibility: they can issue dif

6、ferent tranches with different rating and seniority at any time of issuers choice.To understand the flexibility of issuer under de-linked master trust structure, we can take a look at the diagram below:In master trust, I believe there are two kinds of events that are related to payment of principal:

7、 Early-Amortization Event and Events of default. The approximate time line of these two events can be illustrated as below:The diagram above is a rough representation and does not cover all the situations. Generally speaking, when an “Early Amortization Event” occurs, the issuer will be required to

8、repay the principal of each “affected” tranche of notes before the Scheduled Principal Payment Date of that tranch, to the extent that funds are available after giving effect to all allocations and reallocations.When an Event of Default occurs （its conditions are stated below）, either the indenture

9、trustee or the holders of more than 66 2/3% of the outstanding dollar principal amount of that class or tranche of notes may declare the principal of all those outstanding notes to be immediately due and payable. This is likely to lead to a Sale of Asset.For a more detailed explanation, please refer

10、 to the Sample Deal CHASE Series in section 4.1 Application and FeatureAs stated above, the master trust structure is particularly suited to the securitization of assets such as credit card receivables. But recently in the UK, it is also used to securitize residential mortgages as well, such as Gran

11、ite Master Trust II issued by the Northern Rock.Below are two diagrams showing the evolution of US Master trust structure and current de-linked issuance platforms:Master trust structure has the following features:1- Instead of issuing Class As, Bs, and Cs tranches concurrently, as the case in single

12、 series structure, master trust allows the separation of issuing time, i.e. issuer can issue a Subordinate Certificate first, and then, depending on the market condition, issue a corresponding Senior Certificate at a different time. This feature gives issuer the flexibility to better meet the market

13、 demand for different risk/return profile.2- Ensuring there is sufficient hard credit support or subordination at all times. Ensuring in certain cases that excess subordination （related to over-issuance of any sub-class relative to the senior notes） is not used to absorb losses;3- Ensuring that the

14、cashflow structure is engineered to allow for the earlier maturity of junior notes whilst preserving the credit integrity of outstanding senior notes.The second and third additional requirements in de-linked master trusts introduce new features such as pre-funding, sliding/scaling enhancement, etc.4

15、- Credit Enhancement:In terms of credit enhancement and the allocation of losses, in a fully-funded master trust, the Class A/B/C notes would not constitute a fixed percent of the capital structure. Instead, issuance options may create a different combination of su-classes each time. But certain cri

16、teria must be met to maintain minimum credit enhancement levels for each class of notes: For example, Class A notes must at all times benefit from a fixed percent of hard subordination. However, the senior noteholders will only benefit from the required subordination level, irrespective of the amoun

17、ts of junior notes outstanding. Thus junior notes that may have been issued in excess of such required level will not absorb losses for the benefit of senior notes. The structure of allocation of losses can be shown as the diagram below: Sample Deal4.1 CHASE SeriesFirst lets look at the organization

18、al structure of this master trust:InterestInterest on a tranche of notes will equal the product of:the interest rate for that tranche of notes for the applicable interest period;times（x） either （1） the actual number of days in the related interest period or （2） the number of days in the related inte

19、rest period based on a 360-day year of twelve 30-day months, divided by （y） 360;the outstanding dollar principal amount of that tranche of notes as of the close of business on the last interest payment date or, for the first interest payment, the outstanding dollar principal amount of that tranche o

20、f notes as of the issuance date.Each interest period will begin on and include an interest payment date and end on but exclude the next interest payment date. However, the first interest period will begin on and include the issuance date of a tranche of notes and end on but exclude the first interes

21、t payment date for that tranche of notes. The interest accrual method for a tranche of notes will be specified in the applicable prospectus supplement.PrincipalThe issuing entity expects to pay the stated principal amount of each tranche of notes in one payment on the scheduled principal payment dat

22、e for that tranche of notes, and is obligated to do so if funds are available on that date for that purpose. If the stated principal amount of a tranche of notes is not paid in full on its scheduled principal payment date due to insufficient funds, noteholders will generally not have any remedies ag

23、ainst the issuing entity until the legal maturity date of that tranche of notes.If the stated principal amount of a tranche of notes is not paid in full on the scheduled principal payment date, then, subject to the principal payment rules described in“Subordination, Credit Enhancement”and“Required S

24、ubordinated Amount,”an early amortization event with respect to that tranche of notes will occur and principal and interest payments on that tranche of notes will be made monthly until they are paid in full or their legal maturity date occurs, whichever is earlier. Principal of a tranche of notes ma

25、y be paid earlier than the scheduled principal payment date for that tranche of notes if any early amortization event or an event of default and acceleration occurs with respect to that tranche of notes. See“The NotesRedemption and Early Amortization of Notes; Early Amortization Events”and“Events of

26、 Default.”Subordination, Credit EnhancementThe payment of principal and interest on subordinated notes will be subordinated to the payment of principal of and interest on senior notes.Principal collections allocated to subordinated notes may be reallocated to pay interest on senior notes or the port

27、ion of the servicing fee allocable to senior notes. These reallocations will reduce the nominal liquidation amount of the subordinated notes. In addition, the nominal liquidation amount of the subordinated notes will generally be reduced for charge-offs resulting from any uncovered default amount al

28、located to the notes prior to any reductions in the nominal liquidation amount of the senior notes. Charge-offs resulting from any uncovered default amount allocated to the notes will initially be allocated to each tranchepro ratabased upon each tranches nominal liquidation amount. These charge-offs

29、 will then be reallocated from tranches of senior notes to tranches of subordinated notes to the extent credit enhancement in the form of subordination is still available to those tranches of senior notes.In addition, principal collections allocated to the notes will first be used to fund targeted d

30、eposits to the principal funding subaccounts of senior notes before being applied to the principal funding subaccounts of subordinated notes.A tranche of subordinated notes that reaches its scheduled principal payment date, or that has an early amortization event, event of default and acceleration,

31、or an optional redemption, will not be paid to the extent that that tranche is necessary to provide the required subordination for tranches of senior notes. If a tranche of subordinated notes cannot be paid because of the subordination provisions of the senior notes, prefunding of the principal fund

32、ing subaccounts for tranches of senior notes will begin as described in this prospectus. After that time, that tranche of subordinated notes will be paid only to the extent that:the principal funding subaccounts for the tranches of senior notes are prefunded to an appropriate level such that none of the tranches of subordinated notes that have reached their scheduled principal payment date are necessar