[WIP]Story: Warehouse lending

[yellowbean]

securitised-origination-warehouse-financing-a-flexible-funding-tool.pdf

[yellowbean]

Story

• A liquidity provides a line of credit to originator, with optional

  • interest charge for cash drawn
  • premium fee charge for the un-used balance

• originator will use the fund to buy assets ( during SPV ramp up period )

• Once certain condition met, the SPV will end ramp up period and enter amortizing or revolving period

  • the SPV will issue bonds and get proceeds
    • the proceeds will pay off outstanding balance of liquidity provider
  • The SPV will "own" the new assets on cutoff date

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Risk Factors To Model

• asset ramping up

  • the availability of assets ? -> revolving asset curve in the assumption
  • quality of asset bought ? -> revolving asset perf assumption

• ramping waterfall

  • waterfall can be run different frequency -> separated defined in ramp status
  • how much to draw ? defined in waterfall draw action, with a formula

• Financing cost

  • interest on balance drawn and un-drawn -> already modeled by liquidity facility

• when ramping is ended ?

  • ended by a Pre ?( modeled as trigger ? or supply with an run assumption separately )

• How to sell the assets to SPV ?

  • using Pricing Method ?
  • how to handle accrued interest ?

• How to determine the size of issuance ?

  • user can model bonds & cap structure in the deal object, but if the size of bond depends pool size ?

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Design

• Deal Object

  • Date for ramping period : (Begin Date , , , )
  • Waterfall : a new waterfall for ramping up period
  • Trigger : a Pre which will trigger the Closing event

• Pool Flow

  • There should be a optional change in the pool collection rule which targets to different collection account

• In Deal Run

  • populate new action dates and insert to deal run context
  • build issuance balance
  • sell notes with proceeds and buy assets
  • repay balance of warehouse lenders

• User Assumption