Case study

 Belenus Securities PLC

by Professor Ian H. Giddy
New York University

This is a case study of Belenus Securities, a European asset-backed floating-rate note backed by French commercial mortgage loans. The case study is intended to highlight a number of interesting features of commercial mortgage-backed securities.

  • Read the January 1997 Fitch research report on Belenus Securities (Adobe Acrobat file)
  • Study the November 1998 Fitch IBCA update on the deal
  • Try to answer the following questions:
    • What are the main features of the underlying assets?
    • What can you find out about the originator of the commercial mortgages?
    • Who is the issuer of the ABS, and where is the issuer located? Why?
    • Who is the servicer of the ongoing cash flows?
    • What are the reasons for the rating given by Fitch to the senior notes?
    • What are the key legal issues in structuring an ABS deal such as this one?
    • What is the interest rate risk in the structure, and what financial techniques are used to manage them?
    • What has changed about the securities as of November 1998? | | | | contact
Copyright ©2005  Ian Giddy. All rights reserved.