Belenus Securities PLC

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?