The Journal of Structured Finance just published our paper “Analyzing Brazilian ABS: FIDCs”

Here is the link to the Journal of Structured Finance Article

The paper demonstrates the value of using financial models to reverse-engineer deals as is done in the U.S markets. We look at various aspects of risk and performance through the model’s lens. The evaluation compares and contrasts two FIDCs: FIDC Panamericano Veículos I and Omni IV. We discuss how the structure of the deal can dramatically affect the value of the FIDC; even when the structures have simple waterfalls typically seen in Brazilian FIDCs. We further demonstrate how Omni’s structure allowed it to weather the 2008 crisis and emerge in better shape than the Panamericano FIDC. In addition, we show how Banco Panamericano was using the FIDC to remove bad loans from its balance sheet.

Here is the link to the Journal of Structured Finance Article

Trackbacks

  1. […] Brazilian ABS: FIDCs,” in the Spring 2012 issue of The Journal of Structured Finance, by Vernon Budinger. Share this:TwitterFacebookLike this:Like2 bloggers like this post. This entry was posted in Blog […]

Speak Your Mind

*