Contractual structure for delinking a bank rating from rating of a special purpose vehicle

摘要

A contractual structure among first, second, and third companies is disclosed, wherein the first company is typically a special purpose vehicle. The first company has a payment obligation to one or more entities in accordance with one or more schedules, the payment obligation comprising a principal component and an interest component. The second company enters into a first set of one or more derivative contracts with the first company and a second set of one or more derivative contracts with the third company. The first contract set apportions risks and rewards between the first and second companies of a possible default or value change of one or more assets referenced in the first contract set. The second contract set obligates the third company to make collateral funds available to the first company to fully enable or assist the first company in fulfilling the payment obligation to the one or more entities. At least a portion of the collateral funds is contingent upon a default or depreciation of the one or more referenced assets. The first contract set also includes an assignment of the second company's rights under the second contract set to the first company. This arrangement advantageously delinks the rating of the first company from that of the second company, due to the collateral funds that are provided by the third company and in the control of the first company.