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Currency Considerations

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Historically, most Canadian securitization transactions have involved Canadian dollar assets and Canadian dollar liabilities. With the increase in the frequency of cross-border securitization transactions, however, market participants now regularly fund Canadian dollar assets with U.S. dollar liabilities, and vice versa. This fact pattern introduces currency risk into a securitization transaction, because if the currency of an Special Purpose Vehicle’s (SVP) assets does not match the currency of its liabilities, then adverse movements in the currency exchange rate may result in the SPV not having sufficient assets to secure or repay its liabilities.

There are several ways to address this type of currency risk in a securitization transaction, including through the introduction of a currency hedge at the SPV level (i.e., the SPV swaps the cashflows on its assets into the currency of its liabilities, thus ensuring it has enough money to satisfy these liabilities), or currency reserves (i.e., the SPV sets aside cashflows in a reserve in order to protect the financing party from currency exchange losses).

Another currency-related consideration is that Canadian courts can also only issue judgements in Canadian dollars. Accordingly, if a Chinese party seeks a judgement in a Canadian court, it may be exposed to currency risk associated with the judgement being denominated in Canadian dollars. For this reason, Canadian securitization transaction agreements will often include a currency indemnity provision, where the Canadian originator covenants to indemnify the Chinese financing party for any currency losses sustained in connection with judgement being denominated in Canadian dollars.

交易货币应考虑的因素

有史以来,加拿大证券化交易通常涉及加元资产和加元负债。然而,随着跨境证券化交易频率的增加,市场参与者现常用美元负债为加元资产提供资金,反之亦然。该模式将汇率风险引入证券化交易,因为如果一个特殊目的实体(SPV)资产的货币与其负债的货币不一致,那么货币汇率的不利变动可能导致SPV没有足够的资产来担保或偿还其负债。

在证券化交易中,有多种方法可以解决此类汇率风险,包括通过在SPV层面引入外币套期保值(即SPV将其资产的现金流转换为其负债的货币,从而确保其有足够的资金来偿还这些负债)或货币储备(即SVP将现金流作为储备金,以保护融资方免受汇兑损失)。

另外与货币有关的考虑因素是,加拿大法院只能以加元作出判决。因此,如果一中方当事人在加拿大法院寻求判决,它则可能面临与以加元赔偿相关的汇率风险。因此,加拿大证券化交易协议通常会包括汇兑补偿条款,即加拿大发起人承诺补偿中国融资方因判决以加元计价而遭受的任何汇兑损失。

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