Chapter 35. Nonmortgage Asset-Backed Securities

FRANK J. FABOZZI, PhD, CFA, CPA

Professor in the Practice of Finance, Yale School of Management

LAURIE S. GOODMAN, PhD

Co-head of Global Fixed Income Research and Manager of U.S. Securitized Products Research, UBS

DOUGLAS J. LUCAS

Executive Director and Head of CDO Research, UBS

Abstract: Asset-backed securities are debt instruments that are backed by a pool of loans or receivables. There is considerable diversity in the types of assets that have been securitized. These assets can be classified as mortgage assets and nonmortgage assets. The former includes residential and commercial mortgage loans. The two largest types of nonmortgage assets that have been securitized are card receivables and auto loan receivables. Investors are attracted to asset-backed securities primarily because of their desirable investment and maturity characteristics.

Keywords: securitization, asset-backed securities (ABSs), credit card receivable-backed securities, monthly mortgage payment, early amortization trigger, auto loan-backed securities, prepayments, absolute prepayment speed, single monthly mortality rate, student loan asset-backed securities (SLABS), alternative loans, Small Business Administration (SBA) loan-backed securities, aircraft lease-backed securities, franchise loan-backed securities, loan-to-value ratio, fixed charge coverage ratio, rate reduction bonds (RRBs), stranded costs, stranded assets, competitive transition charge (CTC)

The process for ...

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