The Securitization Markets Handbook: Structures and Dynamics of Mortgage- and Asset-backed Securities, 2nd Edition

Book description

A comprehensive guide to the continuously evolving world of securitization

The Second Edition of The Securitization Markets Handbook is a valuable resource for both experienced money managers trying to put a securitization strategy into place as well as newcomers looking to acquire a broad and strong foundation in this discipline. This edition takes a close look at the pre- and post-crash mortgage market and the mortgage-backed securities based on those mortgages, as well as other asset-backed securities including commercial paper or credit cards.

The crash of the subprime market and the failure of the asset-backed markets offer an opportunity to learn about banking finance, specifically off-balance sheet finance, and the many costly mistakes that resulted in one of the most severe downturns in financial markets. With this book, you'll discover why certain mortgage and asset-backed securities imploded and others didn't. This new edition examines why the market failed and how the next crisis can be averted or made less severe. It also explains why securitization remains a primary source of capital for the mortgage market, credit card market, home equity market, auto loan market, and segments of the commercial paper market.

  • Offers an informed overview of how the securitization market works, how to make money in it, and what's next for asset- and mortgage-backed securities after the crisis

  • Contains new chapters on CDOs and SIVs, along with a history of the growth and crash of the subprime market, asset-backed securities, and home equity lines of credit

  • Written by securitization experts Charles Stone and Anne Zissu

Updated to reflect the current market environment, the Second Edition of The Securitization Markets Handbook offers clear, comprehensive guidance to these complex markets.

Table of contents

  1. Cover
  2. Contents
  3. Title
  4. Copyright
  5. Dedication
  6. Acknowledgments
  7. Introduction
  8. Part One: Key Structures and Cash Flow Dynamics
    1. Chapter 1: Mortgage-Backed Securities
      1. From The Primary to The Secondary Mortgage Market
      2. The Case of Countrywide
      3. Certificate Ratings
      4. Sources of The Financial Crisis
      5. Gses After The Financial Crisis
      6. From Balance Sheet to Off-Balance Sheet
      7. Agency and Nonagency Market Segments Compared
      8. Pricing of Newly Originated Mortgages
    2. Chapter 2: Price Dynamics of Mortgages and Cash Flows
      1. Bond and Mortgage Basics
    3. Chapter 3: Valuation of Mortgage-Backed Securities
      1. Modeling Cash Flows of Pass-Through, Po, and Io Securities
      2. Effective Duration
      3. Effective Convexity
      4. Note
    4. Chapter 4: Other Structures in Asset-Backed Securities
      1. Collateralized Mortgage Obligations
      2. Planned Amortization Class
      3. Floaters and Inverse Floaters
      4. CDO-Squared
      5. Creating CDOS
      6. Synthetic CDOS
  9. Part Two: Corporate Debt and the Securitization Markets
    1. Chapter 5: How Ford Motor Credit Corporation Has Used Securitization
      1. The Case of Ford Motor Credit
      2. Securitized Receivables
      3. Advantages of Securitization
      4. Special-Purpose Structure
      5. Allocating and Funding Credit Risk: Subordinate Classes and Residual Interests
      6. The Two-Step Securitization Transaction
      7. Credit Ratings and On-Balance-Sheet Versus Off-Balance-Sheet Cost of Funding
      8. Ford Credit Auto Owner Trust 2000-A: A Case Study
      9. Waterfall of Cash Flows
      10. Credit Enhancement
      11. Overcollateralization
    2. Chapter 6: Asset-Backed Commercial Paper
      1. Why Companies Use Asset-Backed Commercial Paper Programs
      2. Abcp Characteristics
      3. Credit Enhancement and Liquidity Support
      4. Vie Issues and Risk-Based Capital
      5. Fin 46 and ABCP
      6. Risk-Based Capital Regulations
      7. Conversion Factor for Liquidity Facilities
  10. Part Three: Securitization of Revolving Credit
    1. Chapter 7: Dealer Floor Plan Loans
      1. Trends in Wholesale Automobile Credit Securitization
      2. Basics of The Securitization Scheme
      3. Securing Liquidity
      4. Shifts in Seller’s Interest and Investor Interest
      5. Seller’s Claim on Receivable Pool
      6. Factors in Credit Line Variability
      7. Pool Size Matters
      8. Note
    2. Chapter 8: Credit Card Receivables
      1. Elements of A Master Trust Pooling and Servicing Agreement
      2. Basics of The Securitization Scheme
      3. The Seller’s Interest and Investor Interest
      4. Retained Interest
      5. Credit Risk and Credit Enhancement
      6. Tranches For A, B, and C Classes
      7. A Picture of The Chase Issuance Trust
      8. Erisa Restrictions
  11. Part Four: Searching for Value in the Mortgage- and Asset-Backed Markets
    1. Chapter 9: Investment, Speculation, and Hedging
      1. Target Investment
      2. Subordinate Segment of Private-Label MBSS
      3. Interest-Rate Risk
      4. Interest-Only Strips as A Hedging Tool
      5. Principal-Only Strips as A Hedging Tool
      6. Inverse Floaters as A Hedging Tool
      7. Hedging CMOS with Options On Treasury Bonds
      8. Appendix 9.1: Delta Hedging Mortgage-Servicing Portfolios
    2. Chapter 10: Credit Risk and Credit Enhancement
      1. Direct Financing of Risk Versus Buying A Financial Guaranty
      2. A Financial Guaranty is Not An Insurance Contract
      3. Selecting Efficient Forms and Levels of Credit Enhancement
      4. Relative Value in Credit-Enhancement Structures
      5. Potential Inadequacy of Credit Enhancement
      6. Other Risks
    3. Chapter 11: Dissecting the Risks of a Pool of Securitized Options ARMs
      1. Greenpoint MTA Trust 2005-AR1
      2. Conclusion
      3. References
  12. About the Authors
  13. Index

Product information

  • Title: The Securitization Markets Handbook: Structures and Dynamics of Mortgage- and Asset-backed Securities, 2nd Edition
  • Author(s):
  • Release date: September 2012
  • Publisher(s): Bloomberg Press
  • ISBN: 9781118006740