1. Auflage - April 2011
77,90 Euro
2011. 476 Seiten, Hardcover
ISBN-10: 0-470-71391-7
ISBN-13: 978-0-470-71391-4 - John Wiley & Sons

Preis inkl. Mehrwertsteuer zzgl. Versandkosten.





Probekapitel

Kurzbeschreibung
Securitization--the process by which an issuer creates a financial instrument by combining other financial assets and then selling off portions to various investors--requires a keen knowledge of their risks, strategies, and regulatory requirements. This book provides a close, jargon-free look at the entire securitization and structured finance arena, which offers readers not only an overview of key techniques, the objective of such deals, and the history of structured finance, but a detailed, step-by-step look at the deal lifecycle. A road map from pre-close to close, this book is ideal for portfolio and asset managers, risk managers, lawyers, auditors, and regulators.

Aus dem Inhalt
Preface.

Acknowledgments.

1 Introduction.

1.1 Setting the scene: About this book.

1.2 Diagrammatical overview of deal lifecycle stages.

1.3 Role-based roadmap to the book.

PART I THE CREDIT CRISIS AND BEYOND.

2 Looking back: What went wrong?

2.1 Overview.

2.2 Data, disclosure, and standardization.

2.3 Paper reports.

2.4 Electronic reports.

2.5 Data feeds.

2.6 Definitions.

2.7 Reporting standards.

2.8 Underwriting standards.

2.9 Due diligence.

2.10 Deal motives.

2.11 Arbitrage.

2.12 Rating shopping.

2.13 Overreliance on credit ratings.

2.14 Models, assumptions, and black boxes.

2.15 Proprietary analysis.

2.16 Risk management and risk mitigants.

2.17 Senior management awareness.

2.18 Lack of drilldown capability and group-wide controls.

2.19 Mark to market, mark to model, and pricing of illiquid bonds.

2.20 Government salvage schemes: What's next?

2.21 Re-REMICS: Private vs. public ratings.

2.22 Conclusion.

3 Looking ahead: What has happened since?

3.1 Current initiatives: An overview.

4 Sound practice principles.

4.1 Data.

4.2 Definitions.

4.3 Standards.

4.4 Investor focused.

4.5 Motivation and deal drivers.

4.6 Analysis.

PART II DEAL LIFECYCLE.

5 Strategy and feasibility.

5.1 Strategic considerations.

5.2 Key signs for securitization.

5.3 Deal structure type.

5.4 Asset classes.

5.5 Private issuance, public issuance, or conduit financing.

5.6 Credit enhancement and pricing.

5.7 Asset readiness and feasibility studies.

5.8 Documentation review.

5.9 Target portfolio and deal economics.

5.10 Indicative rating agency and financial modeling.

5.11 Ratings models.

5.12 Rating methodologies.

6 Pre close.

6.1 Typical execution timing.

6.2 Execution resources.

6.3 Transaction counterparties.

6.4 Transaction documents.

6.5 Deal configuration.

7 At close.

7.1 Deal documents, marketing, and roadshow.

7.2 Pre-sale report.

7.3 Deal pricing and close.

7.4 New-issuance reports.

8 Post close.

8.1 Servicing and reporting.

8.2 Deal performance measurement.

8.3 The performance analytics process.

8.4 Deal redemption.

PART III TOOLBOX.

9 Understanding complex transactions.

9.1 Structure diagrams.

9.2 Analytical capabilities.

9.3 The risk of overreliance on ratings.

9.4 Analytical roadmap.

10 Data.

10.1 The "meaning" of data.

10.2 Static information.

10.3 Dynamic data points.

10.4 Data providers.

PART IV ANALYTICAL TOOLS.

11 Vendors.

12 ABSXchange.

12.1 Introduction.

12.2 Performance data.

12.3 Pool performance.

12.4 Portfolio monitoring.

12.5 Creating benchmark indexes.

12.6 Cash flow analytics.

12.7 Single-bond cash flow analysis.

12.8 Single cash flow projection results.

12.9 Advanced functionality.

13 Bloomberg.

14 CapitalTrack.

14.1 Changing the data model used for structured finance instrument administration.

14.2 The big fly in the ointment.

14.3 CapitalTrack--the new model.

15 Fitch Solutions.

15.1 Products and services.

15.2 Research services.

15.3 Structured finance solutions.

15.4 Residential mortgage models.

16 Intex.

16.1 Company history.

16.2 Overview.

16.3 Cash flow models and data.

16.4 New developments/releases.

16.5 Partners.

17 Lewtan Technologies.

17.1 Pioneers in a fast-growing industry.

17.2 Broadening the horizon.

17.3 A global solution.

17.4 Responding to regulatory requirements.

17.5 Streamlining workflows with automation tools and data feeds.

17.6 ABSNet scheduled export.

17.7 Home price depreciation and the need for better tools.

17.8 The demand for greater granularity.

17.9 A brighter future.

18 Moody's Wall Street Analytics.

18.1 ABS/MBS investors tools: Structured Finance Workstation.

18.2 CDO investors' tools.

18.3 ABS/MBS issuer tools.

18.4 CDO tools for asset managers.

18.5 CDOEdge for structurers.

18.6 CDOnet Underwriter.

19 Principia Partners: The Principia Structured Finance Platform.

19.1 Portfolio management.

19.2 Risk management: Cash flow and exposure analysis.

19.3 Operations and administration.

19.4 Summary.

20 Trepp.

20.1 Company history.

20.2 Product suite.

20.3 Trepp for CMBS.

20.4 Trepp derivative.

20.5 Trepp loan.


20.6 Powered by Trepp.

20.7 Recent developments.

20.8 Trepp's market affiliations.

20.9 The future.

21 Author's toolbox.

21.1 Overview.

21.2 Ratings tools.

22 Bloomberg's structured finance tools: Tricks and tips.

22.1 Structure paydown function (SPA).

22.2 Super Yield Table (SYT).

22.3 Mortgage Credit Support (MTCS).

22.4 Collateral Performance function (CLP).

22.5 CMBS Loan Detail screen (LDES).

22.6 Delinquency Report (DQRP).

22.7 Collateral Composition Graph (CLCG).

22.8 Cash Flow Table (CFT).

22.9 Class Pay Down (CPD).

22.10 Rating changes (RATT).

22.11 Mortgage API Excel workbooks (MAPI).

23 Websites and other resources.

23.1 Trade bodies.

23.2 Free data portals.

23.3 Vendors.

23.4 Structured finance periodicals and other useful resources.

23.5 Rating agencies.

APPENDIXES.

A Glossary.

B Ratings.

B.1 Fitch Ratings.

B.2 Moody's.

B.3 Standard and Poor's.

C List of abbreviations.

D Bibliography.

Index.