Global Securitisation and CDOs
Wiley Finance Series
1. Edition January 2004
688 Pages, Hardcover
Wiley & Sons Ltd
Short Description
Securitization is the conversion of cash flows from underlying assets into a smoothed repayment stream, via the issue of bonds, and can be used by companies or institutions for a variety of purposes-to raise capital, to restructure balance sheets, to fund diversification, to increase liquidity, or to improve its strategic profile. Global Securitisation and CDOs helps readers understand this important financial topic by focusing on the principles and structures of this market. This book also looks at future opportunities and challenges within this market in light of changes in accounting and regulatory capital treatment, as well as the exponential growth in the use of synthetic products and credit derivatives.
"This is an essential book for any practitioner, researcher or student of securitisation - concise and accurate coverage of the key aspects of securitisation on all the main and secondary markets of the world."--Alexander Batchvarov, Managing Director, International Structured Product Strategy, Merrill Lynch, London.
"John Deacon's original book became the leading textbook for those genuinely interested in gaining a profound and detailed understanding of the arcane world of securitisation. The new, updated version confirms John's status as the top writer in this sector. Securitisation has moved on, becoming ever more complex in both its detail and its variety, but John's book never fails to deal with all the intellectual challenges posed, in a clear, logical and comprehensive fashion. A must for all practitioners- - I thoroughly enjoyed it."--Robert Palache, Managing Director, Head of European Infrastructure Finance and Corporate Securitisation, Barclays Capital
"Deacon's book is an unparalleled treatise on all aspects of asset securitisation and CDOs and is ideal for use by both experienced market practitioners and by those new to the seemingly ever-expanding world of securitisation. The book comprehensively outlines the various structures encountered, ranging from true sale and future flow financings to synthetics and whole business, addressing not only the framework of the structures but also the regulatory and accounting implications. A must have reference book."--David Newby, Executive Director, ABN AMRO BANK N.V., Head of UK and Irish Securitisation, Head of European Commercial Real Estate Securitisation
"John Deacon's experience in seeing a myriad of securitisation structures as an investor, as well as in using securitisation technology to create investment capacity brings a unique, practical perspective to the securitisation market. This book will become fundamental reading for both experienced securitisation professionals and those looking to understand this critical component of the capital markets."--Iain Barbour, Global Head of Securitisation, Commerzbank Securities
"This book is one of the most comprehensive pieces covering the asset backed and CDO markets that I have ever read over my 15 years of involvement in the most innovative deals in the European Securitisation market. It provides a great knowledge base and reference point for CFOs, treasurers, investment bankers, lawyers, regulators, rating agencies and other market participants. I would recommend this book to anyone involved in the industry, whether they are new to the market or have 20 years experience."--Andy Clapham, Senior Managing Director, Bear Stearns, Head of European Securitisation &CDOs; voted one of the top 10 Structured Finance professionals of all time in 2002.
"This latest edition of John Deacon's book on securitisation once again provides bankers, lawyers and others with an up-to-date analysis of the whole range of securitisation - from simple receivables, through future flow and whole business, to synthetic. In addition to providing core legal analysis (which readers can research in more depth elsewhere if required), the book gives valuable insight into the key business issues that have to be addressed as well as the rationale for particular structures. The country analysis is an especially good starting point in looking at any jurisdiction."--Neil Campbell, Partner, Paul, Hastings, Janofsky & Walker LLP, Head of Securitisation and Structured Finance, Asia-exJapan.
"The most comprehensive text on securitisation I've seen. Most impressive. Required reference book for all my staff."--Marcus Giancaterino, Managing Director, Head of European Securitisation, Citigroup
About the Author.
1 Introduction.
1.1 Forms of securitisation.
1.2 Rationale for securitisation.
1.3 Global ABS markets.
2 Rating and Credit Structure.
2.1 Rating agencies.
2.2 Credit enhancement and liquidity.
2.3 Hedging and prepayment risk.
3 Deal Structure.
3.1 Ring-fencing and true sale.
3.2 SPVs and trusts.
3.3 Offshore centers.
3.4 Commonly used offshore jurisdictions.
3.5 Bonds and CP funding.
3.6 Securities laws.
3.7 US securities laws.
3.8 UK securities laws.
3.9 EU securities laws.
3.10 Tax treatment.
3.11 Accounting treatment.
3.12 Capital treatment.
3.13 Data and consumer regulation.
3.14 Regulatory approvals.
3.15 Administration and systems.
4 Investor Concerns.
4.1 Investor credit analysis.
4.2 Eligibility criteria.
4.3 Cash flow waterfall.
4.4 Bond pricing and valuation.
4.5 Performance and reporting.
5 Asset Classes.
5.1 ABS: Commercial and EETCs.
5.2 ABS: Consumer and credit cards.
5.3 Collateralised debt obligations.
5.4 Commercial mortgage-backed securities.
5.5 Covered bonds and Pfandbriefe.
5.6 Future flows.
5.7 Non-performing loans.
5.8 Real estate investment trusts.
5.9 Repackagings.
5.10 Residential mortgage-backed securities.
5.11 Trade receivables.
5.12 Whole business securitisation.
6 Opportunities and Challenges.
6.1 Introduction.
6.2 Significance of accounting and capital off-balance-sheet reform.
6.3 New Basel Accord.
7 Synthetics and Credit Derivatives.
7.1 Synthetic securitisation: Credit derivatives.
7.2 Super-senior pieces.
7.3 Pros and cons of synthetic securitisations for investors.
7.4 Terminology and types of credit derivative.
7.5 Use and pricing for credit derivatives.
7.6 Structure and concerns.
7.7 Regulatory capital advantages of synthetics.
7.8 International capital treatment for credit derivatives.
8 Whole Business Securitisation.
8.1 Benefits and requirements of whole business deals.
8.2 Structures.
8.3 Corporate valuation.
8.4 Rating analysis.
8.5 Feasibility in different countries.
8.6 Threats to whole business technology.
9 The European Union.
9.1 Ring-fencing and true sale.
9.2 Securities laws.
9.3 Tax treatment.
9.4 Accounting treatment.
9.5 Capital treatment.
9.6 Data protection/confidentiality.
9.7 Consumer protection.
9.8 Other issues.
10 Accounting for Securitisation.
10.1 US accounting standards.
10.2 UK accounting standards.
10.3 International Accounting Standards.
10.4 The influence of the European Union.
11 Capital.
11.1 Banking book.
11.2 Trading book.
11.3 New Basel Accord.
11.4 Basel capital arbitrage.
11.5 Off-balance-sheet treatment under Basel.
11.6 Basel capital treatment and new Basel proposals.
11.7 Capital for banking book exposures.
11.8 Capital for trading book exposures.
12 Global Securitisation Markets.
12.1 Argentina.
12.2 Australia.
12.3 Austria.
12.4 Belgium.
12.5 Bolivia.
12.6 Brazil.
12.7 Canada.
12.8 Chile.
12.9 China.
12.10 Colombia.
12.11 Czech Republic.
12.12 Denmark.
12.13 Egypt.
12.14 Finland.
12.15 France.
12.16 Germany.
12.17 Greece.
12.18 Hong Kong SAR.
12.19 Hungary.
12.20 India.
12.21 Indonesia.
12.22 Ireland.
12.23 Israel.
12.24 Italy.
12.25 Japan.
12.26 Korea.
12.27 Luxembourg.
12.28 Malaysia.
12.29 Mexico.
12.30 The Netherlands.
12.31 New Zealand.
12.32 Norway.
12.33 Pakistan.
12.34 Panama.
12.35 Paraguay.
12.36 Peru.
12.37 The Philippines.
12.38 Poland.
12.39 Portugal.
12.40 Russia.
12.41 Scotland.
12.42 Singapore.
12.43 South Africa.
12.44 Spain.
12.45 Sweden.
12.46 Switzerland.
12.47 Taiwan.
12.48 Thailand.
12.49 Turkey.
12.50 United Kingdom.
12.51 United States.
12.52 Venezuela.
13 Terminology in the Securitisation and Derivatives Markets.
References.
Index.
He is also a co-founder of the ThorABS asset-backed securities website (www.ThorABS.com).
Prior to joining UBS he was Head of Principal Finance at Greenwich NatWest, where he was responsible for the acquisition and restructuring of performing and non-performing assets for the balance sheet of the bank.
Mr. Deacon has worked as a securitisation, principal finance and derivatives specialist in the European and Asian markets as an investor, issuer, investment banker and lawyer in London, Paris and Hong Kong. He has extensive global securitisation and principal finance experience from transactions in France, Hong Kong, Indonesia, Italy, Spain, Thailand and the UK and structuring in Germany, Japan, Korea, the Netherlands, Singapore, Sweden and the Philippines, for products as diverse as:
* Principal finance
* Non-performing loans
* Whole business
* Commercial mortgages
* Synthetics
* Residential mortgages
* Credit derivatives
* Auto leases and hire purchase contracts
* Structured derivatives
* Trade receivables
* Bond repackagings
* Multi-family residential real estate
* CDO structures
* Commercial real estate
* Commercial paper conduits
* Nuclear moratorium credits
* Asset-backed MTN programmes
* PFI receivables
Mr. Deacon qualified as a lawyer at Clifford Chance. He is a Solicitor of the Supreme Court in England and Wales, a Solicitor of the Supreme Court in Hong Kong and an ACIB and has written articles for the International Securitisation Report and for the International Securitization & Structured Finance Report. He has spoken at seminars and workshops for securitisation and credit derivatives industry professionals organised by Euromoney, AIC Conferences, ICC and Futures & Options World.
