The Securitization Markets Handbook

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The Securitization Markets Handbook: Structures and Dynamics of Mortgage - and Asset-Backed Securities

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Publisher: Bloomberg Press; 1 edition (May 18, 2010)
Language: English
ASIN: B003NE61IK

Charles Austin Stone (Author), Anne Zissu (Author)

In this long-awaited handbook, noted experts Charles Stone and AnneZissu provide an enlightening overview of how securitization worksand explain how future cash flows from various assetclasses—from credit card receipts to mortgagepayments—can be packaged into bond-like products and sold toinvestors.

Once a marginal source of funds, securitization is now an essentialcorporate funding technique widely adopted by financial andindustrial companies throughout the world to finance both workingcapital and capital budgets. It is also used as a risk-managementtool and a source of liquidity. Securitization has been adapted tofund corporate acquisitions, to capitalize future streams ofrevenue, and to liquidate pools of nonperforming loans.

With examples from companies such as GE Capital, Ford Motor Credit,Countrywide Home Loans, and D&K Healthcare, TheSecuritization Markets Handbook provides descriptions of allmajor classes of asset-backed securities and offers apractice-oriented commentary on trends in securitization and thevalue of asset- and mortgage-backed securities across industriesand throughout the global markets.

The authors approach the topic from both sides of the market: thesupply side, where assets are securitized and mortgage- andasset-backed securities are issued, and the demand side, whereinvestors choose which classes of mortgage and asset-backedsecurities will enhance their portfolios or serve as efficienthedges. The book’s detailed explanations and practicalexamples make it a valuable guide both for experienced moneymanagers trying to put a securitization strategy into place and forthose new to securitization looking to acquire a broad and strongfoundation in the subject.

From the Inside FlapSince the first edition of The Securitization Markets Handbook was published in 2005, much has changed in the world of finance—mainly in response to the devastating financial crisis that began in 2007. Nobody understands how this situation has affected the securitization markets better than authors Charles Austin Stone and Anne Zissu. With over twenty years of mortgage- and asset-backed securities experience, they are well versed in various aspects of this field. And now, they've returned to share their extensive insights with you.
The Second Edition of The Securitization Markets Handbook is necessary not because the market collapsed, but because it was important enough to save and re-regulate. The fact is that a well-functioning market for securitized financial assets is necessary if capital is to flow in adequate amounts to support future growth. And financial professionals who can navigate and operate the securitization process in adherence to new regulations will gain at the expense of those who cannot.
While other books exist on securitization, this one's approach is unique, offering in-depth analysis of both the supply and demand sides of markets for mortgage- and asset-backed securities. It also contains market data, case studies, and original detailed exhibits that reveal how and why specific companies have securitized their assets, the factors that affect the values of the resulting mortgage- and asset-backed securities, and the securitization structures that were employed. And while this guide has been written to reflect current market conditions—with many updated cases and data—it also remains true to the original edition since some concepts covered do not depend on new data.
Divided into four comprehensive parts, The Securitization Markets Handbook, Second Edition includes:

Part One, Key Structures and Cash Flow Dynamics, presents the tools and examples that will show you how to value mortgage- and asset-backed securities across various payment and interest-rate scenarios
Part Two, Corporate Debt and the Securitization Market, examines how and why Ford Motor Company—one of the most active issuers of ABSs—uses securitization and discusses the supply and demand of asset-backed commercial paper (ABCP)
Part Three, Securitization of Revolving Credit, highlights the structures used to securitize revolving credits, through examples including MBNA
Part Four, Searching for Value in the Mortgage- and Asset-Backed Markets, addresses the distribution of MBSs and ABSs across various segments of the capital and money markets, examines credit risk and credit enhancement, and analyzes different risks that are specific to a pool of securitized option adjustable-rate mortgages (ARMs)

Securitization is a broad, multifaceted subject, but with this book as your guide, you'll gain clear insights into this valuable financial innovation and discover the many ways of tapping its value.

From the Back CoverThe Second Edition of The Securitization Markets Handbook is a valuable resource for a wide range of financial professionals trying to put a securitization/asset-backed strategy into place as well as newcomers looking to acquire a broad and strong foundation in this discipline.
Written by Charles Austin Stone and Anne Zissu—both experts in the areas of mortgage- and asset-backed securities—this reliable guide provides you with a practical and detailed picture of a select number of asset classes, securitization structures, and pricing techniques. The assets presented here represent the largest and most liquid segments of the market, and the structures reviewed comprise the most general financial architecture for securitization transactions.
Updated to reflect the current market environment—taking into account the impact of the 2007 financial crisis—The Securitization Markets Handbook, Second Edition offers an in-depth analysis of selected portions of the mortgage- and asset-backed securities markets. Along the way, it provides valuable insights on:

Key structures and cash flow dynamics
Corporate debt and the securitization market
Securitization of revolving credit
Searching for value in the mortgage- and asset-backed markets
And much more

The Second Edition of The Securitization Markets Handbook is an essential resource for both issuers and investors. Examining the subject of securitization from a wide perspective, it can help you excel at this demanding endeavor.

Acknowledgments ix

Introduction xi
PART ONE Key Structures and Cash Flow Dynamics
CHAPTER 1 Mortgage-Backed Securities: Origins of the Market 3
CHAPTER 2 Price Dynamics of Mortgages and Cash Flows 79
CHAPTER 3 Valuation of Mortgage-Backed Securities 97
CHAPTER 4 Other Structures in Asset-Backed Securities:CMOs, PACs, Floaters, Inverse Floaters, CDOs and CDOs-squared, and Synthetic CDOs 131
PART TWO Corporate Debt and the Securitization Markets
CHAPTER 5 How Ford Motor Credit Corporation Has Used Securitization 163
CHAPTER 6 Asset-Backed Commercial Paper 219
PART THREE Securitization of Revolving Credit
CHAPTER 7 Dealer Floor Plan Loans 263
CHAPTER 8 Credit Card Receivables 283
PART FOUR Searching for Value in the Mortgage- and Asset-Backed Markets
CHAPTER 9 Investment, Speculation, and Hedging 327
CHAPTER 10 Credit Risk and Credit Enhancement 385
CHAPTER 11 Dissecting the Risks of a Pool of Securitized Options ARMs 397
About the Authors 429
Index 431