In this long-awaited handbook, noted experts Charles Stone and Anne
Zissu provide an enlightening overview of how securitization works
and explain how future cash flows from various asset
classes--from credit card receipts to mortgage
payments--can be packaged into bond-like products and sold to
investors.
Once a marginal source of funds, securitization is now an essential
corporate funding technique widely adopted by financial and
industrial companies throughout the world to finance both working
capital and capital budgets. It is also used as a risk-management
tool and a source of liquidity. Securitization has been adapted to
fund corporate acquisitions, to capitalize future streams of
revenue, 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, The
Securitization Markets Handbook provides descriptions of all
major classes of asset-backed securities and offers a
practice-oriented commentary on trends in securitization and the
value of asset- and mortgage-backed securities across industries
and throughout the global markets.
The authors approach the topic from both sides of the market: the
supply side, where assets are securitized and mortgage- and
asset-backed securities are issued, and the demand side, where
investors choose which classes of mortgage and asset-backed
securities will enhance their portfolios or serve as efficient
hedges. The book's detailed explanations and practical
examples make it a valuable guide both for experienced money
managers trying to put a securitization strategy into place and for
those new to securitization looking to acquire a broad and strong
foundation in the subject.
Autorentext
Charles A. Stone and Anne Zissu are the founding editors of The Financier (www.the-financier.com) and The Securitization Conduit (www.asset-backed.com), quarterly publications providing commentary on corporate finance, risk management, securitization, and related topics. Stone is visiting professor of finance at Université Paris Dauphine; Zissu is professor of finance at Temple University in Philadelphia. They have edited several books on finance, and their research has been published in leading academic journals. They reside in Philadelphia.
Zusammenfassung
In this long-awaited handbook, noted experts Charles Stone and Anne Zissu provide an enlightening overview of how securitization works and explain how future cash flows from various asset classesfrom credit card receipts to mortgage paymentscan be packaged into bond-like products and sold to investors.
Once a marginal source of funds, securitization is now an essential corporate funding technique widely adopted by financial and industrial companies throughout the world to finance both working capital and capital budgets. It is also used as a risk-management tool and a source of liquidity. Securitization has been adapted to fund corporate acquisitions, to capitalize future streams of revenue, 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, The Securitization Markets Handbook provides descriptions of all major classes of asset-backed securities and offers a practice-oriented commentary on trends in securitization and the value of asset- and mortgage-backed securities across industries and throughout the global markets.
The authors approach the topic from both sides of the market: the supply side, where assets are securitized and mortgage- and asset-backed securities are issued, and the demand side, where investors choose which classes of mortgage and asset-backed securities will enhance their portfolios or serve as efficient hedges. The book's detailed explanations and practical examples make it a valuable guide both for experienced money managers trying to put a securitization strategy into place and for those new to securitization looking to acquire a broad and strong foundation in the subject.
Inhalt
List of Exhibits.
Acknowledgments.
Introduction.
Part One. Key Structures and Cash Flow Dynamics.
1. Mortgage-Backed Securities.
Origins of the Market.
From the Primary to the Secondary Mortgage Market.
The Agency Market.
The Private-Label Market.
Agency and Nonagency Market Segments Compared.
Credit Risk Considerations.
Mortgage and Funds Flow in the Secondary Market.
Industry Illustration.
Pricing of Newly Originated Mortgages.
Freddie Mac Sample Purchase Pricing.
Mortgage Pricing from the Bank's Perspective.
2. Price Dynamics of Mortgages and Cash Flows.
Bond and Mortgage Basics.
Bond Valuation.
Price/Yield Relationship.
Fixed-Rate Mortgages.
Prepayment Option.
Macauley and Modified Duration.
Convexity.
Risk Exposures.
3. Valuation of Mortgage- and Asset-Backed Securities.
Modeling Cash Flows of Pass-Through, PO, and IO Securities.
Information Set.
Cash Flow over Time.
Effective Duration.
Effective Convexity.
Case Study: A Pass-Through Security Issued by FNMA.
Prepayment Standard Assumption Levels.
S-Curve Prepayment Function.
Weighted Average Life and Different Spreads Measurements.
Spread I, Static Spread (Spread Z), and Spread S.
Option-Adjusted Spread.
Negative Option Cost.
Case Study: Principal-Only and Interest-Only Securities.
PO Strip.
IO Strip.
4. Other Structures in Asset-Backed Securities.
CMOs, PACs, Floaters, and Inverse Floaters.
Collateralized Mortgage Obligations.
Planned Amortization Class.
Floaters and Inverse Floaters.
Part Two. Corporate Debt and the Securitization Markets.
5. How Ford Motor Credit Corporation.
Has Used Securitization.
The Case of Ford Motor Credit.
Securitized Receivables.
Advantages of Securitization.
Special-Purpose Structure.
Allocating and Funding Credit Risk: Subordinate Classes.
and Residual Interests.
The Two-Step Securitization Transaction.
Credit Ratings and On-Balance-Sheet versus Off-Balance-Sheet.
Cost of Funding.
Ford Credit Auto Owner Trust 2000-A: A Case Study.
Waterfall of Cash Flows.
Credit Enhancement.
Overcollateralization.
Rating Agency Parameters.
Leveraging Credit Risk.
6. Asset-Backed Commercial Paper.
Why Companies Use Asset-Backed Commercial Paper Programs.
GE Capital Example.
Ford Motor Credit Example.
Countrywide Home Loans Example.
ABCP Characteristics.
Relationship of Conduit, Originator, and Seller.
Securitization Structure and Cash Flow.
Credit Enhancement and Liquidity Support.
Fully Supported versus Partially Supported.
Liquidity Facilities.
Cost of Funding.
Financier Conduit Hypothetical Example.
D&K Example.
GE Capital Example.
Labor Ready, Inc., Example.
Accounting Treatment.
Financial Interpretation.
Primary Beneficiary Status.
Risk-Based Capital Regulations.
Tier-One Leverage Ratio.
Conversion Factor for Liquidity Facilities.
Restructuring Possibilities.
Part Three. Securitization …