Research Catalog

Title

Securitization : the financial instrument of the future / Vinod Kothari.

Author

Kothari, Vinod.

Publication

Singapore ; Hoboken, NJ : John Wiley & Sons (Asia), 2006.

Items in the Library & Off-site

Details

Description

xxxii, 992 p. : ill.; 26 cm. +

Summary

'Securitization' explains the nuances of securitization for the global business market and covers all the issues that market practitioners need to understand. Written by a top international trainer and expert on securitization, this book is an ideal resource for investors, bankers and analysts.

Series Statement

Wiley finance

Subject

• Asset-backed financing
• Securities

Note

• Series statement on jacket.

Bibliography (note)

• Includes bibliographical references and index.

Contents

• Securitization: Concepts and Markets -- Securitization and Structured Finance -- Basic meaning of securitization -- Asset securitization -- Some definitions of securitization -- Securitization of receivables -- Quick guide to jargon -- Securitization and asset-backed finance -- Securitization and structured finance -- Some quick features of securitization -- What receivables are securitizable -- Creation of security -- Special purpose vehicle -- Re-distribution of risks -- Rating -- The big picture of securitization of finance -- Changing structure of financial markets -- Securitization and financial disintermediation -- Securitization as a tool of risk management -- Economic impact of securitization -- Facilitates creation of markets in financial claims -- Disperses holding of financial assets -- Promotes savings -- Reduces costs -- Diversifies risk -- Focuses on use of resources, not their ownership -- Smooths the impact of recession -- The alchemy of securitization: Is the sum of parts more than the whole? -- The alchemy of structured finance -- Risks inherent in securitization -- Securitization Terminology -- Securitization: Methodology, Structures, Motivators and Demotivators -- Modus operandi of securitization briefly explained -- Economic substance of securitization: Where does the alchemy lie? -- Features of securitization of receivables -- Mode of asset-based financing -- Mode of structured financing -- Securitization of claims against third parties -- Limited Recourse -- Asset features -- Originator features -- Issuer/SPV features -- Investor features -- Securitization and factoring -- Securitization and ring fencing -- Asset classes -- Balance sheet and arbitrage transactions -- Asset-backed securities and asset-backed commercial paper -- Broad types of securitization structures -- Cash vs. synthetic structures -- True sale vs. secured loan structures -- Pass-through vs. collateral structure -- Discrete trust vs. master trust -- Direct portfolio transfers -- Pass-through structure -- Pay-through structure -- Economic argument against pay-throughs -- Collateralized mortgage obligation bonds -- Refinements in CMO structure -- Revolving structure -- Impact and suitability of the revolving structure -- Future flows securitization -- Advantages of securitization for the issuer -- Advantages to the investors -- Threats in securitization -- The World of Securitization -- History of securitization -- Deeper in history -- The U.S. mortgage market -- Spreads over to non-mortgage assets -- Securitization through recession -- The life cycle of securitization -- Present state of securitization -- North America -- Europe -- Central and South America -- Origin of securitization in Latin America -- Asia -- The Pacific -- Trends in global securitization -- Financial Substance and Ratings -- Structuring and Credit-enhancing Securitization Transactions -- Basics of securitization structuring -- Structuring variables -- Asset pool -- Selection criteria -- Identification of risks -- Sources of credit support -- Size of credit support -- Financial structure -- pass-through or reinvestment type -- Classes of liabilities -- Time tranching of liabilities -- Pay down of securities -- Liquidity support -- need and sources -- Prepayment protection -- Mitigation of other risks -- Creation of cash reserve and investment -- Structural protection triggers -- Profit extraction methods -- Clean up call -- Parties involved -- Primary parties -- Supportive agencies -- Steps in a securitization transaction -- Initial feasibility study -- Key appointments -- Asset analysis and selection -- Due diligence audit -- Determination of the structure -- Credit enhancements -- Intervening reinvestments -- Fixing the legal structure -- Legal opinions -- Rating -- Offer -- Appointment of servicer/administrator -- Post-completion routines -- Ongoing reporting -- Clean up call -- Credit enhancements -- First, second and subsequent loss -- Internal and external credit enhancements -- Originator credit enhancements -- Excess spread or profit -- Cash collateral -- Credit-enhancing IO strip -- Over-collateralization -- Structural credit enhancements -- Transaction-wide support vs. structural support -- Third-party credit enhancements -- Sources of external credit enhancements -- Suitability of third-party enhancements -- Sizing of credit enhancements -- Confidence level for different ratings -- Stress testing of retail portfolios -- Sizing of enhancement for wholesale portfolios -- Stepping up credit enhancements -- Liquidity enhancements -- Pay-down structure -- Choice of the pay-down method -- Maturity of the securities -- Profit extraction devices -- Cash flow waterfall -- Understanding the Nature and Risks of Asset-backed Securities -- Asset-backed securities and the underlying collateral -- Risks in asset-backed securities -- Will the cash flow come in, or the credit risks? -- Who will get the cash flows in or servicing risk? -- Timing of the cash flow or prepayment risk -- Liquidity of the transaction -- Interest rate and other volatilities -- Other risks -- Modeling of asset risks -- Understanding Prepayment Risk in Asset-backed Securities -- Prepayment as a risk -- Nature of the prepayment option -- Prepayment risk in asset-backed securities -- Additional factors that cause prepayment of asset-backed securities -- Analogy using callable securities -- Impact of prepayment risk on the pool -- Prepayment risk in mortgage pools -- Turnover -- Refinancing -- Prepayment modeling -- Static prepayment models -- Annual and monthly prepayment rates -- Various static prepayment models -- The PSA prepayment model -- The CPR and other static models -- Dynamic or econometric prepayment models -- Establishing a relation between interest rates and prepayment rates -- Some econometric prepayment models -- Projection of interest rates -- Which interest rate matters? -- Interest rate models -- Prepayments for adjustable rate mortgages -- Prepayment model for commercial mortgages -- Prepayment models for non-U.S.
• Pools -- Understanding Default Risk in Asset-backed Securities -- Nature of default risk -- default as an option -- The option to default on mortgages -- LTV ratio -- Movement of the LTV ratio over time -- Prevailing mortgage rates -- Housing prices -- Cost of default -- Non-economic factors -- Default rates as a function of seasoning -- Default risk for different securities -- Cash Flow Modeling for Asset-backed Securities -- Constructing the cash flow model -- Audit checks -- Understanding the asset and its repayment over time -- The factors that affect asset cash flows -- Incorporating prepayment in cash flow -- Incorporating delinquency -- Incorporating foreclosures and recoveries -- Incorporating the impact of seasoning on foreclosure -- The factors that affect the factors that affect cash flow -- Interest rate volatility and prepayment -- Understanding liabilities -- Claims on revenue and claims on principal -- Manner of repayment of liabilities -- Loss allocation -- Understanding transaction structure -- Excess spread as a credit enhancement -- Pooling excess spread into a reserve -- Incorporating a clean-up call -- Modeling a real life case -- Example of an auto loan securitization -- Stress testing the model -- Level of stress to apply -- Securitization: Financial Evaluation for the Originator -- Securitization: The quantifiables and the non-quantifiables -- Securitization vs the unknown -- Securitization vs cost of borrowing -- What is equity in the case of securitization? -- Relevance of debt-to-equity ratio -- The NPV of originator's residual interest -- A sequential pay-down example -- Proportional pay-down example -- Impact of prepayment -- Factors affecting originator's residual interest -- Expected value of originator's residual interest -- Investor Evaluation of Asset-backed Securities -- Spreads inherent in asset-backed securities -- Spreads for asset-backed securities -- Understanding of Z spread -- Comparing Z spread, NPV and yield -- Understanding of duration -- Understanding of convexity -- Impact of prepayment on ABS investments -- Impact of prepayment on duration -- Prepayment and yield -- Prepayment and negative convexity -- Prepayment and Z spread -- Computation of option-adjusted spread -- Understanding default risk -- Rating of Securitization Transactions -- Structured finance ratings vs. other fixed income ratings -- Rating agency concerns -- The rating process -- Rating models -- Rating approaches for retail assets and wholesale assets -- Differences between structured finance and corporate finance ratings -- What credit ratings do not rate -- What rating upgrades of structured finance securities mean -- Servicer evaluation -- Role of ratings in structured finance -- Some areas of critique -- Asset Classes -- Residential Mortgage-backed Securitization -- Mortgage funding systems -- Government support to housing finance -- Why secondary mortgage markets? -- Origin of the secondary mortgage markets -- The secondary mortgage market in the U.S. -- Overview of the U.S. RMBS market -- Agency and non-agency markets -- Prime, Alt-A and other components -- Secondary mortgage market in other countries -- Structuring of RMBS transactions -- Structure of agency-backed securitization -- Structure of CMOs -- U.K. RMBS -- Case studies of RMBS -- Case study of a U.S. RMBS: Bank of America Funding 2005-1 Trust -- Case study: Abbey National's Holmes Financing -- Home equity loans securitization -- Manufactured home loans -- Investing in the MBS market -- Who invests in MBS? -- Risks in investing in MBS -- Mortgage bonds -- Covered bonds and securitization -- distinction -- The covered bonds market -- Structure of a pfandbrief -- Rating of pfandbriefs by rating agencies -- Commercial Mortgage-backed Securitization -- What is CMBS? -- Differences between RMBS and CMBS -- Typical features -- CMBS and REITs -- CMBS market
• Development of the CMBS market -- Types of CMBS -- CMBS and construction financing -- Balance sheet and conduit activity -- Trophy assets vs. portfolio of assets -- By property sectors -- Structure of a CMBS transaction -- Balloon loans -- Typical credit enhancements -- Refinancing risk: how is it factored in the transaction structure? -- Diversification -- Servicers -- Case study: GMAC's 2001-WTC transaction -- Collateral -- The loan -- The certificates -- Liquidity and credit enhancements -- The aftermath -- Case Study: Canary Wharf -- A typical U.K. CMBS -- Introduction to the transaction -- Transaction structure -- The Properties -- Cash flows -- Investing in CMBS: Performance of CMBS -- Prepayment protection in CRE loans -- Delinquency in CMBS -- Performance of CMBS vs. other collateral classes -- Credit Card Securitization -- Nature of credit card debt -- An overview of the market -- Transaction structure -- Revolving asset structure -- Seller's interest -- Discrete and master trust structure -- Development of the master trust structure -- Delinked structure -- Components of a credit card structure -- Portfolio yield -- Charge-offs -- Payment rate -- Servicing fee and base rate -- Early amortization triggers -- Subordination structure and C Class -- Investor experience in credit cards -- Commercial Financial Services -- NextCard -- Auto Loan Securitization -- Forms of car funding -- Auto loans securitization market -- The U.S. market -- Other countries -- Collateral quality -- Typical structures -- Credit enhancements -- Specific issues in auto loan securitization -- Case study: Daimler-Chrysler Auto Trust -- The collateral -- Transaction structure -- Credit enhancements -- Cash flow waterfall -- Equipment Lease Securitization -- Equipment leasing market -- Equipment lease securitization market -- Product structure -- Rating of equipment lease securitizations -- Residual value risk in equipment lease securitizations -- Investing in equipment lease securitizations -- Collateralized Debt Obligations -- What is a CDO? -- Differences between CLOs and CBOs -- Typical structure of a CDO -- Types of CDOs -- Cash and synthetic CDOs -- CDO types based on collateral -- Balance sheet and arbitrage CDOs -- Par value and market value-based structures -- Growth of the CDO market -- European CDO market -- CDO market trends -- CDO market and the health of banking -- Balance sheet CDOs -- Traditional, cash CDOs -- Synthetic CDOs -- Arbitrage CDOs -- Meaning of an arbitrage CDO -- Illustration of arbitraging -- Emergence of arbitrage CDOs -- Difference between arbitrage CDOs and balance sheet CDOs -- Revolving period -- Market value CDOs -- Structure of a market value CDO -- Liabilities of cash flow and market value CDOs -- Ramp up period -- The CDO manager -- Qualities of the CDO manager -- The CDO manager's fees -- The CDO investors -- The CDO trustee -- Authorization of trades -- Credit-enhancer and swap counterparty -- Typical credit enhancements in CDOs -- Managing the assets of CDOs -- Asset quality tests -- Cash flow coverage tests -- Over-collateralization and interest coverage ratios -- What happens when tests are not met? -- Cash flow waterfall -- Resecuritization or structured finance CDOs -- Growth of structured product CDOs -- Distressed debt CDOs -- What is distressed debt? -- Distressed debt CDOs and securitization of non-performing loans -- Motivations -- Credit enhancement levels -- Typical issues in distressed debt CDOs -- Evaluation of distressed debt CDO manager -- Hedge fund CDOs or fund of funds -- Investing in CDOs -- Investor motivations -- Risks in CDO investment -- structure and collateral risks -- Correlation risk -- Interest rate and basis mismatch -- Cross-currency risk -- Liquidity risk -- Ramp up risks -- Reinvestment risks during the revolving period -- Lack of granularity -- Asset risks -- Taxation of CDOs -- Legal issues specific to CDOs -- Bankruptcy remoteness -- True sale opinion -- Transfer of loans and perfection -- Right of set-off -- Lender liability -- CDOs and index trading -- Current problems facing the CDO sector -- Increasing downgrades and defaults -- Accounting worries -- De-leveraging -- Rating agencies approaches to CDOs -- S&P's CDO Evaluator -- Moody's CDO ROM model -- Fitch Vector model -- Asset-backed Commercial Paper -- Genesis of asset-backed commercial paper -- The ABCP market -- Types of ABCP conduits -- What is a conduit? -- Types of conduits -- Traditional securitization and ABCP -- ABCP collateral -- Credit enhancement structure -- Pool-level and program-level enhancement -- De-leverage triggers -- Liquidity support -- Parties to an ABCP program -- Program sponsor -- Administrative agent -- Manager -- Placement agent -- Issuing and paying agent -- Rating of ABCP Conduits -- Rating of the management -- Credit quality of assets -- Receivables eligibility criteria -- Case study: Spinnaker Capital ABCP Program -- Future Flows Securitization -- What future flows are securitizable? -- Some key features of future flows deals -- Why future flow securitization? -- Types of future flow deals -- Domestic and cross-border future flows -- Structural features -- Subordination structures generally do not work -- Over-collateralization and cash reserve -- Early amortization triggers -- Reps and warranties of the seller -- Third-party guarantees a common feature -- Existing asset, future income: A case of toll revenues securitization -- Servicing risks in future flows -- The future flows market -- Legal taxation and accounting issues -- Experience with future flows -- Whole Business and Operating Revenues Securitization -- Market development -- Secured loan structure -- Bankruptcy protection -- Structural and credit enhancements -- Cash flow waterfall -- The legal basis -- Administrative receivership -- Law of receivership -- Fixed and floating charges -- U.K. insolvency law amendment and whole business transactions -- Is a secured loan structure as safe as true sales? -- Businesses where whole business securitization is possible -- Why SPV in a whole business structure -- Case study: South East Water (Finance) Ltd. -- Other Miscellaneous Asset Classes -- Securitization of intellectual property -- Music royalties -- Film financing -- Drug royalties securitization -- Others -- Securitization of non-performing loans -- The massive problem of bad loans -- Resolution Trust Corp. -- Models in other countries -- Kamco's Korean NPL securitization -- European NPL securitizations -- How does it actually happen? -- Government receivables -- Why securitize government assets? -- Deficit financing and securitization -- European government revenues securitizations -- Eurostat ruling -- Italian securitizations -- U.S. tobacco settlement receivables -- Hong Kong toll revenues securitization -- Financial future flows -- Bank requirements for remittance securitization -- Technological change and the remittance business -- Inventory securitization -- Case study: Rosy Blue diamond inventory securitization -- Potential products for inventory securitization -- Insurance securitization -- Motivations for insurance securitization -- Transaction structure -- Case study: Box Hill Life Finance -- Synthetic Securitization and Other Risk Transfer Devices -- Cash vs.
• Synthetic securitization -- Modus operandi -- Structured credit risk transfer -- Leveraged risk transfer -- Advantages of synthetic securitization over cash transfers -- Minimizing fund and reinvestment problems -- Splits the funding and risk transfers -- Alleviates transfer-related problems -- Does not require artificial of separation of origination and servicing functions -- Lower legal costs -- No up-front taxation -- Avoids double taxation of residual profits -- No accounting volatility -- Does not reduce book size -- Retains flexiblility in customer service -- Bullet repaying notes -- Inefficiencies of a synthetic securitization -- Distinction between cash-funded and synthetic securitization -- Balance sheet and arbitrage synthetic securitization -- Elements of balance sheet synthetic securitization -- Originator -- Obligor portfolio -- Type of credit derivative -- Credit events and loss computation -- Special purpose vehicle -- Assets of the SPV -- Liabilities of the SPV -- Non-SPV structures -- Sizing of the credit enhancement -- Swap calculation agent -- Trustees -- Super-senior swap provider -- Other swap counterparties -- Arbitrage synthetic CDOs -- Difference between arbitrage synthetic CDOs and balance sheet synthetic CDOs -- Collateral manager -- OC and IC triggers for synthetic CDOs -- Application of OC and IC triggers to synthetic CDOs -- Pay-down structure -- Sequential pay-down -- Pro rata pay-down -- Fast-pay/slow-pay structure -- Evolution and growth of synthetic securitization -- Synthetic RMBS -- Synthetic CMBS -- Synthetic retail assets -- Hybrid securitizations -- Investing in synthetic CDOs -- Insurance risk securitization and other methods of alternative risk transfer -- Alternative risk transfer -- Insurance securitization -- The cat bonds market -- Illustration of the cat bonds technology -- Equity call option -- Insurance securitization by non-insurance companies -- Technical and Operational Aspects -- Legal Issues in Securitization -- The significance of legal issues in securitization -- Why are securitization legal issues complicated? -- Securitization: The big picture -- Principal legal structures -- What are the main legal issues? -- Securitization and loan obligations -- True sale or a mere tale -- The true sale question -- Background of the true sale question -- The question of substantive transfer or financing arrangement -- Case law on true sale -- U.S. cases -- U.K. cases -- Canadian ruling in BC Tel's case -- Safe harbor law -- Safe harbor law in some states -- International safe harbor law -- The factors that make or mar a true sale -- The role of language used by the parties -- Recourse
• Residual interest -- Servicing by the seller -- Uncertain sale consideration -- Factors in determination of a sale -- Requirements of valid transfer of receivables -- Methods of transferring receivables -- Legal systems and assignment of receivables -- English common law -- Roman-Dutch law or civil law -- Procedure for assignment of actionable claims -- Meaning of debt or actionable claims -- Equitable assignment -- What is equitable assignment? -- Why equitable assignment? -- Problems with equitable assignment -- Stamp duty on securitization: General -- FAQs on stamp duty on securitization -- Avoiding stamp duty by shifting jurisdiction -- Situation of "receivables" -- Position for multi-state properties -- Stamp duties on transfer of securities of the SPV -- Stamp duty on securitization transactions: Indian case -- Reduction of stamp duty by Maharashtra -- Other states follow -- Lessons from India -- Stamp duty relaxations in other countries -- Malaysia -- Australia -- Other countries -- Secured loan structures -- Fixed and floating charges -- Secured loan structures vs. true sale structures -- Legal issues in synthetic structures -- Bankruptcy-remote securitization -- Structuring the SPV -- Why an SPV? -- Legal considerations -- Organizational forms of SPVs -- Corporations -- Trusts -- LLCs -- Special forms -- Bankruptcy remoteness of SPVs -- Conditions for bankruptcy remoteness -- Limitations in constitutional documents -- Ownership structure of the SPV -- Multi-use SPVs -- Consolidation of the SPV -- Legal rights of the investor: Legal nature of the investor's right -- Legal nature of a future flow securitization -- Assignability of future flows -- Structuring future flows -- Legal issues in arbitrage transactions -- Ideal legal framework for securitization -- UNCITRAL initiative for uniform law on assignment of receivables -- Provisions of the laws of Australian States on assignment of debts -- Legal Documentation for securitization -- Basic structure of documentation -- The pooling and servicing agreement -- Identification of asset to be assigned -- Conveyance clause -- Consideration for the transfer -- Conditions precedent -- Representations and warranties of the Seller -- Continuing covenants of the seller -- Clean-up call -- Servicing covenants -- Appointment, termination -- Servicing standard and basic servicing functions -- Consideration for servicing: Servicing fee -- Mode of collections and servicer advances -- Reporting requirements -- Termination of servicer -- The Trust Deed -- Acceptance of trust -- Definition of trust property -- Issuance of certificates -- Distribution of cash flow -- Duties of the Trustee -- Draft of the Investor Certificate -- Operational Issues in Securitization -- Significance of operational risks -- Types of servicers -- Servicer strengths -- Staff strengths -- Organizational structure -- Training -- Staff turnover -- Systems -- Internal controls -- Loan/asset administration -- Servicer qualities -- Consumer finance -- Commercial finance servicers -- Franchise loan servicers -- Commercial mortgage-backed finance servicers -- Residential mortgage servicers -- Servicing transition -- Backup servicer -- Reporting by the servicer -- Role of trustees in operation of the transaction -- Fraud risk -- Tax Issues in Securitization -- Concept of tax neutrality or tax transparency -- When is securitization tax neutral? -- Threats to tax neutrality -- Substance of the transaction: Sale or financing -- Sale treatment/financing treatment -- Situations in which financing treatment is applicable -- Transfer of income, no transfer of asset -- Tax treatment in the originators' hands -- Originator taxation where tax laws are not clear -- Tax treatment of the special purpose vehicle (SPV) -- Three alternative ways of taxing the SPV -- Distinction between debt and equity: The crux of entity-level taxation -- U.S. taxation rules for securitization -- Grantor trusts -- Owner trusts -- REMIC rules -- FASIT rules -- Other entities -- Thin capitalization rules and SPV taxation -- Taxation of SPVs where no specific provisions exist: India -- Non-discretionary trust treatment -- Representative capacity -- Entity-level tax -- Deductibility of expenses by the SPV -- Tax treatment in the hands of the investors -- Withholding taxes -- An Indian ruling on the matter -- Exemption from withholding tax -- Accounting for Securitization -- Securitization accounting in flux -- The Basic Accounting rule: Substance over form -- Accounting for sale, or accounting for securitization? -- Sale of financial assets versus sale of non-financial assets -- Development of accounting principles on securitization -- Sale treatment vs. loan treatment -- Impact of sale vs. loan treatment -- The basic philosophy: From retention of risk to a predominant characteristic -- Unspinning the yarn: The components approach -- Continuing involvement approach: The JWG version -- Preconditions for sale treatment: A wrap-up of various accounting standards -- The legal vs. substantive transfer: Applicability in "form" countries -- Preconditions for sale accounting: A synthetic approach -- Legal/legally enforceable transfer of identifiable receivables -- Legal transfer vs. revocable transfers or asset lending transactions -- Surrender of control -- Arms length transaction at fair values -- Qualifying SPV -- Demonstrably distinct legal entity -- Limits on permitted activities -- What assets may be held by the SPE -- When can QSPEs sell assets? -- What if the SPE is not a QSPE? -- More restrictions on QSPEs -- Sale-treatment: Balance sheet and revenue impact -- Dissecting the asset into components -- Valuing the components -- Example of component valuation -- Allocation of the carrying value to components -- Valuing the assets/liabilities created in securitization -- Computation of gain or loss -- What happens to the servicing asset? -- What happens to the recourse liability? -- Retained interest valuation in a real life case -- Gain on sale accounting: Guesswork? -- IAS 39 revised and securitization -- De-recognition of fractional assets only under specific conditions -- True sale is not a precondition -- Risk and rewards given a new thrust -- Hierarchy of conditions for de-recognition -- The continuing involvement approach -- Dealing with the servicing asset -- Booking of gain on sale under continuing involvement approach -- Examples of the continuing involvement approach -- Financing treatment and linked treatment -- Comparative view of sale and financing treatment -- Disclosures by the originator -- Accounting for the SPV -- Consolidation of SPV accounts with the originator -- SIC 12 on consolidation -- Consolidation of variable interest entities under U.S.
• Gaps -- What is a variable interest entity? -- What is a variable interest? -- Consolidation based on variable interests -- Exception for QSPEs -- Impact of FIN 46 on structured finance -- Attaining sale treatment for accounts and loan treatment for taxes -- Accounting for revolving asset securitizations -- Accounting for future flow securitization -- Investor accounting -- EITF 99-20 -- Other securitization accounting standards -- Servicing rights and QSPE amendments -- FAS 156 on servicing assets/liabilities -- Amendments regarding QSPEs -- Regulation AB: Securities Regulation on Asset-backed Securities -- Overview of SEC regulatory regime -- Scope of Regulation AB -- What is not covered in "ABS" -- What if it is not covered by Regulation AB? -- Contents of the Prospectus -- Servicers' reports -- Regulatory and Economic Capital in Securitization -- The regulator's concerns -- Background of regulatory concerns -- GAAP accounting and RAP accounting -- Legal transfer and regulatory issues -- Risks and responsibilities in securitization -- Overview of Basle-II norms -- Credit risk, market risk and operational risk -- Three approaches to risk assessment -- Basic approach to securitization -- Pre-requisites for regulatory relief -- Significance of risk transfer -- Isolation and surrender of control -- No economic recourse -- Transferee to be SPE -- Clean-up calls -- Hands-off approach -- Generic principles for securitization -- Capital rules under standardized approach -- Capital rule for liquidity facilities -- Capital rule for servicer advances -- Capital rule for revolving securitizations -- Internal ratings-based approach -- Understanding the inputs: K[subscript IRB], L and T computation -- Three situations under the IRB approach -- U.S. regulatory requirements: Historical -- Regulators talk risk -- Risk-based capital rules -- November 2001 rules -- Basle IA -- FSA U.K.'s guidelines for capital relief -- The "clean break" policy -- Role of banks in securitization -- Methods of transfer -- Conditions for primary role -- Capital treatment -- Conditions for liquidity facility -- Consultation paper on revised capital rules -- EU capital directive -- Regulatory requirements in other countries -- Securitization and economic capital -- Meaning of economic capital -- Expected and unexpected losses -- How is economic capital computed? -- Regulatory arbitrage -- Investing in Asset-backed Securities -- Investing in Securitization Instruments -- Distinguishing between securitization instruments and other fixed income investments -- Irregular cash flows -- Derived cash flows -- Average maturity as a mark of duration -- Callability and extension risk -- Investors' concerns in securitization investments -- Price discovery -- Credit risk -- Counterparty risk -- Transaction legal risk -- Tax risk -- Cash flow risk -- Reinvestment risk/basis risk -- Flow of information -- Fraud -- Performance of securitization investments -- Performance of RMBS transactions -- Performance of CMBS transactions -- Performance of credit card ABS -- Performance of other ABS classes -- Default experience in structured finance instruments: What rating transitions do not reveal -- Evaluation of an ABS Investment
• Collateral evaluation -- Credit enhancement -- Cash flow mechanics -- Legal structure -- Links with the seller.

ISBN

0470821957 (hbk.)

LCCN

^^2006299531

OCLC

• 67374632
• SCSB-10177900

Owning Institutions

Harvard Library