Andrew Davidson, Anthony Sanders, Lan-Ling Wolff, Anne Ching

Securitization (eBook, PDF)

Structuring and Investment Analysis

• Format: PDF

Produktbeschreibung

A complete guide to securitization. * Analyzes leases, tax liens, and other new securitization markets developing globally. * Contains exercises and examples taken from real transactions. * Companion CD-ROM includes calculation tools and examples, data for models, ongoing updates on models, and Q&A with authors to address complex securitization questions.

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Produktdetails

• Verlag: Jossey-Bass
• Seitenzahl: 576
• Erscheinungstermin: 12. April 2004
• Englisch
• ISBN-13: 9780471690016
• Artikelnr.: 37343601

Autorenporträt

ANDREW DAVIDSON, one of the most well-respected names in mortgage-backed securities and securitization, is President and founder of Andrew Davidson & Co., Inc., a New York--based consulting firm specializing in the application of analytical tools to investment management. The company provides consulting advice to many of the major firms in the securitization business. It is also a leading provider of prepayment and valuation models for MBS and ABS. Prior to forming the company in 1992, Davidson was a managing director at Merrill Lynch responsible for MBS, CMO, ABS, and Futures and Options Research. ANTHONY SANDERS is the Galbreath Distinguished Scholar and Professor of Finance at The Ohio State University. During 1997 and 1998, he was director and head of asset-backed and mortgage-backed securities research at Deutsche Bank. He has published numerous articles in journals such as the Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Business, and Journal of Fixed Income. LAN-LING WOLFF heads Fredell & Co. Structured Finance Ltd. in London, which specializes in providing structuring and arranging services for asset-backed securities all over Europe. Wolff's background in the U.S. mortgage-backed securities market and understanding of the European capital markets places her on the cutting edge of securitization globally. She specializes in residential mortgages and mortgage banking. ANNE CHING, a senior consultant at Andrew Davidson & Co., Inc., has worked in the credit risk and investment analysis of sub-prime residential and manufactured housing sectors. She has also worked on the structuring of non-U.S. mortgage-backed securities. The authors drew on the expertise of Andrew Davidson & Co., Inc., in preparing Securitization. The broad range of expertise of the firm's consultants, and the technical and analytical skills of the firm's analysts, provide a rich background that gives Securitization strong theoretical underpinnings, as well as a grounding in practical application of the theory and methods described in the book. Two associates from outside the firm, with additional specialized expertise, were enlisted as well.

Inhaltsangabe

Part One Introduction to Securitization
Chapter 1 The Role of Securitization 3
Summary of Major Asset Classes 4
Key Concepts 7
Key Players in Securitization 9
Key Investment Characteristics of Securities (Bonds) 11
Exercises 12
Chapter 2 Fundamentals of Structuring 15
Issuer's Motivations: Legal, Accounting, and Tax Considerations 15
Issues in Balance-Sheet Analysis 18
The Structuring Process 20
Issuing Vehicles 20
Exercises 27
Chapter 3 Fundamentals of Investment Analysis 29
Types of Investors 32
Analyzing Securities 35
Exercises 40
Chapter 4 Historical Performance of Asset-Backed Securities and
Mortgage-Backed Securities 41
Comparing Returns on Alternative Asset-Backed Securities and
Mortgage-Backed Securities Investments 41
A Case Study of Market Turbulence 43
Performance of Mortgage-Backed Securities and Asset-Backed Securities 45
Exercises 47
Part Two Agency Mortgage-Backed Securities
Chapter 5 Mortgage Loans: The Basis of Mortgage-Backed Securities 51
What Is a Mortgage? 51
How Large Is the Mortgage Market? 53
Types of Mortgages 54
Adjustable-Rate Mortgages 62
Graduated-Payment Mortgages 65
Shared-Appreciation Mortgages 66
Reverse-Annuity Mortgage 67
Mortgage Default and Legal Issues Concerning Mortgages 68
The Federal National Mortgage Association/Federal Home Loan Mortgage
Corporation Uniform Loan Contract 73
Exercises 74
Chapter 6 Agency Pass-Throughs 75
The Role of Government Agencies and Government-Sponsored Enterprises 75
Brief History of the Agency Market 76
Key Terms for Agency Pass-Throughs 80
Mechanics of the Pool Programs 82
Agency Programs 82
Trading of Agency Mortgage-Backed Securities 84
Exercises 87
Chapter 7 Fundamentals of the Interest-Rate Market 89
Bond Prices and Interest Rates 89
Forward Rates and Risk Neutrality 98
Completing the Curve 104
Exercises 107
Chapter 8 Static Analysis for Mortgage Pass-Through Securities 109
Methodology 109
Collateral 110
Structure 114
Results 120
Exercises 127
Chapter 9 Mortgage-Backed Securities Prepayments 131
Sources of Prepayments 132
Prepayment Data 133
Analyzing Prepayments 136
Prepayment Models 144
Exercises 152
Chapter 10 Total-Return Scenario Analysis 155
Methodology 156
Collateral 164
Structure 166
Results 169
Exercises 178
Part Three Advanced Mortgage-Backed Securities and Analysis
Chapter 11 Structuring CMOs, IOs, and POs 185
Collateralized-Mortgage Obligations as Rules 187
Principal-Pay Types 196
Interest-Pay Types 196
Sequential Bonds 196
Pro Rata Bonds 198
Scheduled Bonds 200
Sequential PACs and Other Combinations 205
Interest Only and Principal Only 206
Senior/Subordinated Structures 208
Exercises 209
Chapter 12 Interest-Rate Volatility, Options, and Models 215
The Concept and Measures of Volatility 215
Valuation in Stochastic Arbitrage-Free World 224
Valuation of Options and Embedded-Option Bonds 228
Term-Structure Models 241
Exercises 247
Chapter 13 Option-Adjusted Spread 249
Methodology 249
Collateral 261
Structure 263
Results 264
Exercises 268
Chapter 14 Comparing Investment Alternatives 275
Mortgage-Backed Securities 275
Interest Only and Principal Only Securities 277
Collateralized-Mortgage Obligations 279
Exercises 283
Part Four Non-Agency Mortgage-Backed Securities and Analyzing Credit Risk
Chapter 15 Non-Agency Mortgage-Backed Securities 287
Historical Overview of the Non-Agency/Private-Label Market 287
Private-Label Mortgage-Backed Securities Collateral Types 288
Credit Enhancement 289
Exercises 301
Chapter 16 Collateral Performance 303
Collateral Cash Flows 303
Modeling Collateral Cash Flows 303
Exercises 323
Chapter 17 Home Equity and Subprime Loans 325
Home Equity Loan Asset-Backed Securities Issuance 325
Environment 330
Prepayment 330
Home Equity Loan Asset-Backed Securities 331
Exercises 335
Chapter 18 Analysis of Credit-Sensitive Mortgage-Backed Securities 337
Methodology 338
Collateral 339
Structure 342
Results 346
Exercises 352
Part Five Asset-Backed Securities
Chapter 19 Auto-Loan Asset-Backed Securities 355
Auto Asset-Backed Securities Issuance 355
Collateral and Loan Characteristics 355
Environment 357
Valuation 364
Exercises 365
Chapter 20 Credit-Card Asset-Backed Securities 367
Credit-Card Asset-Backed Securities Issuance 367
Credit-Card Asset-Backed Securities Structures 369
Rating Agency Criteria 373
Exercises 377
Chapter 21 Manufactured-Housing Asset-Backed Securities 379
Manufactured-Housing Asset-Backed Securities Issuance 379
Collateral and Loan Features 382
Manufactured-Housing Asset-Backed Securities Structures 383
Prepayments 384
Rating Agency Criteria 386
Recent Performance in Context 388
Exercises 388
Part Six Commercial Mortgages
Chapter 22 Commercial Loans 391
Types of Income-Producing Properties 391
General Risk Evaluation 392
Leases 397
Valuing Income-Producing Properties 398
Impact of Financial Leverage 400
Exercises 408
Chapter 23 Commercial Mortgage-Backed Securities 409
Commercial Mortgage-Backed Securities: An Overview 409
The Underlying Loan Portfolio 417
Role of the Servicer 424
Creating a Commercial Mortgage-Backed Securities Model 425
The Future of Commercial Mortgage-Backed Securities 425
Exercises 426
Chapter 24 The Role of Real Estate Investment Trusts (REITs) 429
Background 429
Qualifying as a Real Estate Investment Trust 430
Tax Ramifications for Real Estate Investment Trusts 430
Types of Real Estate Investment Trusts 430
Real Estate Investment Trust Structures 431
Property Types 432
A Bit of History 434
Real Estate Investment Trust Initial Public Offerings 436
International Real Estate Return Performance 437
Real Estate Investment Trust Valuation 438
Other Factors Influencing Real Estate Investment Trust Valuation and
Performance 442
Exercises 443
Part Seven The European Securitization Market
Chapter 25 Development of a Market 447
Size of Market 449
Type of Assets 453
Securitization Outside Europe and the United States 460
Exercises 464
Chapter 26 European Residential Mortgages 465
Property Value Loss and Default Risk 469
Legal and Tax Issues for Residential Mortgages 471
Mortgage Collateral Characteristics 476
Principal Payment Rules 478
Interest Payment Rules 482
Prepayments and Other Risks 484
Exercises 487
Chapter 27 European Securitization Legislation 489
Type of Law 489
Securing the Asset 491
Exercises 502
Chapter 28 Structuring Asset-Backed Securities in Europe 503
The European Approach 503
Assessing the Collateral 504
Issues in Bond Structuring 514
Legal Process and Counterparties 520
Timing and Costs 524
Exercises 525
Bibliography 527
Additional Resources 531
About the CD-ROM 533
Index 537