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Author Stone, Charles Austin
Title The Securitization Markets Handbook : Structures and Dynamics of Mortgage- and Asset-Backed Securities
Imprint Somerset : John Wiley & Sons, Incorporated, 2012
©2012
book jacket
Edition 2nd ed
Descript 1 online resource (464 pages)
text txt rdacontent
computer c rdamedia
online resource cr rdacarrier
Series Wiley Finance Ser. ; v.136
Wiley Finance Ser
Note Intro -- The Securitization Markets Handbook: Structures and Dynamics of Mortgage- and Asset-Backed Securities -- Copyright -- Contents -- Acknowledgments -- Introduction -- A Market that is too Big to Fail? -- The Need for this Book -- How the Book is Organized -- Part One: Key Structures and Cash Flow Dynamics -- Chapter 1: Mortgage-Backed Securities: Origins of the Market -- From the Primary to the Secondary Mortgage Market -- The Agency Market -- GSE's MBS -- The Private Label Market -- The Case of Countrywide -- The Assets and Parties -- Bankruptcy Remote -- Credit Enhancement -- Other Structures -- Certificate Ratings -- Sources of the Financial Crisis -- GSEs After the Financial Crisis -- ABCP and SIVs -- From Balance Sheet to Off-Balance Sheet -- CMOs, IOs, and POs -- Pass-Through Securities -- The Private-Label Market -- Agency and Nonagency Market Segments Compared -- Credit Risk Considerations -- Risk-Based Capital Regulations -- 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 -- Notes -- Chapter 2: Price Dynamics of Mortgages and Cash Flows -- Bond and Mortgage Basics -- Bond Valuation -- Price/Yield Relationship -- Fixed-Rate Mortgages -- Prepayment Option -- Macaulay and Modified Duration -- Convexity -- Risk Exposures -- Chapter 3: Valuation of Mortgage-Backed Securities -- Modeling Cash Flows of Pass-Through, Po, and Io Securities -- Information Set -- Model -- Cash Flow over Time -- Effective Duration -- Effective Convexity -- 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 -- PO Strip -- IO Strip
Note -- Chapter 4: Other Structures in Asset-Backed Securities: CMOs, PACs, Floaters, Inverse Floaters, CDOs and CDOs-squared, and Synthetic CDOs -- Collateralized Mortgage Obligations -- Planned Amortization Class -- Floaters and Inverse Floaters -- CDO-Squared -- Creating CDOs -- Creating High-Grade CDOs -- Creating Mezzanine CDOs -- Creating CDO-Squared -- Synthetic CDOs -- Part Two: Corporate Debt and the Securitization Markets -- Chapter 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 -- Notes -- Chapter 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 -- Vie Issues and Risk-Based Capital -- Financier Conduit Hypothetical Example -- D&K Example -- GE Capital Example -- Labor Ready Inc. Example -- Fin 46 and ABCP -- Financial Interpretation 46 -- Primary Beneficiary Status -- Risk-Based Capital Regulations -- Tier-One Leverage Ratio -- Conversion Factor for Liquidity Facilities -- Notes -- Part Three: Securitization of Revolving Credit
Chapter 7: Dealer Floor Plan Loans -- Trends in Wholesale Automobile Credit Securitization -- Basics of the Securitization Scheme -- Credit Enhancement -- Uncertain Maturity Date and Fluctuating Account Balance Considerations -- Securing Liquidity -- Shifts in Seller's Interest and Investor Interest -- Seller's Claim on Receivable Pool -- Factors in Credit Line Variability -- Pool Size Matters -- Note -- Chapter 8: Credit Card Receivables -- Elements of a Master Trust Pooling and Servicing Agreement -- Basics of the Securitization Scheme -- Cash Flow Allocation -- Principal Collections and Reallocations -- Finance-Charge and Remaining Collections -- Case Study: MBNA Master Credit Card Trust II -- The Seller's Interest and Investor Interest -- Retained Interest -- Accounting Treatment -- Sources of and Changes in Securitization Income -- Credit Risk and Credit Enhancement -- Case Study: MBNA Credit Card Master Note Trust -- Tranches for A, B, and C Classes -- A Picture of the Chase Issuance Trust -- ERISA Restrictions -- Notes -- Part Four: Searching for Value in the Mortgage- and Asset-Backed Markets -- Chapter 9: Investment, Speculation, and Hedging -- Target Investment -- Subordinate Segment of Private-Label MBSs -- Interest-Rate Risk -- Reinvestment of Cash Flow -- Interest-Only Strips as a Hedging Tool -- Combining Bonds and lOs -- Hedging FNMA 9.5 Percent Pass-Through Securities with IO Securities -- Principal-Only Strips as a Hedging Tool -- Inverse Floaters as a Hedging Tool -- Hedging CMOS with Options on Treasury Bonds -- Notes -- Appendix 9.1: Delta Hedging Mortgage-Servicing Portfolios* -- Valuation of MSR -- Valuation of a Bond -- The Delta Hedge Ratio -- Simulations -- Value of MSR over Different Yields -- Chapter 10: Credit Risk and Credit Enhancement -- Direct Financing of Risk Versus Buying a Financial Guaranty
A Financial Guaranty is not an Insurance Contract -- Selecting Efficient Forms and Levels of Credit Enhancement -- Relative Value in Credit-Enhancement Structures -- Potential Inadequacy of Credit Enhancement* -- Other Risks -- Chapter 11: Dissecting the Risks of a Pool of Securitized Options ARMs -- Greenpoint MTA Trust 2005-AR1 -- Risk to the Borrowers -- Prepayment Risk -- Risk to the Subordinated Note Holders -- Risk to the Servicer -- Risk to Senior Note Investors -- Credit Risk -- Credit Enhancement -- Conclusion -- References -- About the Authors -- Index
A comprehensive guide to the continuously evolving world of securitization The Second Edition of The Securitization Markets Handbook is a valuable resource for both experienced money managers trying to put a securitization strategy into place as well as newcomers looking to acquire a broad and strong foundation in this discipline. This edition takes a close look at the pre- and post-crash mortgage market and the mortgage-backed securities based on those mortgages, as well as other asset-backed securities including commercial paper or credit cards. The crash of the subprime market and the failure of the asset-backed markets offer an opportunity to learn about banking finance, specifically off-balance sheet finance, and the many costly mistakes that resulted in one of the most severe downturns in financial markets. With this book, you'll discover why certain mortgage and asset-backed securities imploded and others didn't. This new edition examines why the market failed and how the next crisis can be averted or made less severe. It also explains why securitization remains a primary source of capital for the mortgage market, credit card market, home equity market, auto loan market, and segments of the commercial paper market. Offers an informed overview of how the securitization market works, how to make money in it, and what's next for asset- and mortgage-backed securities after the crisis Contains new chapters on CDOs and SIVs, along with a history of the growth and crash of the subprime market, asset-backed securities, and home equity lines of credit Written by securitization experts Charles Stone and Anne Zissu Updated to reflect the current market environment, the Second Edition of The Securitization Markets Handbook offers clear, comprehensive guidance to these complex markets
Description based on publisher supplied metadata and other sources
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2020. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries
Link Print version: Stone, Charles Austin The Securitization Markets Handbook : Structures and Dynamics of Mortgage- and Asset-Backed Securities Somerset : John Wiley & Sons, Incorporated,c2012 9781118006740
Subject Mortgage-backed securities.;Asset-backed financing
Electronic books
Alt Author Zissu, Anne
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