Introduction to Securitization

Introduction to Securitization outlines the basics of
securitization, addressing applications for this technology to
mortgages, collateralized debt obligations, future flows, credit
cards, and auto loans. The authors present a comprehensive overview
of the topic based on the experience they have gathered through
years of interaction with practitioners and graduate students
around the world. The authors offer coverage of such key topics as:
structuring agency MBS deals and nonagency deals, credit
enhancements and sizing, using interest rate derivatives in
securitization transactions, asset classes securitized, operational
risk factors, implications for financial markets, and applying
securitization technology to CDOs. Finally, in the appendices, the
authors provide an essential introduction to credit derivatives, an
explanation of the methodology for the valuation of MBS/ABS, and
the estimation of interest rate risk.

Securitization is a financial technique that pools assets
together and, in effect, turns them into a tradable security. The
end result of a securitization transaction is that a corporation
can obtain proceeds by selling assets and not borrowing funds. In
real life, many securitization structures are quite complex and
enigmatic for practitioners, investors, and finance students.
Typically, books detailing this topic are either too lengthy, too
technical, or too superficial in their presentation. Introduction
to Securitization is the first to offer essential information on
this topic at a fundamental, yet comprehensive level-providing
readers with a working understanding of what has become one of
today's most important areas of finance.

Authors Frank Fabozzi and Vinod Kothari, internationally
recognized experts in the field, clearly define securitization,
contrast it with corporate finance, and explain its advantages.
They carefully illustrate the structuring of asset-backed
securities (ABS) transactions, including agency mortgage-backed
securities (MBS) deals and nonagency deals, and show the use of
credit enhancements and interest rate derivatives in such
transactions. They review the collateral classes in ABS, such as
retail loans, credit cards, and future flows, and discuss ongoing
funding vehicles such as asset-backed commercial paper conduits and
other structured vehicles. And they explain the different types of
collateralized debt obligations (CDOs) and structured credit,
detailing their structuring and analysis. To complement the
discussion, an introduction to credit derivatives is also
provided.

The authors conclude with a close look at securitization's
impact on the financial markets and the economy, with a review of
the now well-documented problems of the securitization of one asset
class: subprime mortgages. While questions about the contribution
of securitization have been tainted by the subprime mortgage
crisis, it remains an important process for corporations,
municipalities, and government entities seeking funding. The
significance of this financial innovation is that it has been an
important form of raising capital for corporations and government
entities throughout the world, as well as a vehicle for risk
management. Introduction to Securitization offers practitioners and
students a simple and comprehensive entry into the interesting
world of securitization and structured credit.

Autorentext

Frank J. Fabozzi, PhD, CFA, CPA, is Professor in the Practice of
Finance at Yale University's School of Management, Editor of the
Journal of Portfolio Management, and Associate Editor of the
Journal of Structured Finance and the Journal of Fixed Income.

Vinod Kothari, chartered accountant, is an author, trainer, and
consultant on securitization, asset-based finance, credit
derivatives, and derivatives accounting. Kothari is a visiting
faculty member at the Indian Institute of Management, where he
teaches structured finance.

Zusammenfassung
Introduction to Securitization outlines the basics of securitization, addressing applications for this technology to mortgages, collateralized debt obligations, future flows, credit cards, and auto loans. The authors present a comprehensive overview of the topic based on the experience they have gathered through years of interaction with practitioners and graduate students around the world. The authors offer coverage of such key topics as: structuring agency MBS deals and nonagency deals, credit enhancements and sizing, using interest rate derivatives in securitization transactions, asset classes securitized, operational risk factors, implications for financial markets, and applying securitization technology to CDOs. Finally, in the appendices, the authors provide an essential introduction to credit derivatives, an explanation of the methodology for the valuation of MBS/ABS, and the estimation of interest rate risk. Securitization is a financial technique that pools assets together and, in effect, turns them into a tradable security. The end result of a securitization transaction is that a corporation can obtain proceeds by selling assets and not borrowing funds. In real life, many securitization structures are quite complex and enigmatic for practitioners, investors, and finance students. Typically, books detailing this topic are either too lengthy, too technical, or too superficial in their presentation. Introduction to Securitization is the first to offer essential information on this topic at a fundamental, yet comprehensive level-providing readers with a working understanding of what has become one of today's most important areas of finance.

Authors Frank Fabozzi and Vinod Kothari, internationally recognized experts in the field, clearly define securitization, contrast it with corporate finance, and explain its advantages. They carefully illustrate the structuring of asset-backed securities (ABS) transactions, including agency mortgage-backed securities (MBS) deals and nonagency deals, and show the use of credit enhancements and interest rate derivatives in such transactions. They review the collateral classes in ABS, such as retail loans, credit cards, and future flows, and discuss ongoing funding vehicles such as asset-backed commercial paper conduits and other structured vehicles. And they explain the different types of collateralized debt obligations (CDOs) and structured credit, detailing their structuring and analysis. To complement the discussion, an introduction to credit derivatives is also provided.

The authors conclude with a close look at securitization's impact on the financial markets and the economy, with a review of the now well-documented problems of the securitization of one asset class: subprime mortgages. While questions about the contribution of securitization have been tainted by the subprime mortgage crisis, it remains an important process for corporations, municipalities, and government entities seeking funding. The significance of this financial innovation is that it has been an important form of raising capital for corporations and government entities throughout the world, as well as a vehicle for risk management. Introduction to Securitization offers practitioners and students a simple and comprehensive entry into the interesting world of securitization and structured credit.

Inhalt

Preface.

About the Authors.

Part One. Background.

Chapter 1. Introduction.

Chapter 2. Issuer Motivation for Securitizing Assets and the
Goals of Structuring.

Part Two. Structuring ABS Transactions.

Chapter 3. Structuring Agency MBS Deals.

Chapter 4. Structuring Nonagency Deals.

Chapter 5. Credit Enhancements.

Chapter 6. Use of Interest rate Derivatives in Securitization
Transactions.

Chapter 7. Op…