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Securitization Markets Handbook Issuing and Investing in Morgage and Asset-Backed Securities

ISBN-10: 1576601382
ISBN-13: 9781576601389
Edition: 2005
List price: $75.00
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Description: Securitization is a corporate funding technique that is widely adopted by financial and industrial companies throughout the world, used to finance both working capital and capital budgets. Importantly, it is also used as a risk management tool and a  More...

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Book details

List price: $75.00
Copyright year: 2005
Publisher: John Wiley & Sons, Incorporated
Publication date: 1/1/2005
Binding: Hardcover
Pages: 352
Size: 6.50" wide x 9.50" long x 1.00" tall
Weight: 1.584
Language: English

Securitization is a corporate funding technique that is widely adopted by financial and industrial companies throughout the world, used to finance both working capital and capital budgets. Importantly, it is also used as a risk management tool and a source of liquidity. Securitization has been adapted to fund corporate acquisitions, capitalize future streams of revenue, and to liquidate pools of nonperforming loans. In this book securitization experts Charles Stone and Anne Zissu provide a practical explanation of how securitization works and explain how future cash flows from various asset classes--from credit card receipts and mortgage payments to movie royalties--can be packaged into bond-like products and sold to investors. The discussion includes 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.

Dr. Charles Stone has been a senior pastor, a teaching pastor, an associate pastor, and a church planter in his thirty-four years of ministry in the U.S. and Canada. He currently serves as Lead Pastor at West Park Church in London, Ontario. The most recent of his four earned degrees is an executive masters in the neuroscience of leadership.nbsp;Learn morenbsp;at his website, www.charlesstone.com.

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
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
Valuation of Mortgage- and Asset-Backed Securities
Modeling Cash Flows of Pass-Through, PO, and IO Securities
Information Set
Model
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
Other Structures in Asset-Backed Securities: CMOs, PACs
Floaters, and Inverse Floaters
Collateralized Mortgage Obligations
Planned Amortization Class
Floaters and Inverse Floaters
Corporate Debt and the Securitization Markets
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
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
Securitization of Revolving Credit
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