The Mechanics of Securitization

Moorad Choudhry 지음

Wiley 2013년 01월 09일 출간

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A step-by-step guide to implementing and closing securitization transactionsSecuritization is still in wide use despite the reduction in transactions. The reality is that investors and institutions continue to use this vehicle for raising funds and the demand for their use will continue to rise as the world's capital needs increase.The Mechanics of Securitization specifically analyzes and describes the process by which a bank successfully implements and closes a securitization transaction in the post subprime era. This book begins with an introduction to asset-backed securities and takes you through the historical impact of these transactions including the implications of the recent credit crisis and how the market has changed.Discusses, in great detail, rating agency reviews, liaising with third parties, marketing the deals, and securing investorsReviews due diligence and cash flow analysis techniquesExamines credit and cash considerations as well as how to list and close dealsDescribes the process by which a bank will structure and implement the deal, and how the process is project managed and tested across internal bank departmentsWhile securitization transactions have been taking place for over twenty-five years, there is still a lack of information on exactly how they are processed successfully. This book will put you in a better position to understand how it all happens, and show you how to effectively implement an ABS transaction yourself.

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Foreword xiPreface xvPART ONE Introduction to Securitization 1CHAPTER 1 Introduction to Securitization and Asset-Backed Securities 3The Concept of Securitization 4The Process of Securitization 7Securitizing Mortgages 14ABS Structures: A Primer on Performance Metrics and Test Measures 18Securitization: Features of the 2007&n-2008 Financial Crisis 24Summary and Conclusions 33References 34CHAPTER 2 The Securitization Market Post-2007 35Market Observation 35Impact on Rating Agencies 40Summary and Conclusions 42PART TWO Guide to Closing a Securitization Transaction 45CHAPTER 3 Structuring and Execution of a Transaction 47A Securitization Process 47Summary and Conclusions 69CHAPTER 4 The Rating Agency Process and Legal Review 71Select Rating Agencies 71Undertaking Legal Due Diligence 73Begin Drafting Documents 78Set Up the SPV 82Modeling the Transaction 85Determine Capital Structure/Trigger Levels 90Prepare Marketing Materials 96Pricing, Close, and Settlement 98Summary and Conclusions 99CHAPTER 5 Static Synthetic CDO Cash Flow Waterfall Model 101Summary and Conclusions 107PART THREE Transaction Closing Templates and Checklists 111CHAPTER 6 Transaction Templates and Checklists 113Red Sea Master Series Limited Structure Diagram 113Underlying Asset Pool 113Draft Term Sheet 120Closing Process 126Structuring Notes 127Rating Agency Preparation and Questionnaire 129Loan-Level Data: Rating Agency Checklist 138Agenda for Rating Agency Site Visit 140Legal Counsel Review 140Form of Transfer Certificate 144Investor and Rating Agency Presentation Template 147In-House Credit Rating Mapping Chart: Lower and Upper Va

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저자(글) Moorad Choudhry

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Suleman Baig works with the credit structuring team at Deutsche Bank AG in London. He has extensive experience dealing with first#45;time issuers and has structured a number of securitization transactions (both agency and principal) in a variety of asset classes and jurisdictions. Suleman graduated with a degree in mathematics from the London School of Economics.Moorad Choudhry is Treasurer, Corporate Banking Division at the Royal Bank of Scotland, and visiting professor in the Department of Mathematical Sciences, Brunel University. He is on the editorial board of the Journal of Structured Finance and a member of the editorial advisory board of American Securitization.