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PART Three - Review of ABS Collateral
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PART Three - Review of ABS Collateral
by VINOD KOTHARI, FRANK J. FABOZZI
Introduction to Securitization
The Frank J. Fabozzi Series
Title Page
Copyright Page
Dedication
Preface
About the Authors
PART One
CHAPTER 1 - Introduction
WHAT IS A SECURITIZATION?
ILLUSTRATION OF A SECURITIZATION
SECURITIES ISSUED IN A SECURITIZATION
KEY POINTS OF THE CHAPTER
CHAPTER 2 - Issuer Motivation for Securitizing Assets and the Goals of Structuring
REASONS SECURITIZATION IS USED FOR FUNDING
STRUCTURING GOALS
KEY POINTS OF THE CHAPTER
PART Two - Structuring ABS Transactions
CHAPTER 3 - Structuring Agency MBS Deals
PREPAYMENTS AND PREPAYMENT CONVENTIONS
SEQUENTIAL PAY STRUCTURES
PLANNED AMORTIZATION CLASS BONDS AND SUPPORT BONDS
TARGETED AMORTIZATION CLASS BONDS
ACCRUAL BONDS AND ACCRETION-DIRECTED BONDS
FLOATING RATE BOND CLASSES
NOTIONAL INTEREST-ONLY BOND CLASSES
KEY POINTS OF THE CHAPTER
CHAPTER 4 - Structuring Nonagency Deals
IDENTIFICATION OF THE ASSET POOL
SELECTION OF THE ASSETS
IDENTIFICATION OF RISKS
DETERMINATION OF THE SOURCES AND SIZE OF CREDIT SUPPORT
DETERMINATION OF THE BOND CLASSES
TIME TRANCHING OF BOND CLASSES
SELECTING THE PAY-DOWN STRUCTURE FOR THE BOND CLASSES
DETERMINATION OF THE AMOUNT AND SOURCES FOR LIQUIDITY SUPPORT
DETERMINING IF ANY PREPAYMENT PROTECTION IS NEEDED
INCLUSION OF STRUCTURAL PROTECTION TRIGGERS
KEY POINTS OF THE CHAPTER
CHAPTER 5 - Credit Enhancements
CREDIT ENHANCEMENT MECHANISMS
SIZING OF CREDIT ENHANCEMENTS
KEY POINTS OF THE CHAPTER
CHAPTER 6 - Use of Interest Rate Derivatives in Securitization Transactions
INTEREST RATE SWAPS
CAPS AND FLOORS
COUNTERPARTY RISK
KEY POINTS OF THE CHAPTER
CHAPTER 7 - Operational Issues in Securitization
THE SERVICING FUNCTION
TYPES OF SERVICERS
SERVICER STRENGTHS
SERVICER QUALITIES
SERVICING TRANSITION
BACKUP SERVICER
REPORTING BY THE SERVICER
ROLE OF TRUSTEES IN OPERATION OF THE TRANSACTION
FRAUD RISK
KEY POINTS OF THE CHAPTER
PART Three - Review of ABS Collateral
CHAPTER 8 - Collateral Classes in ABS: Retail Loans
COLLATERAL CLASSES: BASIS OF CLASSIFICATION
COLLATERAL CLASSES: MAIN TYPES
CREDIT CARD RECEIVABLES
AUTO LOAN SECURITIZATION
KEY POINTS OF THE CHAPTER
CHAPTER 9 - Asset-Backed Commercial Paper Conduits and Other Structured Vehicles
TYPES OF ABCP CONDUITS
TRADITIONAL SECURITIZATION AND ABCP
ABCP COLLATERAL
CREDIT ENHANCEMENT STRUCTURE
LIQUIDITY SUPPORT
PARTIES TO AN ABCP PROGRAM
RATING OF ABCP CONDUITS
KEY POINTS OF THE CHAPTER
CHAPTER 10 - Securitization of Future Cash Flows: Future Revenues, Operating ...
FUTURE REVENUES SECURITIZATION
WHOLE BUSINESS OR OPERATING REVENUES SECURITIZATION
SECURITIZATION OF INSURANCE PROFITS
KEY POINTS OF THE CHAPTER
PART Four - Collateralized Debt Obligations
CHAPTER 11 - Introduction to Collateralized Debt Obligations
WHY STUDY CDOs?
TERMINOLOGY: CDO, CBO, CLO
TYPES OF CDOs
TYPICAL STRUCTURE OF A CDO
BASIC ECONOMIC DRIVERS OF CDOs
CDO MARKET AND THE HEALTH OF BANKING
GROWTH OF THE CDO MARKET
KEY POINTS OF THE CHAPTER
CHAPTER 12 - Types of Collateralized Debt Obligations
BALANCE SHEET CDOs
ARBITRAGE CDOs
RESECURITIZATION OR STRUCTURED FINANCE CDOs
INDEX TRADES AND INDEX TRACKING CDOs
KEY POINTS OF THE CHAPTER
CHAPTER 13 - Structuring and Analysis of CDOs
MEASURES OF POOL QUALITY
ASSET AND INCOME COVERAGE TESTS
RAMP-UP PERIOD
THE CDO MANAGER
INVESTING IN CDOs
COLLATERAL AND STRUCTURAL RISKS IN CDO INVESTING
KEY POINTS OF THE CHAPTER
PART Five - Implications for Financial Markets
CHAPTER 14 - Benefits of Securitization to Financial Markets and Economies
SECURITIZATION AND FUNDING COSTS
SECURITIZATION AND FINANCIAL INTERMEDIATION
BENEFITS OF SECURITIZATION IN AN ECONOMY
KEY POINTS OF THE CHAPTER
CHAPTER 15 - Concerns with Securitization’s Impact on Financial Markets and Economies
REDUCES THE EFFECTIVES OF MONETARY POLICY
ADVERSE IMPACT ON BANKS
LAX UNDERWRITING STANDARDS AND POORLY DESIGNED SECURITIES
INCREASES OPAQUENESS OF BANK RISK
KEY POINTS OF THE CHAPTER
APPENDIX A - Basics of Credit Derivatives
APPENDIX B - Valuing Mortgage-Backed and Asset-Backed Securities
References
Index
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CHAPTER 8 - Collateral Classes in ABS: Retail Loans
PART Three
Review of ABS Collateral
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