Vinod Kothari

Securitization

The Financial Instrument of the Future

• Gebundenes Buch

Produktbeschreibung

Get a thorough explanation of the nuances of securitization in the global business market with this comprehensive resource. Synthetic securitization and structured products are revolutionizing the financial industry and changing the way banks, institutional investors, and securities traders do business both domestically and globally. Written by a top international trainer and expert on securitization, this book is an ideal way for all market practitioners, whether investors, bankers, or analysts, to ensure they understand the ins and outs of this practice.

Produktdetails

• Wiley Finance Editions
• Verlag: Wiley & Sons
• Artikelnr. des Verlages: 14582195000
• 1. Auflage
• Seitenzahl: 1200
• Erscheinungstermin: 1. Oktober 2006
• Englisch
• Abmessung: 260mm x 183mm x 59mm
• Gewicht: 2115g
• ISBN-13: 9780470821954
• ISBN-10: 0470821957
• Artikelnr.: 20870083

Autorenporträt

Vinod Kothari is internationally recognized as a trainer, consultant and expert on Securitization, credit derivatives and asset-based funding. A chartered accountant and company secretary, Vinod is also the author of Credit Derivatives and Synthetic Securitization, Securitization, Asset Reconstruction and Enforcement of Security Interests and Lease Financing and Hire Purchase. His website, www.inodkothari.com is one of the most frequently visited sites on securitization. Every year, through distance training, international workshops, industry forums and conferences in over two dozen countries,Vinod trains executives at all levels on complex financial topics such as securitization, synthetic CDOs and credit derivatives. Based in Kolkota, India, Vinod can be contacted at vinod(at)vinodkothari.com.

Inhaltsangabe

Preface to the Second Edition. Preface to the First Edition. Part 1:
Securitization: Concepts & Markets. 1. Securitization and structured
finance. Basic meaning of securitization. Securitization of receivables.
Securitization and asset-backed finance. Securitization and structured
finance. The big picture of securitization of finance. Securitization as a
tool of risk management. Economic impact of securitization. The alchemy of
securitization: Is the sum of parts more than the whole? Risks inherent in
securitization. Securitization terminology. 2. Securitization: Methodology,
structures, Motivators and Demotivators. Modus operandi of securitization
briefly explained. Economic substance of securitization: where does the
alchemy lie? Features of securitization of receivables. Securitization and
factoring. Securitization and ring fencing. Asset classes. Broad types of
securitization structures. Direct portfolio transfers. Pass-through
structure. Pay-through structure. Collateralized mortgage obligation bonds.
Future flows of securitization. Advantages of securitization for the
issuer. Advantages to the investors. Threats in securitization. 3. The
world of securitization. Part II: Financial Substance and Ratings. History
of securitization. The life cycle of securitization. Present state of
securitization (US, Europe, Central America, Asia, The Pacific). Trends in
global securitization. 4. Structuring and credit-enhancing securitization
transactions. Basics of securitization structuring. Structuring variables.
Parties involved Steps in a securitization transaction. Credit
enhancements. Originator credit enhancements. Structural credit
enhancements. Third-party credit enhancements. Sizing of credit
enhancements. Liquidity enhancements. Pay-down structure. Maturity of the
securities. Profit extraction devices. Cashflow waterfall. 5. Understanding
the nature and risks of asset-backed securities. Asset-backed securities
and the underlying collateral. Risks in asset-backed securities. Modelling
of asset risks. 6. Understanding prepayment risk in asset backed
securities. Prepayment as a risk. Prepayment risk in asset-backed
securities. Prepayment risk in mortgage pools. Prepayment modeling. Static
prepayment models. The PSA prepayment model. The CPR and the other static
models. Dynamic or econometric prepayment models. Projection of interest
rates. Prepayments for adjustable rate mortgages. Prepayment model for
commercial mortgages. Prepayment models for non-U.S. pools. 7.
Understanding default risk in asset backed securities. Nature of default
risk - default as an option. The option to default on mortgages. Default
rates as a function of seasoning. Default risk for different securities. 8.
Cashflow modeling for asset-backed securities. Constructing the cashflow
model. Understanding the asset and its repayment over time. The factors
that affect asset cashflows. The factors that affect the factors that
affect cashflow. Understanding transaction structure. Modelling a real life
case. Stress testing the model. 9. Securitization: Financial evaluation for
the originator. Securitization: The quantifiables and the
non-quantifiables. Securitization versus the unknown. The NPV of
originator's residual interest. Impact of prepayment. Factors affecting
originator's residual interest. Expected value of originator's residual
interest. 10. Investor evaluation of asset-backed securities. Spreads
inherent in asset-backed securities. Understanding of duration.
Understanding of convexity. Impact of prepayment on ABS investments.
Computation of option-adjusted spread. Understanding default risk. 11.
Rating of securitization transactions. Structured finance ratings vs other
fixed income ratings. Rating agency concerns. The rating process. Rating
models. Differences between structured finance and corporate finance
ratings. What credit ratings do not rate. Servicer evaluation. Role of
ratings in structured finance. Part 2: Securitization: Asset classes and
applications 12. Residential mortgage-backed securitization. Mortgage
funding systems. Government support to housing finance. Why secondary
mortgage markets. Origin of the secondary mortgage markets. Overview of the
US RMBS market. Secondary mortgage market in other countries. Structuring
of RMBS transactions. Case studies of RMBS. Home equity loans
securitization. Manufactured home loans. Investing in the MBS market.
Mortgage bonds. 13. Commercial mortgage-backed securitization. What is
CMBS? CMBS market. Types of CMBS. Structure of a CMBS transaction. Case
study: GMAC's 2001WTC transaction. Case study: Canary Wharf - a Typical UK
CMBS. Investing in CMBS: Performance of CMBS. 14. Credit cards
securitization. Nature of credit card debt. An overview of the market.
Transaction structure. Development of the master trust structure.
Components of a credit card structure. 15. Auto loan securitization. Forms
of car funding. Auto loans securitization market. Collateral quality.
Typical structures. Specific issues in auto loan securitization. Case Study
- Daimler-Chrysler Auto Trust. 16. Equipment Lease Securitization.
Investing in equipment lease securitizations. 17. Collateralized Debt
Obligations. What is a CDO? Types of CDOs. Growth of the CDO market.
Balance sheet CDOs. Arbitrage CDOs. Market value CDOs. Ramp up period. The
CDO manager. The CDO investors. The CDO trustee. Credit enhancer ad swap
counterparty. Managing the assets of CDOs. Asset quality tests. Cashflow
coverage tests. Resecuritization or structured finance CDOs. Distressed
debt CDOs. Hedge fund CDOs or fund of funds. Investing in CDOs. Risks in
CDO investment - structure and collateral risks. Taxation of CDOs. Legal
issues specific to CDOs. CDOs and index trading. Current problems facing
the CDO sector. Rating agencies approaches to CDOs. 18. Asset-backed
commercial paper. Genesis of asset-backed commercial paper. The ABCP
market. Types of ABCP conduits. ABCP collateral. Credit enhancements
structure. Liquidity support. Parties to an ABCP program. Rating of ABCP
conduits. Case study: Spinnaker Capital ABCP Program. 19. Future flows
securitization. What future flows are securitizable. Why future flow
securitization? Types of future flow deals. Structural features. Existing
asset, future income: A case of toll revenues securitization. Servicing
risks in future flows. The future flows market. Legal taxation and
accounting issues. Experience with future flows. 20. Whole business and
operating revenues securitization. Market development. Methodology.
Structural and credit enhancements. The legal basis. Businesses where whole
business securitization is possible. Why SPV in a whole business structure.
Case study: South East Water (Finance) Ltd. 21. Other miscellaneous asset
classes. Securitization of intellectual property. Securitization of
non-performing loans. Government receivables. Financial future flows.
Inventory securitization. Insurance securitization. 22. Synthetic
securitization and other risk transfer devices. Cash vs synthetic
securitization. Advantages of synthetic securitization over cash transfers.
Inefficiencies of a synthetic securitization. Distinction between
cash-funded and synthetic securitization. Balance sheet and arbitrage
synthetic securitization. Elements of balance sheet synthetic
securitization. Arbitrage synthetic CDOs. OC and IC triggers for synthetic
CDOs. Pay-down structure. Evolution and growth of synthetic securitization.
Investing in synthetic CDOs. Insurance risk securitization and other
methods of alternative risk transfer. Part IV: Technical and Operational
Aspects. 23. Legal issues in securitization. The significance of legal
issues in securitization. Why are securitization legal issues complicated?
Securitization: The big picture. What are the main legal issues?
Securitization and loan obligations. The true sale question. Case law on
true sale. The factors that make or mar a true sale. Factors in
determination of a sale. Methods of transferring receivables. Legal system
and assignment of receivables. Procedure for assignment of actionable
claims. Equitable assignment. Stamp duty on securitization. Avoiding stamp
duty by shifting jurisdiction. Stamp duties on transfer of securities of
the SPV. Stamp duty on securitization transactions: Indian case. Stamp duty
relaxations in other countries. Secured loan structures. Legal issues in
synthetic structures. Bankruptcy remote securitization. Organizational
forms of SPVs. Bankruptcy remoteness of SPVs. Consolidation of the SPV.
Legal rights of the investor: Legal nature of the investor's right. Legal
nature of a future flow securitization. Legal issues in arbitrage
transactions. Ideal legal framework for securitization. UNCIRAL initiative
for uniform law on assignment of receivables. 24. Legal documentation for
securitization. Basic structure of documentation. The pooling and servicing
agreement. Servicing covenants. The trust deed. 25 Operational issues in
securitization. Significance of operational risk. Types of servicers.
Servicer strengths. Servicer qualities. Servicing transition. Backup
service. Reporting by the servicer. Role of trustees in operation of the
transaction. Fraud risk. 26 Tax issues in securitization. Concept in tax
neutrality or tax transparency. Substance of the transaction: sale or
financing. Tax treatment in the originators' hands. Tax treatment of the
Special Purpose Vehicle (SPV). U.S. taxation rules for securitization. Thin
capitalization rules and SPV taxation. Taxation of SPVs where no specific
provisions exist: India. Deductibility of expenses by the SPV. Tax
treatment in the hands of the investors. Withholding taxes. 27. Accounting
for securitization. Securitization accounting in flux. The basic accounting
rule: Substance over form. Development of accounting principles on
securitization. Sale treatment vs loan treatment. Pre-conditions for sale
treatment. Pre-conditions for sale accounting. Qualifying SPV. Sale
treatment - balance sheet and revenue impact. Retained interest valuation
in a real life case. Gain on sale accounting. IAS 39 Revised and
securitization. Financing treatment and linked treatment. Comparative view
of sale and financing treatment. Disclosures by the originator. Accounting
by the SPV. Consolidation of SPV accounts with the originator.
Consolidation of variable interest entities under U.S. Attaining sale
treatment for accounts and loan treatment for taxes. Accounting for
revolving asset securitizations. Accounting for future flow securitization.
Investor accounting. Other securitization accounting standards. Servicing
rights and QSPE amendments. 28. Regulation AB: Securities regulation on
asset-backed securities. 29. Regulatory and economic capital in
securitization. The regulator's concerns. Background of regulatory
concerns. Overview of Basle-II norms. Basic approach to securitization.
Pre-requisites for regulatory relief. Generic principles of securitization.
Capital rules under standardized approach. Internal ratings-based approach.
U.S. regulatory requirements: Historical. Basle IA. FSA UK's guidelines for
capital relief. EU capital directive. Regulatory requirements in other
countries. Securitization and economic capital. 30. Investing in
securitization instruments. Part V: Investing in Asset-backed Securities.
Distinguishing between securitization instruments and other fixed income
investments. Investors' concerns in securitization investments. Performance
of securitization investments. Evaluation of an ABS investment. Index.
Tables of Cases.