Securitization von Anne/Sanders Ching

A complete guide to securitization.<br> * Analyzes leases, tax liens, and other new securitization markets developing globally.<br> * Contains exercises and examples taken from real transactions.<br> * Companion CD-ROM includes calculation tools and examples, data for models, ongoing updates on models, and Q&A with authors to address complex securitization questions.

ANDREW DAVIDSON, one of the most well-respected names in mortgage-backed securities and securitization, is President and founder of Andrew Davidson& Co., Inc., a New Yorkbased consulting firm specializing in the application of analytical tools to investment management. The company provides consulting advice to many of the major firms in the securitization business. It is also a leading provider of prepayment and valuation models for MBS and ABS. Prior to forming the company in 1992, Davidson was a managing director at Merrill Lynch responsible for MBS, CMO, ABS, and Futures and Options Research.ANTHONY SANDERS is the Galbreath Distinguished Scholar and Professor of Finance at The Ohio State University. During 1997 and 1998, he was director and head of asset-backed and mortgage-backed securities research at Deutsche Bank. He has published numerous articles in journals such as the Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Business, and Journal of Fixed Income.LAN-LING WOLFF heads Fredell& Co. Structured Finance Ltd. in London, which specializes in providing structuring and arranging services for asset-backed securities all over Europe. Wolffs background in the U.S. mortgage-backed securities market and understanding of the European capital markets places her on the cutting edge of securitization globally. She specializes in residential mortgages and mortgage banking.ANNE CHING, a senior consultant at Andrew Davidson& Co., Inc., has worked in the credit risk and investment analysis of sub-prime residential and manufactured housing sectors. She has also worked on the structuring of non-U.S. mortgage-backed securities.The authors drew on the expertise of Andrew Davidson& Co., Inc., in preparing Securitization. The broad range of expertise of the firms consultants, and the technical and analytical skills of the firms analysts, provide a rich background that gives Securitization strong theoretical underpinnings, as well as a grounding in practical application of the theory and methods described in the book. Two associates from outside the firm, with additional specialized expertise, were enlisted as well.

PART ONE Introduction to SecuritizationCHAPTER 1 The Role of Securitization 3CHAPTER 2 Fundamentals of Structuring 15CHAPTER 3 Fundamentals of Investment Analysis 29CHAPTER 4 Historical Performance of Asset-Backed Securities and Mortgage-Backed Securities 41PART TWO Agency Mortgage-Backed SecuritiesCHAPTER 5 Mortgage Loans: The Basis of Mortgage-Backed Securities 51CHAPTER 6 Agency Pass-Throughs 75CHAPTER 7 Fundamentals of the Interest-Rate Market 89CHAPTER 8 Static Analysis for Mortgage Pass-Through Securities 109CHAPTER 9 Mortgage-Backed Securities Prepayments 131CHAPTER 10 Total-Return Scenario Analysis 155PART THREE Advanced Mortgage-Backed Securities and AnalysisCHAPTER 11 Structuring CMOs, IOs, and POs 185CHAPTER 12 Interest-Rate Volatility, Options, and Models 215CHAPTER 13 Option-Adjusted Spread 249CHAPTER 14 Comparing Investment Alternatives 275PART FOUR Non-Agency Mortgage-Backed Securities and Analyzing Credit RiskCHAPTER 15 Non-Agency Mortgage-Backed Securities 287CHAPTER 16 Collateral Performance 303CHAPTER 17 Home Equity and Subprime Loans 325CHAPTER 18 Analysis of Credit-Sensitive Mortgage-Backed Securities 337PART FIVE Asset-Backed SecuritiesCHAPTER 19 Auto-Loan Asset-Backed Securities 355CHAPTER 20 Credit-Card Asset-Backed Securities 367CHAPTER 21 Manufactured-Housing Asset-Backed Securities 379PART SIX Commercial MortgagesCHAPTER 22 Commercial Loans 391CHAPTER 23 Commercial Mortgage-Backed Securities 409CHAPTER 24 The Role of Real Estate Investment Trusts (REITs) 429PART SEVEN The European Securitization MarketCHAPTER 25 Development of a Market 447CHAPTER 26 European Residential Mortgages 465CHAPTER 27 European Securitization Legislation 489CHAPTER 28 Structuring Asset-Backed Securities in Europe 503Bibliography 527Additional Resources 531About the CD-ROM 533Index 537

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