Introduction to Securitization by Frank J. Fabozzi

By Frank J. Fabozzi

Content material:
Chapter 1 creation (pages 1–12):
Chapter 2 supplier Motivation for Securitizing resources and the objectives of Structuring (pages 13–27):
Chapter three Structuring company MBS bargains (pages 29–64):
Chapter four Structuring Nonagency offers (pages 65–84):
Chapter five credits improvements (pages 85–100):
Chapter 6 Use of rate of interest Derivatives in Securitization Transactions (pages 101–122):
Chapter 7 Operational concerns in Securitization (pages 123–146):
Chapter eight Collateral sessions in ABS: Retail Loans (pages 147–167):
Chapter nine Asset?Backed advertisement Paper Conduits and different established automobiles (pages 169–185):
Chapter 10 Securitization of destiny money Flows: destiny sales, working sales, and assurance earnings (pages 187–208):
Chapter eleven advent to Collateralized Debt tasks (pages 209–228):
Chapter 12 forms of Collateralized Debt responsibilities (pages 229–254):
Chapter thirteen Structuring and research of CDOs (pages 255–272):
Chapter 14 merits of Securitization to monetary Markets and Economies (pages 273–290):
Chapter 15 issues with Securitization's impression on monetary Markets and Economies (pages 291–303):

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By Frank J. Fabozzi

Content material:
Chapter 1 creation (pages 1–12):
Chapter 2 supplier Motivation for Securitizing resources and the objectives of Structuring (pages 13–27):
Chapter three Structuring company MBS bargains (pages 29–64):
Chapter four Structuring Nonagency offers (pages 65–84):
Chapter five credits improvements (pages 85–100):
Chapter 6 Use of rate of interest Derivatives in Securitization Transactions (pages 101–122):
Chapter 7 Operational concerns in Securitization (pages 123–146):
Chapter eight Collateral sessions in ABS: Retail Loans (pages 147–167):
Chapter nine Asset?Backed advertisement Paper Conduits and different established automobiles (pages 169–185):
Chapter 10 Securitization of destiny money Flows: destiny sales, working sales, and assurance earnings (pages 187–208):
Chapter eleven advent to Collateralized Debt tasks (pages 209–228):
Chapter 12 forms of Collateralized Debt responsibilities (pages 229–254):
Chapter thirteen Structuring and research of CDOs (pages 255–272):
Chapter 14 merits of Securitization to monetary Markets and Economies (pages 273–290):
Chapter 15 issues with Securitization's impression on monetary Markets and Economies (pages 291–303):

Show description

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Sample text

1 Diversifying Funding Sources A corporation that seeks to raise funds via a securitization must establish itself as an issuer in the asset-backed securities market. Among other things, this requires that the issuer be a frequent issuer in the market in order to get its name established in the asset-backed securities market and to create a reasonably liquid aftermarket for trading those securities. 2 Managing Corporate Risk The credit risk and the interest rate risk of assets that have been securitized are no longer risks faced by the originator/seller.

This is because the WAM is 358 months. 6 In the absence of prepayments, this amount would be constant over the life of the pass-through security. The formula for calculating the total monthly mortgage payment can be found in Chapter 22 in Fabozzi (2006). 6 years. We will use average life in our illustrations because the computation of the duration, more specifically effective duration, is much more complicated to compute. The average life is a weighted average of the principal cash flows divided by the par value where the weight is the month when the projected principal is expected to be received.

The name PAC is now used to describe these structures. 5% pass-through security, using a lower prepayment speed of 100% PSA and an upper speed of 250% PSA, the PAC schedule would be shown in the last column. The upper and lower prepayment speeds are referred to as the structuring speeds and the range of 100% to 250% PSA is referred to as the structuring bands. The non-PAC bond classes in the structure are referred to as the support bonds or companion bonds, a name given because of their function in the structure as will be explained shortly.

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