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직수입양서
Securitization
Structuring and Investment Analysis
Multiple-component retail product, part(s) enclosed, 1st Edition
Davidson, Andrew / Sanders, Anthony / Wolff, LAN-Ling
Wiley
2003.09.08.
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책소개
목차
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Part One Introduction to Securitization Chapter 1 The Role of Securitization 3 Summary of Major Asset Classes 4 Key Concepts 7 Key Players in Securitization 9 Key Investment Characteristics of Securities (Bonds) 11 Exercises 12 Chapter 2 Fundamentals of Structuring 15 Issuer’s Motivations: Legal, Accounting, and Tax Considerations 15 Issues in Balance-Sheet Analysis 18 The Structuring Process 20 Issuing Vehicles 20 Exercises 27 Chapter 3 Fundamentals of Investment Analysis 29 Types of Investors 32 Analyzing Securities 35 Exercises 40 Chapter 4 Historical Performance of Asset-Backed Securities and Mortgage-Backed Securities 41 Comparing Returns on Alternative Asset-Backed Securities and Mortgage-Backed Securities Investments 41 A Case Study of Market Turbulence 43 Performance of Mortgage-Backed Securities and Asset-Backed Securities 45 Exercises 47 Part Two Agency Mortgage-Backed Securities Chapter 5 Mortgage Loans: The Basis of Mortgage-Backed Securities 51 What Is a Mortgage? 51 How Large Is the Mortgage Market? 53 Types of Mortgages 54 Adjustable-Rate Mortgages 62 Graduated-Payment Mortgages 65 Shared-Appreciation Mortgages 66 Reverse-Annuity Mortgage 67 Mortgage Default and Legal Issues Concerning Mortgages 68 The Federal National Mortgage Association/Federal Home Loan Mortgage Corporation Uniform Loan Contract 73 Exercises 74 Chapter 6 Agency Pass-Throughs 75 The Role of Government Agencies and Government-Sponsored Enterprises 75 Brief History of the Agency Market 76 Key Terms for Agency Pass-Throughs 80 Mechanics of the Pool Programs 82 Agency Programs 82 Trading of Agency Mortgage-Backed Securities 84 Exercises 87 Chapter 7 Fundamentals of the Interest-Rate Market 89 Bond Prices and Interest Rates 89 Forward Rates and Risk Neutrality 98 Completing the Curve 104 Exercises 107 Chapter 8 Static Analysis for Mortgage Pass-Through Securities 109 Methodology 109 Collateral 110 Structure 114 Results 120 Exercises 127 Chapter 9 Mortgage-Backed Securities Prepayments 131 Sources of Prepayments 132 Prepayment Data 133 Analyzing Prepayments 136 Prepayment Models 144 Exercises 152 Chapter 10 Total-Return Scenario Analysis 155 Methodology 156 Collateral 164 Structure 166 Results 169 Exercises 178 Part Three Advanced Mortgage-Backed Securities and Analysis Chapter 11 Structuring CMOs, IOs, and POs 185 Collateralized-Mortgage Obligations as Rules 187 Principal-Pay Types 196 Interest-Pay Types 196 Sequential Bonds 196 Pro Rata Bonds 198 Scheduled Bonds 200 Sequential PACs and Other Combinations 205 Interest Only and Principal Only 206 Senior/Subordinated Structures 208 Exercises 209 Chapter 12 Interest-Rate Volatility, Options, and Models 215 The Concept and Measures of Volatility 215 Valuation in Stochastic Arbitrage-Free World 224 Valuation of Options and Embedded-Option Bonds 228 Term-Structure Models 241 Exercises 247 Chapter 13 Option-Adjusted Spread 249 Methodology 249 Collateral 261 Structure 263 Results 264 Exercises 268 Chapter 14 Comparing Investment Alternatives 275 Mortgage-Backed Securities 275 Interest Only and Principal Only Securities 277 Collateralized-Mortgage Obligations 279 Exercises 283 Part Four Non-Agency Mortgage-Backed Securities and Analyzing Credit Risk Chapter 15 Non-Agency Mortgage-Backed Securities 287 Historical Overview of the Non-Agency/Private-Label Market 287 Private-Label Mortgage-Backed Securities Collateral Types 288 Credit Enhancement 289 Exercises 301 Chapter 16 Collateral Performance 303 Collateral Cash Flows 303 Modeling Collateral Cash Flows 303 Exercises 323 Chapter 17 Home Equity and Subprime Loans 325 Home Equity Loan Asset-Backed Securities Issuance 325 Environment 330 Prepayment 330 Home Equity Loan Asset-Backed Securities 331 Exercises 335 Chapter 18 Analysis of Credit-Sensitive Mortgage-Backed Securities 337 Methodology 338 Collateral 339 Structure 342 Results 346 Exercises 352 Part Five Asset-Backed Securities Chapter 19 Auto-Loan Asset-Backed Securities 355 Auto Asset-Backed Securities Issuance 355 Collateral and Loan Characteristics 355 Environment 357 Valuation 364 Exercises 365 Chapter 20 Credit-Card Asset-Backed Securities 367 Credit-Card Asset-Backed Securities Issuance 367 Credit-Card Asset-Backed Securities Structures 369 Rating Agency Criteria 373 Exercises 377 Chapter 21 Manufactured-Housing Asset-Backed Securities 379 Manufactured-Housing Asset-Backed Securities Issuance 379 Collateral and Loan Features 382 Manufactured-Housing Asset-Backed Securities Structures 383 Prepayments 384 Rating Agency Criteria 386 Recent Performance in Context 388 Exercises 388 Part Six Commercial Mortgages Chapter 22 Commercial Loans 391 Types of Income-Producing Properties 391 General Risk Evaluation 392 Leases 397 Valuing Income-Producing Properties 398 Impact of Financial Leverage 400 Exercises 408 Chapter 23 Commercial Mortgage-Backed Securities 409 Commercial Mortgage-Backed Securities: An Overview 409 The Underlying Loan Portfolio 417 Role of the Servicer 424 Creating a Commercial Mortgage-Backed Securities Model 425 The Future of Commercial Mortgage-Backed Securities 425 Exercises 426 Chapter 24 The Role of Real Estate Investment Trusts (REITs) 429 Background 429 Qualifying as a Real Estate Investment Trust 430 Tax Ramifications for Real Estate Investment Trusts 430 Types of Real Estate Investment Trusts 430 Real Estate Investment Trust Structures 431 Property Types 432 A Bit of History 434 Real Estate Investment Trust Initial Public Offerings 436 International Real Estate Return Performance 437 Real Estate Investment Trust Valuation 438 Other Factors Influencing Real Estate Investment Trust Valuation and Performance 442 Exercises 443 Part Seven The European Securitization Market Chapter 25 Development of a Market 447 Size of Market 449 Type of Assets 453 Securitization Outside Europe and the United States 460 Exercises 464 Chapter 26 European Residential Mortgages 465 Property Value Loss and Default Risk 469 Legal and Tax Issues for Residential Mortgages 471 Mortgage Collateral Characteristics 476 Principal Payment Rules 478 Interest Payment Rules 482 Prepayments and Other Risks 484 Exercises 487 Chapter 27 European Securitization Legislation 489 Type of Law 489 Securing the Asset 491 Exercises 502 Chapter 28 Structuring Asset-Backed Securities in Europe 503 The European Approach 503 Assessing the Collateral 504 Issues in Bond Structuring 514 Legal Process and Counterparties 520 Timing and Costs 524 Exercises 525 Bibliography 527 Additional Resources 531 About the CD-ROM 533 Index 537 |
저자 소개
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 York-based 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. Wolff’s 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 firm’s consultants, and the technical and analytical skills of the firm’s 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.
품목정보
- 발행일
- 2003년 09월 08일
- 쪽수, 무게, 크기
- 576쪽 | 912g | 163*236*34mm
- ISBN13
- 9780471022602
리뷰/한줄평0
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