Details

The Mechanics of Securitization

A Practical Guide to Structuring and Closing Asset-Backed Security Transactions
Wiley Finance, Band 193 1. Aufl.

von: Suleman Baig, Moorad Choudhry, Oldrich Masek
63,99 €
Verlag:	Wiley
Format:	PDF
Veröffentl.:	01.02.2013
ISBN/EAN:	9781118220733
Sprache:	englisch
Anzahl Seiten:	208

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Beschreibungen

Titelbeschreibung

A step-by-step guide to implementing and closing securitization transactions Securitization is still in wide use despite the reduction in transactions. The reality is that investors and institutions continue to use this vehicle for raising funds and the demand for their use will continue to rise as the world's capital needs increase. The Mechanics of Securitization specifically analyzes and describes the process by which a bank successfully implements and closes a securitization transaction in the post subprime era. This book begins with an introduction to asset-backed securities and takes you through the historical impact of these transactions including the implications of the recent credit crisis and how the market has changed. <ul> <li>Discusses, in great detail, rating agency reviews, liaising with third parties, marketing the deals, and securing investors</li> <li>Reviews due diligence and cash flow analysis techniques</li> <li>Examines credit and cash considerations as well as how to list and close deals</li> <li>Describes the process by which a bank will structure and implement the deal, and how the process is project managed and tested across internal bank departments</li> </ul> While securitization transactions have been taking place for over twenty-five years, there is still a lack of information on exactly how they are processed successfully. This book will put you in a better position to understand how it all happens, and show you how to effectively implement an ABS transaction yourself.

Inhaltsverzeichnis

Foreword xi Preface xv Part One Introduction to Securitization 1 Chapter 1 Introduction to Securitization and Asset-Backed Securities 3 The Concept of Securitization 4 The Process of Securitization 7 Securitizing Mortgages 14 ABS Structures: A Primer on Performance Metrics and Test Measures 18 Securitization: Features of the 2007–2008 Financial Crisis 24 Summary and Conclusions 33 References 34 Chapter 2 The Securitization Market Post-2007 35 Market Observation 35 Impact on Rating Agencies 40 Summary and Conclusions 42 Part Two Guide to Closing a Securitization Transaction 45 Chapter 3 Structuring and Execution of a Transaction 47 A Securitization Process 47 Summary and Conclusions 69 Chapter 4 The Rating Agency Process and Legal Review 71 Select Rating Agencies 71 Undertaking Legal Due Diligence 73 Begin Drafting Documents 78 Set Up the SPV 82 Modeling the Transaction 85 Determine Capital Structure/Trigger Levels 90 Prepare Marketing Materials 96 Pricing, Close, and Settlement 98 Summary and Conclusions 99 Chapter 5 Static Synthetic CDO Cash Flow Waterfall Model 101 Summary and Conclusions 107 Part Three Transaction Closing Templates and Checklists 111 Chapter 6 Transaction Templates and Checklists 113 Red Sea Master Series Limited Structure Diagram 113 Underlying Asset Pool 113 Draft Term Sheet 120 Closing Process 126 Structuring Notes 127 Rating Agency Preparation and Questionnaire 129 Loan-Level Data: Rating Agency Checklist 138 Agenda for Rating Agency Site Visit 140 Legal Counsel Review 140 Form of Transfer Certificate 144 Investor and Rating Agency Presentation Template 147 In-House Credit Rating Mapping Chart: Lower and Upper Values 149 Rating Agency Presentation: Corporate Bank Origination Processes 149 Loan Transfer Schedule of Tasks 154 Loan Transfers, Accounting Movements 158 Sign-Off Document: Securitization Project 160 Securitization Testing: Finance Department 161 Accounting Process on Closing 166 EUR Junior Tranche Trade Ticket 167 Senior Tranche Trade Ticket 168 Internal Transfer Booking Process 169 Questions from Trustee, Paying Agent, and Services Provider 169 Summary and Conclusions 172 About the Authors 173 Index 175

Autorenportrait

SULEMAN BAIG works with the credit structuring team at Deutsche Bank AG in London. He has extensive experience dealing with first-time issuers and has structured a number of securitization transactions (both agency and principal) in a variety of asset classes and jurisdictions. Suleman graduated with a degree in mathematics from the London School of Economics. MOORAD CHOUDHRY is Treasurer, Corporate Banking Division at the Royal Bank of Scotland, and visiting professor in the Department of Mathematical Sciences, Brunel University. He is on the editorial board of the Journal of Structured Finance and a member of the editorial advisory board of American Securitization.

Back cover copy

THE MECHANICS OF SECURITIZATION Securitization is a well-established practice in the global debt capital markets. And while the market in structured finance securities was hit hard by the 2007–2008 financial crisis—when investors shunned asset-backed securities—interest in securitization has resumed as the global economy recovers. The Mechanics of Securitization is an accessible and practitioner-oriented look into what is required to successfully structure and close asset-backed security transactions in today’s complex financial markets. The text is aimed at practitioners in structured finance who are involved with originating, structuring, or arranging securitization transactions. It addresses the necessary tasks for commercial banks that are interested in closing a securitization of assets off their own balance sheet or a third-party balance sheet—whether these assets are corporate loans, mortgages, credit card loans, or other more esoteric “future flow” cash receivables. The text is aimed at providing a step-by-step guide to the process undertaken to arrange, structure, and close a securitization deal, and includes insights on the rating agency and legal review requirements. The template used applies to cash transactions in asset-backed securities, mortgage-backed securities, and corporate loan deals. Details of a cash flow waterfall model are also discussed. Using an actual securitization transaction as its background, the book also features a series of checklists and pro forma documents to illustrate the process of structuring a typical loan ABS or CLO transaction.