Details

Introduction to Structured Finance

Frank J. Fabozzi Series, Band 148 1. Aufl.

von: Frank J. Fabozzi, Henry A. Davis, Moorad Choudhry
60,99 €
Verlag:	Wiley
Format:	PDF
Veröffentl.:	31.03.2007
ISBN/EAN:	9780470107805
Sprache:	englisch
Anzahl Seiten:	400

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Beschreibungen

Titelbeschreibung

Created by the experienced author team of Frank Fabozzi, Henry Davis, and Moorad Choudhry, Introduction to Structured Finance examines the essential elements of this discipline. It is a convenient reference guide—which covers all the important transaction types in one place—and an excellent opportunity to enhance your understanding of finance.

Inhaltsverzeichnis

Preface vii About the Authors xiii CHAPTER 1 Introduction 1 Definition of Structured Finance 1 Other Definitions of Structured Finance 2 Case Study: How Enron Has Affected the Boundaries of Structured Finance 15 Conclusions 22 CHAPTER 2 Interest Rate Derivatives 23 Interest Rate Forward and Futures Contracts 23 Futures Contracts 24 Interest Rate Swaps 26 Options 36 Caps and Floors 43 CHAPTER 3 Credit Derivatives 45 Documentation and Credit Derivative Terms 45 Credit Default Swaps 48 Credit Default Swap Index 50 Basket Default Swaps 51 Asset Swaps 54 Total Return Swaps 57 Economics of a Total Return Swap 58 CHAPTER 4 Basic Principles of Securitization 65 What Is a Securitized Transaction? 66 Illustration of a Securitization 67 Reasons Why Entities Securitize Assets 70 Benefits of Securitization to Investors 79 What Rating Agencies Look at in Rating Asset-Backed Securities 79 Description of the Collateral 82 Prepayments Measures 87 Defaults and Delinquencies 90 CHAPTER 5 Securitization Structures 95 Use of Interest Rate Derivatives in Securitization Transactions 95 Credit Enhancement 104 More Detailed Illustration of a Securitization 113 CHAPTER 6 Cash Flow Collateralized Debt Obligations 119 Family of CDOs 120 Basic Structure of a Cash Flow CDO 122 CDOs and Sponsor Motivation 124 Compliance Tests 127 CHAPTER 7 Synthetic Collateralized Debt Obligation Structures 133 Motivations for Synthetic CDOs 134 Mechanics 136 Funding Mechanics 138 Investor Risks in Synthetic Transactions 140 Variations in Synthetic CDOs 141 The Single-Tranche Synthetic CDO 147 Summary of the Advantages of Synthetic Structures 149 Factors to Consider in CDO Analysis 150 Case Study 151 CHAPTER 8 Securitized and Synthetic Funding Structures 155 Commerical Paper 155 Asset-Backed Commercial Paper 157 Synthetic Funding Structures 162 CHAPTER 9 Credit-Linked Notes 181 Description of CLNs 181 Illustration of a CLN 182 Investor Motivation 182 Settlement 182 Forms of Credit Linking 184 The First-to-Default Credit-Linked Note 190 CHAPTER 10 Structured Notes 193 Structured Notes Defined 194 Motivation for Investors and Issuers 196 Issuance Form and Issuers 197 Creating Structured Notes 198 Examples of Structured Notes 199 CHAPTER 11 Large Ticket Leasing: Leasing Fundamentals 207 How Leasing Works 207 Types of Equipment Leases 208 Full Payout Leases versus Operating Leases 211 Reasons for Leasing 211 Types of Lessors 216 Lease Brokers and Financial Advisers 217 Lease Programs 217 Financial Reporting of Lease Transactions by Lessees 218 Federal Income Tax Requirements for True Lease Transactions 222 Synthetic Leases 224 Valuing a Lease: The Lease or Borrow-to-Buy Decision 225 CHAPTER 12 Leveraged Lease Fundamentals 237 Parties to a Leveraged Lease 239 Structure of a Leveraged Lease 243 Closing the Transaction 245 Cash Flows During the Lease 246 Debt For Leveraged Leases 247 Facility Leases 249 Construction Financing 252 Credit Exposure of Equity Participants 253 Tax Indemnification for Future Changes in Tax Law 253 Need for a Financial Adviser 254 The Steps in Structuring, Negotiating, and Closing a Leveraged Lease 256 CHAPTER 13 Project Financing 259 What Is Project Financing? 260 Reasons for Jointly Owned or Sponsored Projects 262 Credit Exposures in a Project Financing 262 Key Elements of a Successful Project Financing 264 Causes for Project Failures 265 Credit Impact Objective 277 Accounting Considerations 279 Meeting Internal Return Objectives 282 Other Benefits of a Project Financing 282 Tax Considerations 283 Disincentives to Project Financing 283 Recent Trends 284 APPENDIX A The Basel II Framework and Securitization 287 Basel Rules 288 Impact on Securitization and Credit Derivatives 293 APPENDIX B Synthetic Securitization: Case of Mortgage-Backed Securities 297 Transaction Description 297 Deal Structures 298 Investor Considerations 301 APPENDIX C Home Run! A Case Study of Financing the New Stadium for the St. Louis Cardinals Cynthia A. Baker and J. Paul Forrester 303 APPENDIX D Municipal Future-Flow Bonds in Mexico: Lessons for Emerging Economies James Leigland 309 APPENDIX E Crown Castle Towers LLC, Senior Secured Tower Revenue Notes, Series 2005-1 Taimur Jamil 321 APPENDIX F MVL FIlm Finance LLC Olga Filipenko 335 APPENDIX G Presale: Honda Auto Receivables 2006-1 Owner Trust Amanda M. Soriano and Nadine E. Gunter 339 APPENDIX H Presale: ACG Trust III Anthony Nocera, Ted Burbage, Philip Baggaley, and Michael K. Vernier 345 APPENDIX I CNH Equipment Trust 2006-A Du Trieu, Bradley Sohl, Joseph S. Tuczak, and Peter Manofsky 355 APPENDIX J CIT Equipment Collateral 2006-VT1 Brigid E. Fitzgerald, John Bella, and Peter Manofsky 365 Index 373

Rezension

Structured finance is one of those elusive terms that mean different things to different people. With this wonderful book, authors Fabozzi, Davis and Choudhry first explore the boundaries of what is and is not considered to be structured finance. A simple definition would be that structured finance is any form of non-traditional financing, but this begs the question of where to draw the line between traditional and non-traditional. Certainly, most people wouldn't consider a vanilla swap to be structured finance! Structured finance might be described in terms of techniques that are commonly employed—securitization, derivatives, special purpose vehicles (SPVs), leasing, project finance, etc. The authors explore this and other approaches to, if not defining structured finance, at least clarifying its boundaries.-- Riskbook.com

Autorenportrait

FRANK J. FABOZZI, PHD, CFA, CFP, is an Adjunct Professor of Finance at Yale University's School of Management and the Editor of the Journal of Portfolio Management. HENRY A. DAVIS, MBA, is an editor, writer, and consultant working in the fields of banking and corporate finance. He currently serves as Editor of two quarterly professional journals, the Journal of Structured Finance and the Journal of Investment Compliance. MOORAD CHOUDHRY is Head of Treasury at KBC Financial Products in London. Previously, he worked at JPMorgan Chase Bank, where he was a vice president of structured finance services sales and marketing.

Back cover copy

Structured finance is a term that covers a very wide range of financial market transactions and products. While a common definition of it seems to center on securitization, structured financial products also include credit derivatives, bonds with embedded options, leveraged leasing, project financing, and a variety of other complex financing transactions. Created by the experienced author team of Frank Fabozzi, Henry Davis, and Moorad Choudhry, Introduction to Structured Finance examines the essential elements of this discipline and makes them understandable to a wide audience—from professionals generally familiar with the world of finance who want to enhance their technical knowledge to specialists in some structured finance disciplines who want to become more familiar with others. Written in a straightforward and accessible style, this comprehensive guide—along with its information-packed appendices—contains a broad view of structured finance that includes: <ul> <li>Securitization</li> <li>Interest rate derivatives (such as options, caps, and floors)</li> <li>Credit derivatives (such as asset swaps and total return swaps)</li> <li>Securitized and synthetic funding structures</li> <li>Cash and synthetic collateralized debt obligations (CDOs)</li> <li>Credit-linked notes and structured notes</li> <li>Complex leasing transactions</li> <li>Project financing</li> </ul> Structured finance plays an important and growing role in today's financial markets. Indeed, a large part of financial innovation in recent years has been related to securitization, credit derivatives, or a combination of the two. Introduction to Structured Finance offers a well-rounded treatment of this dynamic discipline, a convenient reference covering all the important transaction types in one place, and an excellent opportunity to enhance your financial skills.