Choudhry / Baig The Mechanics of Securitization

A Practical Guide to Structuring and Closing Asset-Backed Security Transactions
1. Auflage 2013
ISBN: 978-1-118-22073-3
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 208 Seiten, E-Book

Reihe: Wiley Finance Editions

A step-by-step guide to implementing and closing securitizationtransactions
Securitization is still in wide use despite the reduction intransactions. The reality is that investors and institutionscontinue to use this vehicle for raising funds and the demand fortheir use will continue to rise as the world's capital needsincrease.
The Mechanics of Securitization specifically analyzes anddescribes the process by which a bank successfully implements andcloses a securitization transaction in the post subprime era. Thisbook begins with an introduction to asset-backed securities andtakes you through the historical impact of these transactionsincluding the implications of the recent credit crisis and how themarket has changed.
* Discusses, in great detail, rating agency reviews, liaisingwith third parties, marketing the deals, and securinginvestors
* Reviews due diligence and cash flow analysis techniques
* Examines credit and cash considerations as well as how to listand close deals
* Describes the process by which a bank will structure andimplement the deal, and how the process is project managed andtested across internal bank departments
While securitization transactions have been taking place forover twenty-five years, there is still a lack of information onexactly how they are processed successfully. This book will put youin a better position to understand how it all happens, and show youhow to effectively implement an ABS transaction yourself.

Autoren/Hrsg.

Choudhry, Moorad

Baig, Suleman

Inhaltsverzeichnis

Foreword xi
Preface xv
PART ONE Introduction to Securitization 1
CHAPTER 1 Introduction to Securitization and Asset-BackedSecurities 3
The Concept of Securitization 4
The Process of Securitization 7
Securitizing Mortgages 14
ABS Structures: A Primer on Performance Metrics and TestMeasures 18
Securitization: Features of the 2007-2008 Financial Crisis24
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 Transaction45
CHAPTER 3 Structuring and Execution of a Transaction47
A Securitization Process 47
Summary and Conclusions 69
CHAPTER 4 The Rating Agency Process and Legal Review71
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 Model101
Summary and Conclusions 107
PART THREE Transaction Closing Templates and Checklists111
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 Values149
Rating Agency Presentation: Corporate Bank Origination Processes149
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 Provider169
Summary and Conclusions 172
About the Authors 173
Index 175

Über Autor(innen)

Suleman Baig works with the credit structuring team atDeutsche Bank AG in London. He has extensive experience dealingwith first-time issuers and has structured a number ofsecuritization transactions (both agency and principal) in avariety of asset classes and jurisdictions. Suleman graduated witha degree in mathematics from the London School of Economics.
Moorad Choudhry is Treasurer, Corporate Banking Divisionat the Royal Bank of Scotland, and visiting professor in theDepartment of Mathematical Sciences, Brunel University. He is onthe editorial board of the Journal of Structured Finance anda member of the editorial advisory board of AmericanSecuritization.