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Introduction to Securitization


Introduction to Securitization

A comprehensive overview of securitization

With this book, Frank Fabozzi and Vinod Kothari bring together their extensive expertise in this field to present asset and financial managers, as well as finance students, with comprehensive information on one of the most important topics in modern-day finance.

Introduction to Securitization outlines the basics of securitization, addressing applications for this technology to mortgages, collateralized debt obligations, future flows, credit cards, and auto loans. The authors present a comprehensive overview of the topic based on the experience they have gathered through years of interaction with practitioners and graduate students around the world. The authors offer coverage of such key topics as: structuring agency MBS deals and nonagency deals, credit enhancements and sizing, using interest rate derivatives in securitization transactions, asset classes securitized, operational risk factors, implications for financial markets, and applying securitization technology to CDOs. Finally, in the appendices, the authors provide an essential introduction to credit derivatives, an explanation of the methodology for the valuation of MBS/ABS, and the estimation of interest rate risk.

Frank J. Fabozzi, PhD, CFA, CPA, is Professor in the Practice of Finance at Yale University's School of Management, Editor of the Journal of Portfolio Management, and Associate Editor of the Journal of Structured Finance and the Journal of Fixed Income.

Vinod Kothari, chartered accountant, is an author, trainer, and consultant on securitization, asset-based finance, credit derivatives, and derivatives accounting. Kothari is a visiting faculty member at the Indian Institute of Management, where he teaches structured finance.


About the Authors.

Part One. Background.

Chapter 1. Introduction.

Chapter 2. Issuer Motivation for Securitizing Assets and the Goals of Structuring.

Part Two. Structuring ABS Transactions.

Chapter 3. Structuring Agency MBS Deals.

Chapter 4. Structuring Nonagency Deals.

Chapter 5. Credit Enhancements.

Chapter 6. Use of Interest rate Derivatives in Securitization Transactions.

Chapter 7. Operational Issues in Securitization.

Part Three. Review of ABS Collateral.

Chapter 8. Collateral Classes in ABS: Retail Loans.

Chapter 9. Asset-Backed Commercial Paper Conduits and Other Structured Vehicles.

Chapter 10. Securitization of Future Cash Flows:Future Revenues, Operating Revenues, and Insurance Profits.

Part Four. Collateralized Debt Obligations.

Chapter 11. Introduction to Collateralized Debt Obligations.

Chapter 12. Types of Collateralized Debt Obligations.

Chapter 13. Structuring and Analysis of CDOs.

Part Five. Implications for Financial Markets.

Chapter 14. Benefits of Securitization to Financial Markets and Economies.

Chapter 15. Concerns with Securitization’s Impact on Financial Markets and Economies.

Appendix A. Basics of Credit Derivatives.

Appendix B. Valuing Mortgage-Backed and Asset-Backed Securities.