The Handbook of European Structured Financial Products


Securitisation has been one of the most exciting developments in fixed-income markets, perfectly illustrating the dynamic and flexible nature of the market itself. The application of securitisation techniques has given rise to "structured finance" securities, which now encompass a wide class of products, each of which deserves separate treatment in its own right.

The Handbook of European Structured Financial Products is the first comprehensive guide to this ever-expanding market. The detailed information contained within these pages is aimed at practitioners–including bankers, insurers, and investors–that have an interest in the structured finance of the European debt market.

Comprising six information-packed sections, The Handbook of European Structured Financial Products introduces you to many of these products–and the concept of securitisation–while providing practical information and in-depth insight on:

  • ABS and the various assets classes that have been originated as ABS–credit card ABS, consumer loan ABS, auto loan ABS, and much more
  • Whole business securitisation
  • Residential and commercial MBS
  • Cash and synthetic CDOs
  • Structured credit products in the form of credit-linked notes and repackaged transactions

Frank J. Fabozzi, PhD, CFA, is Editor of the Journal of Portfolio Management, the Frederick Frank Adjunct Professor of Finance at Yale University’s School of Management, and a consultant in the fixed-income and derivatives area. Frank is a Chartered Financial Analyst and Certified Public Accountant who has edited and authored many acclaimed books in finance. He earned a doctorate in economics from the City University of New York in 1972. He is a Fellow of the International Center for Finance at Yale University.
Moorad Choudhry is Head of Treasury at KBC Financial Products UK Limited in London. He previously worked as a government bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, and in structured finance services at JPMorgan Chase Bank. Moorad is a Fellow at the Centre for Mathematical Trading and Finance, Cass Business School, London, and a Fellow of the Securities Institute. He has published widely in the field of fixed income and derivatives, and is author of The Bond and Money Markets: Strategy, Trading, Analysis.
About the Editors.

Contributing Authors.

PART ONE: Structured Finance and Securitisation.

CHAPTER 1: Introduction (Frank J. Fabozzi and Moorad Choudhry).

CHAPTER 2: The Concept of Securitisation (Iain Barbour and Katie Hostalier).

CHAPTER 3: Mechanics of Securitisation (Alexander Batchvarov, Jenna Collins, and William Davies).

CHAPTER 4: Credit Derivatives Primer (Frank J. Fabozzi, Moorad Choudhry, Mark J.P. Anson, and Ren-Raw Chen).

CHAPTER 5: True Sale versus Synthetics for MBS Transactions: The Investor Perspective (Iain Barbour, Katie Hostalier, and Jennifer Thym).

CHAPTER 6: A Framework for Evaluating a Cash (“True Sale”) versus Synthetic Securitisation (Iain Barbour and Katie Hostalier).

CHAPTER 7: Assessing Subordinated Tranches in ABS Capital Structure (Alexander Batchvarov, Jenna Collins, and William Davies).

CHAPTER 8: Key Consideration for Master Trust Structures (Alexander Batchvarov, Jenna Collins, and William Davies).

CHAPTER 9: Trust and Agency Services in the Debt Capital Markets (Nick Procter and Edmond Leedham).

PART TWO: Asset-Backed Securities.

CHAPTER 10: European Credit Card ABS (Markus Niemeier).

CHAPTER 11: European Auto and Consumer Loan ABS (Markus Niemeier).

CHAPTER 12: European Public Sector Securitisations (Christopher Flanagan, Edward Reardon, and Doreen Tan).

CHAPTER 13: Italian Lease-Backed Securities (Andrew Dennis).

CHAPTER 14: European Mezzanine Loan Securitisations (Alexander Batchvarov, Jenna Collins, and William Davies).

CHAPTER 15: Stock Securitisations (Carole Gintz).

CHAPTER 16: Rating Trade Receivables Transactions (Jean Dornhofer and Everett Rutan).

CHAPTER 17: Moody’s Approach to Analysing Consumer Loan Securitisations (Nikoletta Knapcsek and Valentina Varola).

CHAPTER 18: Nonperforming Loan Securitisation and Moody’s Rating Methodology (Antonio Serpico, Alex Cataldo, and Hernan Quipildor).

PART THREE: Whole Business Securitisation.

CHAPTER 19: Whole Business Securitisation (Anant Ramgarhia, Miray Muminoglu, and Oleg Pankratov).

CHAPTER 20: Principles for Analysing Corporate Securitisations 349

Elena Folkerts-Landau, Pascal Bernous, Adele Archer,

Anthony Flintoff, and Apea Koranteng).

CHAPTER 21: Balancing Cash Flow Predictability and Debt Capacity in Corporate Securitisations (Blaise Ganguin, Apea Koranteng, Michael Wilkins, and Adele Archer).

CHAPTER 22: Credit Analysis of Whole Business Securitisations (Benedicte Pfister).

CHAPTER 23: Securitisation of UK Pubs (Andrew Dennis).

PART FOUR: Mortgage-Backed Securities.

CHAPTER 24: European Residential Mortgage-Backed Securities (Phil Adams).

CHAPTER 25: Italian Residential Mortgage-Backed Securities (Andrew Dennis).

CHAPTER 26: European Commercial Mortgage-Backed Securities (Phil Adams).

CHAPTER 27: Rating Approach to European CMBS (Benedicte Pfister).

CHAPTER 28: Differentiating CMBS from Other Real Estate Securitised Financings (Elena Folkerts-Landau, Clayton Hunt, Ronan Fox, Adele Archer, and Ian Bell).

CHAPTER 29: The German Pfandbrief and European Covered Bonds Market (Graham “Harry” Cross).

PART FIVE: Collateralised Debt Obligations.

CHAPTER 30: Structured Credit: Cash Flow and Synthetic CDOs (Oldrich Masek and Moorad Choudhry).

CHAPTER 31: Single-Tranche Synthetic CDOs (Barnaby Martin, Alexander Batchvarov, and Atish Kakodkar).

CHAPTER 32: Rating Methodology for Collateralised Debt Obligations (Henry Charpentier and Hernan Quipildor).

CHAPTER 33: CLOs and CBOs for Project Finance Debt: Rating Considerations (Arthur F. Simonson, William H Chew, and Henry Albulescu).

CHAPTER 34: Independent Pricing of Synthetic CDOs (Farooq Jaffrey and David Jefferds).

PART SIX: Credit-Linked Notes and Repacks.

CHAPTER 35: Credit-Linked Notes (Moorad Choudhry and Frank J. Fabozzi).

CHAPTER 36: Structured Credit Products and Repackaged Securities (Alessandro Cocco).