The Securitization Markets Handbook

A comprehensive guide to the continuously evolving world of securitization The Second Edition of The Securitization Markets Handbook is a valuable resource for both experienced money managers trying to put a securitization strategy into place as well as newcomers looking to acquire a broad and strong foundation in this discipline. This edition takes a close look at the pre- and post-crash mortgage market and the mortgage-backed securities based on those mortgages, as well as other asset-backed securities including commercial paper or credit cards. The crash of the subprime market and the failure of the asset-backed markets offer an opportunity to learn about banking finance, specifically off-balance sheet finance, and the many costly mistakes that resulted in one of the most severe downturns in financial markets. With this book, you'll discover why certain mortgage and asset-backed securities imploded and others didn't. This new edition examines why the market failed and how the next crisis can be averted or made less severe. It also explains why securitization remains a primary source of capital for the mortgage market, credit card market, home equity market, auto loan market, and segments of the commercial paper market. Offers an informed overview of how the securitization market works, how to make money in it, and what's next for asset- and mortgage-backed securities after the crisis Contains new chapters on CDOs and SIVs, along with a history of the growth and crash of the subprime market, asset-backed securities, and home equity lines of credit Written by securitization experts Charles Stone and Anne Zissu Updated to reflect the current market environment, the Second Edition of The Securitization Markets Handbook offers clear, comprehensive guidance to these complex markets.

A comprehensive guide to the continuously evolving world ofsecuritizationThe Second Edition of The Securitization MarketsHandbook is a valuable resource for both experienced moneymanagers trying to put a securitization strategy into place as wellas newcomers looking to acquire a broad and strong foundation inthis discipline. This edition takes a close look at the pre- andpost-crash mortgage market and the mortgage-backed securities basedon those mortgages, as well as other asset-backed securitiesincluding commercial paper or credit cards.The crash of the subprime market and the failure of theasset-backed markets offer an opportunity to learn about bankingfinance, specifically off-balance sheet finance, and the manycostly mistakes that resulted in one of the most severe downturnsin financial markets. With this book, you'll discover why certainmortgage and asset-backed securities imploded and others didn't.This new edition examines why the market failed and how the nextcrisis can be averted or made less severe. It also explains whysecuritization remains a primary source of capital for the mortgagemarket, credit card market, home equity market, auto loan marketand segments of the commercial paper market.* Offers an informed overview of how the securitization marketworks, how to make money in it, and what's next for asset- andmortgage-backed securities after the crisis* Contains new chapters on CDOs and SIVs, along with a history ofthe growth and crash of the subprime market, asset-backedsecurities, and home equity lines of credit* Written by securitization experts Charles Stone and AnneZissuUpdated to reflect the current market environment, the SecondEdition of The Securitization Markets Handbook offersclear, comprehensive guidance to these complex markets.

Acknowledgments ixIntroduction xiPart One Key Structures and Cash Flow DynamicsChapter 1 Mortgage-Backed Securities: Origins of the Market 3Chapter 2 Price Dynamics of Mortgages and Cash Flows 79Chapter 3 Valuation of Mortgage-Backed Securities 97Chapter 4 Other Structures in Asset-Backed Securities: CMOs, PACs, Floaters, Inverse Floaters, CDOs and CDOs-squared, and Synthetic CDOs 131Part Two Corporate Debt and the Securitization MarketsChapter 5 How Ford Motor Credit Corporation Has Used Securitization 163Chapter 6 Asset-Backed Commercial Paper 219Part Three Securitization of Revolving CreditChapter 7 Dealer Floor Plan Loans 263Chapter 8 Credit Card Receivables 283Part Four Searching for Value in the Mortgage- and Asset-Backed MarketsChapter 9 Investment, Speculation, and Hedging 327Chapter 10 Credit Risk and Credit Enhancement 385Chapter 11 Dissecting the Risks of a Pool of Securitized Options ARMs 397About the Authors 429Index 431