{"product_id":"securitization-isbn-9780471022602","title":"Securitization","description":"A complete guide to securitization.\u003cbr\u003e * Analyzes leases, tax liens, and other new securitization markets developing globally.\u003cbr\u003e * Contains exercises and examples taken from real transactions.\u003cbr\u003e * Companion CD-ROM includes calculation tools and examples, data for models, ongoing updates on models, and Q\u0026amp;A with authors to address complex securitization questions. \u003cp\u003e\u003cb\u003ePart One Introduction to Securitization\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 The Role of Securitization 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSummary of Major Asset Classes 4\u003c\/p\u003e \u003cp\u003eKey Concepts 7\u003c\/p\u003e \u003cp\u003eKey Players in Securitization 9\u003c\/p\u003e \u003cp\u003eKey Investment Characteristics of Securities (Bonds) 11\u003c\/p\u003e \u003cp\u003eExercises 12\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Fundamentals of Structuring 15\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIssuer’s Motivations: Legal, Accounting, and Tax Considerations 15\u003c\/p\u003e \u003cp\u003eIssues in Balance-Sheet Analysis 18\u003c\/p\u003e \u003cp\u003eThe Structuring Process 20\u003c\/p\u003e \u003cp\u003eIssuing Vehicles 20\u003c\/p\u003e \u003cp\u003eExercises 27\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Fundamentals of Investment Analysis 29\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTypes of Investors 32\u003c\/p\u003e \u003cp\u003eAnalyzing Securities 35\u003c\/p\u003e \u003cp\u003eExercises 40\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Historical Performance of Asset-Backed Securities and Mortgage-Backed Securities 41\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eComparing Returns on Alternative Asset-Backed Securities and Mortgage-Backed Securities Investments 41\u003c\/p\u003e \u003cp\u003eA Case Study of Market Turbulence 43\u003c\/p\u003e \u003cp\u003ePerformance of Mortgage-Backed Securities and Asset-Backed Securities 45\u003c\/p\u003e \u003cp\u003eExercises 47\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Two Agency Mortgage-Backed Securities\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Mortgage Loans: The Basis of Mortgage-Backed Securities 51\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhat Is a Mortgage? 51\u003c\/p\u003e \u003cp\u003eHow Large Is the Mortgage Market? 53\u003c\/p\u003e \u003cp\u003eTypes of Mortgages 54\u003c\/p\u003e \u003cp\u003eAdjustable-Rate Mortgages 62\u003c\/p\u003e \u003cp\u003eGraduated-Payment Mortgages 65\u003c\/p\u003e \u003cp\u003eShared-Appreciation Mortgages 66\u003c\/p\u003e \u003cp\u003eReverse-Annuity Mortgage 67\u003c\/p\u003e \u003cp\u003eMortgage Default and Legal Issues Concerning Mortgages 68\u003c\/p\u003e \u003cp\u003eThe Federal National Mortgage Association\/Federal Home Loan Mortgage Corporation Uniform Loan Contract 73\u003c\/p\u003e \u003cp\u003eExercises 74\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Agency Pass-Throughs 75\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Role of Government Agencies and Government-Sponsored Enterprises 75\u003c\/p\u003e \u003cp\u003eBrief History of the Agency Market 76\u003c\/p\u003e \u003cp\u003eKey Terms for Agency Pass-Throughs 80\u003c\/p\u003e \u003cp\u003eMechanics of the Pool Programs 82\u003c\/p\u003e \u003cp\u003eAgency Programs 82\u003c\/p\u003e \u003cp\u003eTrading of Agency Mortgage-Backed Securities 84\u003c\/p\u003e \u003cp\u003eExercises 87\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Fundamentals of the Interest-Rate Market 89\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBond Prices and Interest Rates 89\u003c\/p\u003e \u003cp\u003eForward Rates and Risk Neutrality 98\u003c\/p\u003e \u003cp\u003eCompleting the Curve 104\u003c\/p\u003e \u003cp\u003eExercises 107\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Static Analysis for Mortgage Pass-Through Securities 109\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMethodology 109\u003c\/p\u003e \u003cp\u003eCollateral 110\u003c\/p\u003e \u003cp\u003eStructure 114\u003c\/p\u003e \u003cp\u003eResults 120\u003c\/p\u003e \u003cp\u003eExercises 127\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Mortgage-Backed Securities Prepayments 131\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSources of Prepayments 132\u003c\/p\u003e \u003cp\u003ePrepayment Data 133\u003c\/p\u003e \u003cp\u003eAnalyzing Prepayments 136\u003c\/p\u003e \u003cp\u003ePrepayment Models 144\u003c\/p\u003e \u003cp\u003eExercises 152\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Total-Return Scenario Analysis 155\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMethodology 156\u003c\/p\u003e \u003cp\u003eCollateral 164\u003c\/p\u003e \u003cp\u003eStructure 166\u003c\/p\u003e \u003cp\u003eResults 169\u003c\/p\u003e \u003cp\u003eExercises 178\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Three Advanced Mortgage-Backed Securities and Analysis\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Structuring CMOs, IOs, and POs 185\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCollateralized-Mortgage Obligations as Rules 187\u003c\/p\u003e \u003cp\u003ePrincipal-Pay Types 196\u003c\/p\u003e \u003cp\u003eInterest-Pay Types 196\u003c\/p\u003e \u003cp\u003eSequential Bonds 196\u003c\/p\u003e \u003cp\u003ePro Rata Bonds 198\u003c\/p\u003e \u003cp\u003eScheduled Bonds 200\u003c\/p\u003e \u003cp\u003eSequential PACs and Other Combinations 205\u003c\/p\u003e \u003cp\u003eInterest Only and Principal Only 206\u003c\/p\u003e \u003cp\u003eSenior\/Subordinated Structures 208\u003c\/p\u003e \u003cp\u003eExercises 209\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Interest-Rate Volatility, Options, and Models 215\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Concept and Measures of Volatility 215\u003c\/p\u003e \u003cp\u003eValuation in Stochastic Arbitrage-Free World 224\u003c\/p\u003e \u003cp\u003eValuation of Options and Embedded-Option Bonds 228\u003c\/p\u003e \u003cp\u003eTerm-Structure Models 241\u003c\/p\u003e \u003cp\u003eExercises 247\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Option-Adjusted Spread 249\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMethodology 249\u003c\/p\u003e \u003cp\u003eCollateral 261\u003c\/p\u003e \u003cp\u003eStructure 263\u003c\/p\u003e \u003cp\u003eResults 264\u003c\/p\u003e \u003cp\u003eExercises 268\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Comparing Investment Alternatives 275\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMortgage-Backed Securities 275\u003c\/p\u003e \u003cp\u003eInterest Only and Principal Only Securities 277\u003c\/p\u003e \u003cp\u003eCollateralized-Mortgage Obligations 279\u003c\/p\u003e \u003cp\u003eExercises 283\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Four Non-Agency Mortgage-Backed Securities and Analyzing Credit Risk\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15 Non-Agency Mortgage-Backed Securities 287\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHistorical Overview of the Non-Agency\/Private-Label Market 287\u003c\/p\u003e \u003cp\u003ePrivate-Label Mortgage-Backed Securities Collateral Types 288\u003c\/p\u003e \u003cp\u003eCredit Enhancement 289\u003c\/p\u003e \u003cp\u003eExercises 301\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 16 Collateral Performance 303\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCollateral Cash Flows 303\u003c\/p\u003e \u003cp\u003eModeling Collateral Cash Flows 303\u003c\/p\u003e \u003cp\u003eExercises 323\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 17 Home Equity and Subprime Loans 325\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHome Equity Loan Asset-Backed Securities Issuance 325\u003c\/p\u003e \u003cp\u003eEnvironment 330\u003c\/p\u003e \u003cp\u003ePrepayment 330\u003c\/p\u003e \u003cp\u003eHome Equity Loan Asset-Backed Securities 331\u003c\/p\u003e \u003cp\u003eExercises 335\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 18 Analysis of Credit-Sensitive Mortgage-Backed Securities 337\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMethodology 338\u003c\/p\u003e \u003cp\u003eCollateral 339\u003c\/p\u003e \u003cp\u003eStructure 342\u003c\/p\u003e \u003cp\u003eResults 346\u003c\/p\u003e \u003cp\u003eExercises 352\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Five Asset-Backed Securities\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 19 Auto-Loan Asset-Backed Securities 355\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAuto Asset-Backed Securities Issuance 355\u003c\/p\u003e \u003cp\u003eCollateral and Loan Characteristics 355\u003c\/p\u003e \u003cp\u003eEnvironment 357\u003c\/p\u003e \u003cp\u003eValuation 364\u003c\/p\u003e \u003cp\u003eExercises 365\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 20 Credit-Card Asset-Backed Securities 367\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCredit-Card Asset-Backed Securities Issuance 367\u003c\/p\u003e \u003cp\u003eCredit-Card Asset-Backed Securities Structures 369\u003c\/p\u003e \u003cp\u003eRating Agency Criteria 373\u003c\/p\u003e \u003cp\u003eExercises 377\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 21 Manufactured-Housing Asset-Backed Securities 379\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eManufactured-Housing Asset-Backed Securities Issuance 379\u003c\/p\u003e \u003cp\u003eCollateral and Loan Features 382\u003c\/p\u003e \u003cp\u003eManufactured-Housing Asset-Backed Securities Structures 383\u003c\/p\u003e \u003cp\u003ePrepayments 384\u003c\/p\u003e \u003cp\u003eRating Agency Criteria 386\u003c\/p\u003e \u003cp\u003eRecent Performance in Context 388\u003c\/p\u003e \u003cp\u003eExercises 388\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Six Commercial Mortgages\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 22 Commercial Loans 391\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTypes of Income-Producing Properties 391\u003c\/p\u003e \u003cp\u003eGeneral Risk Evaluation 392\u003c\/p\u003e \u003cp\u003eLeases 397\u003c\/p\u003e \u003cp\u003eValuing Income-Producing Properties 398\u003c\/p\u003e \u003cp\u003eImpact of Financial Leverage 400\u003c\/p\u003e \u003cp\u003eExercises 408\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 23 Commercial Mortgage-Backed Securities 409\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCommercial Mortgage-Backed Securities: An Overview 409\u003c\/p\u003e \u003cp\u003eThe Underlying Loan Portfolio 417\u003c\/p\u003e \u003cp\u003eRole of the Servicer 424\u003c\/p\u003e \u003cp\u003eCreating a Commercial Mortgage-Backed Securities Model 425\u003c\/p\u003e \u003cp\u003eThe Future of Commercial Mortgage-Backed Securities 425\u003c\/p\u003e \u003cp\u003eExercises 426\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 24 The Role of Real Estate Investment Trusts (REITs) 429\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBackground 429\u003c\/p\u003e \u003cp\u003eQualifying as a Real Estate Investment Trust 430\u003c\/p\u003e \u003cp\u003eTax Ramifications for Real Estate Investment Trusts 430\u003c\/p\u003e \u003cp\u003eTypes of Real Estate Investment Trusts 430\u003c\/p\u003e \u003cp\u003eReal Estate Investment Trust Structures 431\u003c\/p\u003e \u003cp\u003eProperty Types 432\u003c\/p\u003e \u003cp\u003eA Bit of History 434\u003c\/p\u003e \u003cp\u003eReal Estate Investment Trust Initial Public Offerings 436\u003c\/p\u003e \u003cp\u003eInternational Real Estate Return Performance 437\u003c\/p\u003e \u003cp\u003eReal Estate Investment Trust Valuation 438\u003c\/p\u003e \u003cp\u003eOther Factors Influencing Real Estate Investment Trust Valuation and Performance 442\u003c\/p\u003e \u003cp\u003eExercises 443\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Seven The European Securitization Market\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 25 Development of a Market 447\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSize of Market 449\u003c\/p\u003e \u003cp\u003eType of Assets 453\u003c\/p\u003e \u003cp\u003eSecuritization Outside Europe and the United States 460\u003c\/p\u003e \u003cp\u003eExercises 464\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 26 European Residential Mortgages 465\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eProperty Value Loss and Default Risk 469\u003c\/p\u003e \u003cp\u003eLegal and Tax Issues for Residential Mortgages 471\u003c\/p\u003e \u003cp\u003eMortgage Collateral Characteristics 476\u003c\/p\u003e \u003cp\u003ePrincipal Payment Rules 478\u003c\/p\u003e \u003cp\u003eInterest Payment Rules 482\u003c\/p\u003e \u003cp\u003ePrepayments and Other Risks 484\u003c\/p\u003e \u003cp\u003eExercises 487\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 27 European Securitization Legislation 489\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eType of Law 489\u003c\/p\u003e \u003cp\u003eSecuring the Asset 491\u003c\/p\u003e \u003cp\u003eExercises 502\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 28 Structuring Asset-Backed Securities in Europe 503\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe European Approach 503\u003c\/p\u003e \u003cp\u003eAssessing the Collateral 504\u003c\/p\u003e \u003cp\u003eIssues in Bond Structuring 514\u003c\/p\u003e \u003cp\u003eLegal Process and Counterparties 520\u003c\/p\u003e \u003cp\u003eTiming and Costs 524\u003c\/p\u003e \u003cp\u003eExercises 525\u003c\/p\u003e \u003cp\u003eBibliography 527\u003c\/p\u003e \u003cp\u003eAdditional Resources 531\u003c\/p\u003e \u003cp\u003eAbout the CD-ROM 533\u003c\/p\u003e \u003cp\u003eIndex 537\u003c\/p\u003e \u003cb\u003eANDREW DAVIDSON\u003c\/b\u003e, one of the most well-respected names in mortgage-backed securities and securitization, is President and founder of Andrew Davidson \u0026amp; Co., Inc., a New York—based consulting firm specializing in the application of analytical tools to investment management. The company provides consulting advice to many of the major firms in the securitization business. It is also a leading provider of prepayment and valuation models for MBS and ABS. Prior to forming the company in 1992, Davidson was a managing director at Merrill Lynch responsible for MBS, CMO, ABS, and Futures and Options Research. \u003cp\u003e\u003cb\u003eANTHONY SANDERS\u003c\/b\u003e is the Galbreath Distinguished Scholar and Professor of Finance at The Ohio State University. During 1997 and 1998, he was director and head of asset-backed and mortgage-backed securities research at Deutsche Bank. He has published numerous articles in journals such as the Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Business, and Journal of Fixed Income.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eLAN-LING WOLFF\u003c\/b\u003e heads Fredell \u0026amp; Co. Structured Finance Ltd. in London, which specializes in providing structuring and arranging services for asset-backed securities all over Europe. Wolff’s background in the U.S. mortgage-backed securities market and understanding of the European capital markets places her on the cutting edge of securitization globally. She specializes in residential mortgages and mortgage banking.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eANNE CHING\u003c\/b\u003e, a senior consultant at Andrew Davidson \u0026amp; Co., Inc., has worked in the credit risk and investment analysis of sub-prime residential and manufactured housing sectors. She has also worked on the structuring of non-U.S. mortgage-backed securities.\u003c\/p\u003e \u003cp\u003eThe authors drew on the expertise of Andrew Davidson \u0026amp; Co., Inc., in preparing Securitization. The broad range of expertise of the firm’s consultants, and the technical and analytical skills of the firm’s analysts, provide a rich background that gives Securitization strong theoretical underpinnings, as well as a grounding in practical application of the theory and methods described in the book. Two associates from outside the firm, with additional specialized expertise, were enlisted as well.\u003c\/p\u003e Securitization has revolutionized the business of lending. By packaging financial promises and transforming them so that they can be freely transferred among a multitude of investors, securitization has broadened the opportunities for individuals and institutions to borrow and manage risk-in the process, creating new classes of instruments for investors.\u003cbr\u003e \u003cbr\u003e Here is the first work to bring together a full spectrum of information and ideas on securitization in one comprehensive presentation. Written by innovators and leaders in the field, Securitization describes how financial instruments can be securitized, structured, analyzed, and valued. Whether you're an issuer or an investor, a market participant or a student, Securitization will help you more fully understand this market and its instruments.\u003cbr\u003e \u003cbr\u003e Securitization functions as both a reference and a textbook, providing insight into not just how securitization operates, but also why. It provides a broad overview of securitization, in-depth discussions of particular products, and hands-on learning of key concepts with exercises at the end of each chapter. A companion CD-ROM, which includes calculation tools and data for models, enhances the learning experience. With Securitization, you will better understand choices available to you as an issuer or an investor, and be able to make better decisions every day.\u003cbr\u003e \u003cbr\u003e Organized into comprehensive sections built on common principles-but written to be self-contained so that they can be read separately-this valuable resource skillfully explores the securitization market in the United States and Europe. The authors establish a framework for evaluating the securitization process and provide an excellent discussion of basic fixed-income mathematics from yield curves to complex valuation methods. Individual sections of the book are devoted to major securitization markets, including:\u003cbr\u003e * Agency Mortgage-Backed Securities (MBS)-the largest securitization market\u003cbr\u003e * Advanced MBS and analysis-CMO, option-adjusted spreads (OAS)\u003cbr\u003e * Non-agency MBS-including credit risk analysis\u003cbr\u003e * Asset-Backed Securities (ABS)-auto loans, credit card loans, and manufactured housing\u003cbr\u003e * Commercial mortgages and Commercial Mortgage-Backed Securities (CMBS)\u003cbr\u003e * The European securitization market-developments and outlook\u003cbr\u003e \u003cbr\u003e The authors' broad perspective provides an unparalleled view of the securitization market. Spanning the market from issuance to investment, from rating agency criteria to option-adjusted spreads, from residential loans to commercial loans, in the United States and around the world, Securitization provides you with the tools and expertise to successfully participate in the securitization market. \"This book fills a very important gap in the mindset of the bond structurer and the investor. Often, the two disciplines approach their tasks ignorant of the perspectives of the other side. But successful structuring requires providing the best value to investors in order to compete, and investors who don’t fully understand structuring will not remain investors for long. Highly recommended!\"\u003cbr\u003e—\u003cb\u003eBennett W. Golub\u003c\/b\u003e, Managing Director, BlackRock, Inc. \u003cp\u003e\"An excellent primer on asset securitization, clearly written in plain English and with straightforward mathematical expressions. This book is suitable for both business school students and structured finance market practitioners.\"\u003cbr\u003e—\u003cb\u003eJoseph Hu\u003c\/b\u003e, PhD, Managing Director, Structured Finance Ratings, Standard \u0026amp; Poor’s\u003c\/p\u003e \u003cp\u003e\"In their new work Securitization: Structuring and Investment Analysis, Andrew Davidson et al. reinforce their preeminence in the alchemy of mortgage securitization. Anyone involved in mortgages neglects Andy’s work at his peril.\"\u003cbr\u003e—\u003cb\u003eRichard T. Pratt\u003c\/b\u003e, Chairman, Richard T. Pratt Associates; Former Chairman, Merrill Lynch Mortgage Corporation\u003c\/p\u003e \u003cp\u003e\"This book provides an insightful and accessible exploration of securitized real estate markets. As such, it provides a valuable service to those active and interested in these burgeoning markets. The authors have done a wonderful job of gracefully integrating a vast and important subject matter. Accordingly, this book also makes for an excellent textbook for those universities offering one or more courses in this rapidly growing field.\"\u003cbr\u003e—\u003cb\u003eJoseph L. Pagliari, Jr.\u003c\/b\u003e, Kellogg School of Management, Northwestern University\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989998518501,"sku":"NP9780471022602","price":160.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780471022602.jpg?v=1761786160","url":"https:\/\/k12savings.com\/es\/products\/securitization-isbn-9780471022602","provider":"K12savings","version":"1.0","type":"link"}