Asset Securitization: Theory and Practice

Introduction.

Part One Basics of Asset Securitization.

Chapter 1 Asset Securitization: Concept and Market Development.

Basic Concept of Asset Securitization.

Development of the Asset Securitization Market in the United States.

Chapter 2 Originators and Investors of the Asset Securitization Market.

Efficient Financing for Originators with Asset Securitization.

Satisfying Varying Investor Demands with Asset Securitization.

Chapter 3 Intermediary Participants of the Asset Securitization Market.

Attorneys.

Accountants.

Guarantors and Credit Enhancers.

Credit Rating Agencies.

Investment Bankers.

Chapter 4 Necessary Ingredients and Benefits of Asset Securitization.

The Nine Necessary Ingredients.

Benefits of Asset Securitization.

Part Two Residential Mortgages and Securitization of Residential Mortgages.

Chapter 5 Residential Mortgages.

Description of a Residential Mortgages.

Characteristics of a Fixed-Rate Mortgage.

Alternative Mortgages.

Chapter 6 Residential Mortgage Market.

The Origination of a Residential Mortgages.

Mortgage Originators.

Mortgage Servicers.

Mortgage Insurers.

The Development of the Residential Mortgage Market.

Chapter 7 Residential Mortgage Pass-Through Securities.

Mortgage Pass-Throughs.

Concept and Terminology.

Trading and Relative Value of Pass-Throughs.

Chapter 8 Multiclass Mortgage Pass-Throughs.

Prepayment of Mortgage Pass-Throughs.

The Need for Multiclass Securities.

Collateralized Mortgage Obligations.

Real Estate Mortgage Investment Conduits.

Variety of REMIC Classes.

The Rise, Collapse, and Recovery of REMICS.

Trading and Relative Value.

Chapter 9 Private-Label Mortgage Pass-Throughs.

The Growth of the Private Label Pass-Throughs Market.

A Typical Transaction.

Credit Rating Criteria.

Performance of Credit Ratings.

Prepayment Pattern.

Trading and Relative Value.

Chapter 10 Subprime Mortgage-Backed Securities.

Evolution of the Subprime Mortgage Market.

Features of Home Equity Loans.

Varying Characteristics of Pools of Subprime Mortgages.

Examples of Transactions.

Unique Prepayment Pattern.

Performance of Credit Ratings.

Trading and Relative Value.

Part Three Securitizatin of Commercial Mortgages and Consumer Loans.

Chapter 11 Commercial Mortgage-Backed Securities.

The Growth of the CMBS Market.

The Origination of a Commercial Mortgage.

Defaults and Losses of Commercial Mortgages.

A Typical Transaction.

Performance of Credit Ratings.

Trading and Relative Value.

Chapter 12 Asset-Backed Securities.

The Growth of the ABS Market.

Credit Card ABS.

Auto Loan ABS.

Performance of Credit Ratings.

Trading and Relative Value.

Chapter 13 Collateralized Debt Obligations.

Basic Concept and Market Development of CDOs.

CDOs Are Not Mutual Funds.

Different Structural Types of CDOs.

Incentives for Investing in CDOs.

Structuring and Credit Ratings CDOs.

A Simulation Model to Structure CDOs.

Trading and Relative Value.

Part Four The Current Asset Securitization Market in the United States and Asia-Pacific.

Chapter 14 The Collapse and Recovery Prospects of the Asset Securitization Market.

How the Market Collapsed.

Prospects for Recovery.

Chapter 15 Asset Securitization in Asia-Pacific.

Asset Securitization in Japan.

Asset Securitization in Australia.

Different Patterns of Asset Securitization in Japan and Australia.

Asset Securitization in Taiwan.

Asset Securitization in China.

Appendix A Analysis of Prepayment and Prepayment Rate.

Appendix B Housing Price Appreciation and Mortgage Credit Performance.

Appendix C Fundamental Element in Credit Ratings.

Appendix D The Collapse of the Asset Securitization Market.

Index.