Global Securitisation and CDOs

About the Author.

1 Introduction.

1.1 Forms of securitisation.

1.2 Rationale for securitisation.

1.3 Global ABS markets.

2 Rating and Credit Structure.

2.1 Rating agencies.

2.2 Credit enhancement and liquidity.

2.3 Hedging and prepayment risk.

3 Deal Structure.

3.1 Ring-fencing and true sale.

3.2 SPVs and trusts.

3.3 Offshore centers.

3.4 Commonly used offshore jurisdictions.

3.5 Bonds and CP funding.

3.6 Securities laws.

3.7 US securities laws.

3.8 UK securities laws.

3.9 EU securities laws.

3.10 Tax treatment.

3.11 Accounting treatment.

3.12 Capital treatment.

3.13 Data and consumer regulation.

3.14 Regulatory approvals.

3.15 Administration and systems.

4 Investor Concerns.

4.1 Investor credit analysis.

4.2 Eligibility criteria.

4.3 Cash flow waterfall.

4.4 Bond pricing and valuation.

4.5 Performance and reporting.

5 Asset Classes.

5.1 ABS: Commercial and EETCs.

5.2 ABS: Consumer and credit cards.

5.3 Collateralised debt obligations.

5.4 Commercial mortgage-backed securities.

5.5 Covered bonds and Pfandbriefe.

5.6 Future flows.

5.7 Non-performing loans.

5.8 Real estate investment trusts.

5.9 Repackagings.

5.10 Residential mortgage-backed securities.

5.11 Trade receivables.

5.12 Whole business securitisation.

6 Opportunities and Challenges.

6.1 Introduction.

6.2 Significance of accounting and capital off-balance-sheet reform.

6.3 New Basel Accord.

7 Synthetics and Credit Derivatives.

7.1 Synthetic securitisation: Credit derivatives.

7.2 Super-senior pieces.

7.3 Pros and cons of synthetic securitisations for investors.

7.4 Terminology and types of credit derivative.

7.5 Use and pricing for credit derivatives.

7.6 Structure and concerns.

7.7 Regulatory capital advantages of synthetics.

7.8 International capital treatment for credit derivatives.

8 Whole Business Securitisation.

8.1 Benefits and requirements of whole business deals.

8.2 Structures.

8.3 Corporate valuation.

8.4 Rating analysis.

8.5 Feasibility in different countries.

8.6 Threats to whole business technology.

9 The European Union.

9.1 Ring-fencing and true sale.

9.2 Securities laws.

9.3 Tax treatment.

9.4 Accounting treatment.

9.5 Capital treatment.

9.6 Data protection/confidentiality.

9.7 Consumer protection.

9.8 Other issues.

10 Accounting for Securitisation.

10.1 US accounting standards.

10.2 UK accounting standards.

10.3 International Accounting Standards.

10.4 The influence of the European Union.

11 Capital.

11.1 Banking book.

11.2 Trading book.

11.3 New Basel Accord.

11.4 Basel capital arbitrage.

11.5 Off-balance-sheet treatment under Basel.

11.6 Basel capital treatment and new Basel proposals.

11.7 Capital for banking book exposures.

11.8 Capital for trading book exposures.

12 Global Securitisation Markets.

12.1 Argentina.

12.2 Australia.

12.3 Austria.

12.4 Belgium.

12.5 Bolivia.

12.6 Brazil.

12.7 Canada.

12.8 Chile.

12.9 China.

12.10 Colombia.

12.11 Czech Republic.

12.12 Denmark.

12.13 Egypt.

12.14 Finland.

12.15 France.

12.16 Germany.

12.17 Greece.

12.18 Hong Kong SAR.

12.19 Hungary.

12.20 India.

12.21 Indonesia.

12.22 Ireland.

12.23 Israel.

12.24 Italy.

12.25 Japan.

12.26 Korea.

12.27 Luxembourg.

12.28 Malaysia.

12.29 Mexico.

12.30 The Netherlands.

12.31 New Zealand.

12.32 Norway.

12.33 Pakistan.

12.34 Panama.

12.35 Paraguay.

12.36 Peru.

12.37 The Philippines.

12.38 Poland.

12.39 Portugal.

12.40 Russia.

12.41 Scotland.

12.42 Singapore.

12.43 South Africa.

12.44 Spain.

12.45 Sweden.

12.46 Switzerland.

12.47 Taiwan.

12.48 Thailand.

12.49 Turkey.

12.50 United Kingdom.

12.51 United States.

12.52 Venezuela.

13 Terminology in the Securitisation and Derivatives Markets.

References.

Index.