Securitization: Structuring and Investment Analysis

PART ONE Introduction to Securitization

CHAPTER 1 The Role of Securitization 3

CHAPTER 2 Fundamentals of Structuring 15

CHAPTER 3 Fundamentals of Investment Analysis 29

CHAPTER 4 Historical Performance of Asset-Backed Securities and Mortgage-Backed Securities 41

PART TWO Agency Mortgage-Backed Securities

CHAPTER 5 Mortgage Loans: The Basis of Mortgage-Backed Securities 51

CHAPTER 6 Agency Pass-Throughs 75

CHAPTER 7 Fundamentals of the Interest-Rate Market 89

CHAPTER 8 Static Analysis for Mortgage Pass-Through Securities 109

CHAPTER 9 Mortgage-Backed Securities Prepayments 131

CHAPTER 10 Total-Return Scenario Analysis 155

PART THREE Advanced Mortgage-Backed Securities and Analysis

CHAPTER 11 Structuring CMOs, IOs, and POs 185

CHAPTER 12 Interest-Rate Volatility, Options, and Models 215

CHAPTER 13 Option-Adjusted Spread 249

CHAPTER 14 Comparing Investment Alternatives 275

PART FOUR Non-Agency Mortgage-Backed Securities and Analyzing Credit Risk

CHAPTER 15 Non-Agency Mortgage-Backed Securities 287

CHAPTER 16 Collateral Performance 303

CHAPTER 17 Home Equity and Subprime Loans 325

CHAPTER 18 Analysis of Credit-Sensitive Mortgage-Backed Securities 337

PART FIVE Asset-Backed Securities

CHAPTER 19 Auto-Loan Asset-Backed Securities 355

CHAPTER 20 Credit-Card Asset-Backed Securities 367

CHAPTER 21 Manufactured-Housing Asset-Backed Securities 379

PART SIX Commercial Mortgages

CHAPTER 22 Commercial Loans 391

CHAPTER 23 Commercial Mortgage-Backed Securities 409

CHAPTER 24 The Role of Real Estate Investment Trusts (REITs) 429

PART SEVEN The European Securitization Market

CHAPTER 25 Development of a Market 447

CHAPTER 26 European Residential Mortgages 465

CHAPTER 27 European Securitization Legislation 489

CHAPTER 28 Structuring Asset-Backed Securities in Europe 503

Bibliography 527

Additional Resources 531

About the CD-ROM 533

Index 537