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Informationen zum Autor SULEMAN BAIG works with the credit structuring team at Deutsche Bank AG in London. He has extensive experience dealing with first-time issuers and has structured a number of securitization transactions (both agency and principal) in a variety of asset classes and jurisdictions. Suleman graduated with a degree in mathematics from the London School of Economics. MOORAD CHOUDHRY is Treasurer, Corporate Banking Division at the Royal Bank of Scotland, and visiting professor in the Department of Mathematical Sciences, Brunel University. He is on the editorial board of the Journal of Structured Finance and a member of the editorial advisory board of American Securitization . Klappentext THE MECHANICS OF SECURITIZATION Securitization is a well-established practice in the global debt capital markets. And while the market in structured finance securities was hit hard by the 2007-2008 financial crisis-when investors shunned asset-backed securities-interest in securitization has resumed as the global economy recovers. The Mechanics of Securitization is an accessible and practitioner-oriented look into what is required to successfully structure and close asset-backed security transactions in today's complex financial markets. The text is aimed at practitioners in structured finance who are involved with originating, structuring, or arranging securitization transactions. It addresses the necessary tasks for commercial banks that are interested in closing a securitization of assets off their own balance sheet or a third-party balance sheet-whether these assets are corporate loans, mortgages, credit card loans, or other more esoteric "future flow" cash receivables. The text is aimed at providing a step-by-step guide to the process undertaken to arrange, structure, and close a securitization deal, and includes insights on the rating agency and legal review requirements. The template used applies to cash transactions in asset-backed securities, mortgage-backed securities, and corporate loan deals. Details of a cash flow waterfall model are also discussed. Using an actual securitization transaction as its background, the book also features a series of checklists and pro forma documents to illustrate the process of structuring a typical loan ABS or CLO transaction. Zusammenfassung A step-by-step guide to implementing and closing securitization transactionsSecuritization is still in wide use despite the reduction in transactions. The reality is that investors and institutions continue to use this vehicle for raising funds and the demand for their use will continue to rise as the world's capital needs increase.The Mechanics of Securitization specifically analyzes and describes the process by which a bank successfully implements and closes a securitization transaction in the post subprime era. This book begins with an introduction to asset-backed securities and takes you through the historical impact of these transactions including the implications of the recent credit crisis and how the market has changed.* Discusses, in great detail, rating agency reviews, liaising with third parties, marketing the deals, and securing investors* Reviews due diligence and cash flow analysis techniques* Examines credit and cash considerations as well as how to list and close deals* Describes the process by which a bank will structure and implement the deal, and how the process is project managed and tested across internal bank departmentsWhile securitization transactions have been taking place for over twenty-five years, there is still a lack of information on exactly how they are processed successfully. This book will put you in a better position to understand how it all happens, and show you how to effectively implement an ABS transaction yourself. Inhaltsverzeichnis Foreword xi Preface xv Part One Int...
List of contents
Foreword xi
Preface xv
PART ONE Introduction to Securitization 1
CHAPTER 1 Introduction to Securitization and Asset-Backed Securities 3
The Concept of Securitization 4
The Process of Securitization 7
Securitizing Mortgages 14
ABS Structures: A Primer on Performance Metrics and Test Measures 18
Securitization: Features of the 2007-2008 Financial Crisis 24
Summary and Conclusions 33
References 34
CHAPTER 2 The Securitization Market Post-2007 35
Market Observation 35
Impact on Rating Agencies 40
Summary and Conclusions 42
PART TWO Guide to Closing a Securitization Transaction 45
CHAPTER 3 Structuring and Execution of a Transaction 47
A Securitization Process 47
Summary and Conclusions 69
CHAPTER 4 The Rating Agency Process and Legal Review 71
Select Rating Agencies 71
Undertaking Legal Due Diligence 73
Begin Drafting Documents 78
Set Up the SPV 82
Modeling the Transaction 85
Determine Capital Structure/Trigger Levels 90
Prepare Marketing Materials 96
Pricing, Close, and Settlement 98
Summary and Conclusions 99
CHAPTER 5 Static Synthetic CDO Cash Flow Waterfall Model 101
Summary and Conclusions 107
PART THREE Transaction Closing Templates and Checklists 111
CHAPTER 6 Transaction Templates and Checklists 113
Red Sea Master Series Limited Structure Diagram 113
Underlying Asset Pool 113
Draft Term Sheet 120
Closing Process 126
Structuring Notes 127
Rating Agency Preparation and Questionnaire 129
Loan-Level Data: Rating Agency Checklist 138
Agenda for Rating Agency Site Visit 140
Legal Counsel Review 140
Form of Transfer Certificate 144
Investor and Rating Agency Presentation Template 147
In-House Credit Rating Mapping Chart: Lower and Upper Values 149
Rating Agency Presentation: Corporate Bank Origination Processes 149
Loan Transfer Schedule of Tasks 154
Loan Transfers, Accounting Movements 158
Sign-Off Document: Securitization Project 160
Securitization Testing: Finance Department 161
Accounting Process on Closing 166
EUR Junior Tranche Trade Ticket 167
Senior Tranche Trade Ticket 168
Internal Transfer Booking Process 169
Questions from Trustee, Paying Agent, and Services Provider 169
Summary and Conclusions 172
About the Authors 173
Index 175
