Securitization Structuring and Investment Analysis

by Davidson, Andrew; Sanders, Anthony; Wolff, Lan-Ling; Ching, Anne

• ISBN13: 9780471022602
• ISBN10: 0471022608
• Edition: 1st
• Format: Hardcover
• Copyright: 2003-09-08
• Publisher: Wiley

Summary

"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!" -Bennett W. Golub Managing Director, BlackRock, Inc."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." -Joseph Hu, PhD Managing Director, Structured Finance Ratings Standard & Poor's"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." -Richard T. Pratt Chairman, Richard T. Pratt Associates Former Chairman, Merrill Lynch Mortgage Corporation"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." -Joseph L. Pagliari, Jr. Kellogg School of Management Northwestern University

Author Biography

ANDREW DAVIDSON, one of the most well-respected names in mortgage-backed securities and securitization, is President and founder of Andrew Davidson &amp; Co., Inc., a New York&#151;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. <BR>

Table of Contents

PART I: INTRODUCTION TO SECURITIZATION.

The Role of Securitization.

Fundamentals of Structuring.

Fundamentals of Investment Analysis.

Historical Performance of Asset-Backed Securities and Mortgage-Backed Securities.

PART II: AGENCY MORTGAGE BACKED SECURITIES.

Mortgage Loans.

Agency Passthroughs.

Fundamentals of the Interest Rate Market.

Static Analysis for Mortgage Passthrough Securities.

MBS Prepayments.

Total Return Scenario Analysis.

PART III: ADVANCED MBS AND ANALYSIS.

Structuring CMOs, IOs, and POs.

Interest-Rate Volatility, Options and Models.

Option-Adjusted Spread.

Comparing Investment Alternatives.

PART IV: NON-AGENCY MBS AND ANALYZING CREDIT RISK.

Non-Agency Mortgage Backed Securities.

Collateral Performance.

Home Equity and Sub-Prime Loans.

Analysis of Credit ensitive MBS.

PART V: ASSET-BACKED SECURITIES.

Auto Loan ABS.

Credit Card ABS.

Manufactured Housing ABS.

PART VI: COMMERCIAL MORTGAGE.

Commercial Loans.

Commercial Mortgage Backed Securities.

The Role of Real Estate Investment Trusts (REITs).

PART VII: EUROPEAN SECURITIZATION MARKET.

Development of a Market.

European Residential Mortgages.

European Securitization Legislation.

Structuring ABS in Europe.

Bibliography.

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