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Securitization and Structured Finance Post Credit Crunch: A Best Practice Deal Lifecycle Guide

Book Description

Structured bonds are often viewed as complex and opaque, and participants in the securitization and structured finance markets have traditionally had a narrow focus on a specific part of the securitization value chain. However, in the post credit crunch environment, the market is more regulated, standardized, transparent, and better structured with closer-aligned and more balanced incentives for all participants, more focus on investors and improved comprehension of these bond instruments. In order for the market to succeed, it is vital that all participants take a broader view and understand every part of the transaction lifecycle.

In Securitization and Structured Finance Post Credit Crunch: A Best Practice Deal Lifecycle Guide, Markus Krebsz draws on his years of experience in the global finance markets to provide a jargon-free guide to the entire lifecycle of securitization and structured finance deals. The book:

  • Introduces much needed sound practice principles, based on lessons learnt post credit crisis

  • Takes the reader through a generic deal's typical lifecycle stages

  • Discusses each stage of the deal in detail, from 'Pre-Close' (strategic aims, feasibility studies, deal economic analysis and transaction documentation) through 'Close' (credit ratings, investor appetite/marketability, legal considerations) and 'Aftercare' (reporting, surveillance and performance analysis, and ordinary and extraordinary repayment)

  • Opens up the author's personal 'tool box' and provides the reader with a comprehensive selection of references, tables, a glossary and other useful resources. Electronic versions of these tools are available from the book's companion website at www.structuredfinanceguide.com

This unique, holistic and pragmatic insight into all deal life cycle stages makes Securitization and Structured Finance Post Credit Crunch an invaluable reference for all market participants in their efforts to get this important and – if used properly – hugely beneficial part of the capital markets back up and running.

Table of Contents

  1. The Chartered Institute for Securities & Investment
  2. Title Page
  3. Copyright
  4. Dedication
  5. Preface
  6. Acknowledgments
  7. Chapter 1: Introduction
    1. 1.1 SETTING THE SCENE: ABOUT THIS BOOK
    2. 1.2 DIAGRAMMATICAL OVERVIEW OF DEAL LIFECYCLE STAGES
    3. 1.3 ROLE-BASED ROADMAP TO THE BOOK
  8. Part I: The credit crisis and beyond
    1. Chapter 2: Looking back: What went wrong?
      1. 2.1 OVERVIEW
      2. 2.2 DATA, DISCLOSURE, AND STANDARDIZATION
      3. 2.3 PAPER REPORTS
      4. 2.4 ELECTRONIC REPORTS
      5. 2.5 DATA FEEDS
      6. 2.6 DEFINITIONS
      7. 2.7 REPORTING STANDARDS
      8. 2.8 UNDERWRITING STANDARDS
      9. 2.9 DUE DILIGENCE
      10. 2.10 DEAL MOTIVES
      11. 2.11 ARBITRAGE
      12. 2.12 RATING SHOPPING
      13. 2.13 OVERRELIANCE ON CREDIT RATINGS
      14. 2.14 MODELS, ASSUMPTIONS, AND BLACK BOXES
      15. 2.15 PROPRIETARY ANALYSIS
      16. 2.16 RISK MANAGEMENT AND RISK MITIGANTS
      17. 2.17 SENIOR MANAGEMENT AWARENESS
      18. 2.18 LACK OF DRILLDOWN CAPABILITY AND GROUP-WIDE CONTROLS
      19. 2.19 MARK TO MARKET, MARK TO MODEL, AND PRICING OF ILLIQUID BONDS
      20. 2.20 GOVERNMENT SALVAGE SCHEMES: WHAT’S NEXT?
      21. 2.21 RE-REMICS: PRIVATE VS. PUBLIC RATINGS
      22. 2.22 CONCLUSION
    2. Chapter 3: Looking ahead: What has happened since?
      1. 3.1 CURRENT INITIATIVES: AN OVERVIEW
    3. Chapter 4: Sound practice principles
      1. 4.1 DATA
      2. 4.2 DEFINITIONS
      3. 4.3 STANDARDS
      4. 4.4 INVESTOR FOCUSED
      5. 4.5 MOTIVATION AND DEAL DRIVERS
      6. 4.6 ANALYSIS
  9. Part II: Deal lifecycle
    1. Chapter 5: Strategy and feasibility
      1. 5.1 STRATEGIC CONSIDERATIONS
      2. 5.2 KEY SIGNS FOR SECURITIZATION
      3. 5.3 DEAL STRUCTURE TYPE
      4. 5.4 ASSET CLASSES
      5. 5.5 PRIVATE ISSUANCE, PUBLIC ISSUANCE, OR CONDUIT FINANCING
      6. 5.6 CREDIT ENHANCEMENT AND PRICING
      7. 5.7 ASSET READINESS AND FEASIBILITY STUDIES
      8. 5.8 DOCUMENTATION REVIEW
      9. 5.9 TARGET PORTFOLIO AND DEAL ECONOMICS
      10. 5.10 INDICATIVE RATING AGENCY AND FINANCIAL MODELING
      11. 5.11 RATINGS MODELS
      12. 5.12 RATING METHODOLOGIES
    2. Chapter 6: Pre close
      1. 6.1 TYPICAL EXECUTION TIMING
      2. 6.2 EXECUTION RESOURCES
      3. 6.3 TRANSACTION COUNTERPARTIES
      4. 6.4 TRANSACTION DOCUMENTS
      5. 6.5 DEAL CONFIGURATION
    3. Chapter 7: At close
      1. 7.1 DEAL DOCUMENTS, MARKETING, AND ROADSHOW
      2. 7.2 PRE-SALE REPORT
      3. 7.3 DEAL PRICING AND CLOSE
      4. 7.4 NEW-ISSUANCE REPORTS
    4. Chapter 8: Post close
      1. 8.1 SERVICING AND REPORTING
      2. 8.2 DEAL PERFORMANCE MEASUREMENT
      3. 8.3 THE PERFORMANCE ANALYTICS PROCESS
      4. 8.4 DEAL REDEMPTION
  10. Part III: Toolbox
    1. Chapter 9: Understanding complex transactions
      1. 9.1 STRUCTURE DIAGRAMS
      2. 9.2 ANALYTICAL CAPABILITIES
      3. 9.3 THE RISK OF OVERRELIANCE ON RATINGS
      4. 9.4 ANALYTICAL ROADMAP
    2. Chapter 10: Data
      1. 10.1 THE “MEANING” OF DATA
      2. 10.2 STATIC INFORMATION
      3. 10.3 DYNAMIC DATA POINTS
      4. 10.4 DATA PROVIDERS
  11. Part IV: Analytical tools
    1. Chapter 11: Vendors
    2. Chapter 12: ABSXchange
      1. 12.1 INTRODUCTION
      2. 12.2 PERFORMANCE DATA
      3. 12.3 POOL PERFORMANCE
      4. 12.4 PORTFOLIO MONITORING
      5. 12.5 CREATING BENCHMARK INDEXES
      6. 12.6 CASH FLOW ANALYTICS
      7. 12.7 SINGLE-BOND CASH FLOW ANALYSIS
      8. 12.8 SINGLE CASH FLOW PROJECTION RESULTS
      9. 12.9 ADVANCED FUNCTIONALITY
    3. Chapter 13: Bloomberg
    4. Chapter 14: CapitalTrack
      1. 14.1 CHANGING THE DATA MODEL USED FOR STRUCTURED FINANCE INSTRUMENT ADMINISTRATION
      2. 14.2 THE BIG FLY IN THE OINTMENT
      3. 14.3 CAPITALTRACK—THE NEW MODEL
    5. Chapter 15: Fitch Solutions
      1. 15.1 PRODUCTS AND SERVICES
      2. 15.2 RESEARCH SERVICES
      3. 15.3 STRUCTURED FINANCE SOLUTIONS
      4. 15.4 RESIDENTIAL MORTGAGE MODELS
    6. Chapter 16: Intex
      1. 16.1 COMPANY HISTORY
      2. 16.2 OVERVIEW
      3. 16.3 CASH FLOW MODELS AND DATA
      4. 16.4 NEW DEVELOPMENTS/RELEASES
      5. 16.5 PARTNERS
    7. Chapter 17: Lewtan Technologies
      1. 17.1 PIONEERS IN A FAST-GROWING INDUSTRY
      2. 17.2 BROADENING THE HORIZON
      3. 17.3 A GLOBAL SOLUTION
      4. 17.4 RESPONDING TO REGULATORY REQUIREMENTS
      5. 17.5 STREAMLINING WORKFLOWS WITH AUTOMATION TOOLS AND DATA FEEDS
      6. 17.6 ABSNet SCHEDULED EXPORT
      7. 17.7 HOME PRICE DEPRECIATION AND THE NEED FOR BETTER TOOLS
      8. 17.8 THE DEMAND FOR GREATER GRANULARITY
      9. 17.9 A BRIGHTER FUTURE
    8. Chapter 18: Moody’s Wall Street Analytics
      1. 18.1 ABS/MBS INVESTORS TOOLS: STRUCTURED FINANCE WORKSTATION
      2. 18.2 CDO INVESTORS’ TOOLS
      3. 18.3 ABS/MBS ISSUER TOOLS
      4. 18.4 CDO TOOLS FOR ASSET MANAGERS
      5. 18.5 CDOEdge FOR STRUCTURERS
      6. 18.6 CDOnet UNDERWRITER
    9. Chapter 19: Principia Partners: The Principia Structured Finance Platform
      1. 19.1 PORTFOLIO MANAGEMENT
      2. 19.2 RISK MANAGEMENT: CASH FLOW AND EXPOSURE ANALYSIS
      3. 19.3 OPERATIONS AND ADMINISTRATION
      4. 19.4 SUMMARY
    10. Chapter 20: Trepp
      1. 20.1 COMPANY HISTORY
      2. 20.2 PRODUCT SUITE
      3. 20.3 TREPP FOR CMBS
      4. 20.4 TREPP DERIVATIVE
      5. 20.5 TREPP LOAN
      6. 20.6 POWERED BY TREPP
      7. 20.7 RECENT DEVELOPMENTS
      8. 20.8 TREPP’S MARKET AFFILIATIONS
      9. 20.9 THE FUTURE
    11. Chapter 21: Author’s toolbox
      1. 21.1 OVERVIEW
      2. 21.2 RATINGS TOOLS
    12. Chapter 22: Bloomberg’s structured finance tools: Tricks and tips
      1. 22.1 STRUCTURE PAYDOWN FUNCTION (SPA)
      2. 22.2 SUPER YIELD TABLE (SYT)
      3. 22.3 MORTGAGE CREDIT SUPPORT (MTCS)
      4. 22.4 COLLATERAL PERFORMANCE FUNCTION (CLP)
      5. 22.5 CMBS LOAN DETAIL SCREEN (LDES)
      6. 22.6 DELINQUENCY REPORT (DQRP)
      7. 22.7 COLLATERAL COMPOSITION GRAPH (CLCG)
      8. 22.8 CASH FLOW TABLE (CFT)
      9. 22.9 CLASS PAY DOWN (CPD)
      10. 22.10 RATING CHANGES (RATT)
      11. 22.11 MORTGAGE API EXCEL WORKBOOKS (MAPI)
    13. Chapter 23: Websites and other resources
      1. 23.1 TRADE BODIES
      2. 23.2 FREE DATA PORTALS
      3. 23.3 VENDORS
      4. 23.4 STRUCTURED FINANCE PERIODICALS AND OTHER USEFUL RESOURCES
      5. 23.5 RATING AGENCIES
  12. Appendix A: Glossary
  13. Appendix B: Ratings
  14. Appendix C: List of abbreviations
  15. Appendix D: Bibliography
  16. Index