Examines credit and cas
Table 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
