Securitization: Structuring and Investment Analysis by Andrew Davidson, Anthony Sanders, Lan-Ling Wolff, Anne Ching

By Andrew Davidson, Anthony Sanders, Lan-Ling Wolff, Anne Ching

''This publication fills a crucial hole within the frame of mind of the bond structurer and the investor. frequently, the 2 disciplines method their initiatives blind to the views of the opposite facet. yet profitable structuring calls for offering the easiest worth to traders so one can compete, and traders who don’t absolutely comprehend structuring won't stay traders for lengthy. hugely recommended!'' –Bennett W. Golub dealing with Director, BlackRock, Inc.

''An first-class primer on asset securitization, sincerely written in simple English and with uncomplicated mathematical expressions. This e-book is appropriate for either company university scholars and based finance marketplace practitioners.'' –Joseph Hu, PhD dealing with Director, established Finance scores usual & Poor’s

''In their new paintings Securitization: Structuring and funding research, Andrew Davidson et al. strengthen their preeminence within the alchemy of loan securitization. a person taken with mortgages neglects Andy’s paintings at his peril.'' –Richard T. Pratt Chairman, Richard T. Pratt affiliates Former Chairman, Merrill Lynch personal loan Corporation

''This ebook presents an insightful and obtainable exploration of securitized genuine property markets. As such, it presents a helpful carrier to these lively and drawn to those burgeoning markets. The authors have performed an excellent activity of gracefully integrating an enormous and critical subject material. for that reason, this publication additionally makes for an exceptional textbook for these universities delivering a number of classes during this swiftly becoming field.'' –Joseph L. Pagliari, Jr. Kellogg institution of administration Northwestern collage

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Additional info for Securitization: Structuring and Investment Analysis

Sample text

In the structure phase, the cash flows of the securities are calculated for each scenario using the prepayment, loss and other estimates, the structural features of the securities, and any other relevant factors. Finally, in the results phase, various calculations are performed to summarize the cash-flow results. Different analyses reflect different choices for the four phases. A relatively simple analysis, yield calculation for MBS, is described in Chapter 8. OAS analysis for MBS, a more complex analysis, is presented in Chapter 13.

Indicate which are the most likely candidates for securitization. Which are the least likely? 5 shows the allocation of interest cash flows. What factors are likely to lead to higher monthly fees? What does that mean about the rate charged to the borrower? Is the market more likely to accept a lower rate on an investment to cover higher fees or is the borrower more likely to pay? 3 Borrowers generally receive the face amount of the loan or less when they borrow. Points reflect receiving less than the face amount as proceeds.

Securitization may have a regulatory component as well. Most financial institutions are regulated in one way or another. Regulated financial institutions have various capital requirements. Rated securities generally have lower capital requirements than unrated loan portfolios. Securitization may allow a firm to reduce its capital requirements. Recent changes in regulatory requirements have made the capital treatment of securitization more akin to the economic characteristics. While the rated classes may have lower capital requirements than the loans, the residual interests may have increased capital requirements.

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