Table of Contents

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


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(You can find a downloadable PDF-version as attachement at the bottom of this page)
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Contents
Preface xi
Acknowledgments xvii

1 Introduction 1
1.1 Setting the scene: About this book 1
1.2 Diagrammatical overview of deal lifecycle stages 2
1.3 Role-based roadmap to the book 2


PART I THE CREDIT CRISIS AND BEYOND 5

2 Looking back: What went wrong? 7
2.1 Overview 7
2.2 Data, disclosure, and standardization 8
2.3 Paper reports 8
2.4 Electronic reports 9
2.5 Data feeds 10
2.6 Definitions 10
2.7 Reporting standards 10
2.8 Underwriting standards 11
2.9 Due diligence 11
2.10 Deal motives 13
2.11 Arbitrage 13
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 17
2.18 Lack of drilldown capability and group-wide controls 18
2.19 Mark to market, mark to model, and pricing of illiquid bonds 19
2.20 Government salvage schemes: What’s next? 19
2.21 Re-REMICS: Private vs. public ratings 20
2.22 Conclusion 20

3 Looking ahead: What has happened since? 21

3.1 Current initiatives: An overview 21

4 Sound practice principles 23
4.1 Data 24
4.2 Definitions 30
4.3 Standards 32
4.4 Investor focused 35
4.5 Motivation and deal drivers 36
4.6 Analysis 39


PART II DEAL LIFECYCLE 47


5 Strategy and feasibility 49
5.1 Strategic considerations 49
5.2 Key signs for securitization 63
5.3 Deal structure type 63
5.4 Asset classes 68
5.5 Private issuance, public issuance, or conduit financing 70
5.6 Credit enhancement and pricing 70
5.7 Asset readiness and feasibility studies 75
5.8 Documentation review 91
5.9 Target portfolio and deal economics 94
5.10 Indicative rating agency and financial modeling 97
5.11 Ratings models 101
5.12 Rating methodologies 105

6 Pre close 111
6.1 Typical execution timing 111
6.2 Execution resources 111
6.3 Transaction counterparties 114
6.4 Transaction documents 120
6.5 Deal configuration 127

7 At close 133
7.1 Deal documents, marketing, and roadshow 133
7.2 Pre-sale report 135
7.3 Deal pricing and close 135
7.4 New-issuance reports 136

8 Post close 137
8.1 Servicing and reporting 137
8.2 Deal performance measurement 144
8.3 The performance analytics process 145
8.4 Deal redemption 154


PART III TOOLBOX 155

9 Understanding complex transactions 157
9.1 Structure diagrams 157
vi Contents
9.2 Analytical capabilities 158
9.3 The risk of overreliance on ratings 159
9.4 Analytical roadmap 164

10 Data 167

10.1 The ‘‘meaning’’ of data 167
10.2 Static information 170
10.3 Dynamic data points 170
10.4 Data providers 172


PART IV ANALYTICAL TOOLS 175

11 Vendors 177

12 ABSXchange 179
12.1 Introduction 179
12.2 Performance data 180
12.3 Pool performance 181
12.4 Portfolio monitoring 183
12.5 Creating benchmark indexes 186
12.6 Cash flow analytics 187
12.7 Single-bond cash flow analysis 187
12.8 Single cash flow projection results 190
12.9 Advanced functionality 191

13 Bloomberg 193

14 CapitalTrack 195
14.1 Changing the data model used for structured finance instrument administration 195
14.2 The big fly in the ointment 197
14.3 CapitalTrack—the new model 199

15 Fitch Solutions 207
15.1 Products and services 207
15.2 Research services 209
15.3 Structured finance solutions 210
15.4 Residential mortgage models 212

16 Intex 217
16.1 Company history 217
16.2 Overview 218
16.3 Cash flow models and data 218
16.4 New developments/releases 223
16.5 Partners 224

17 Lewtan Technologies 227
17.1 Pioneers in a fast-growing industry 227
17.2 Broadening the horizon 227
17.3 A global solution 232
17.4 Responding to regulatory requirements 233
17.5 Streamlining workflows with automation tools and data feeds 233
17.6 ABSNet scheduled export 234
17.7 Home price depreciation and the need for better tools 236
17.8 The demand for greater granularity 236
17.9 A brighter future 240

18 Moody’s Wall Street Analytics 241
18.1 ABS/MBS investors tools: Structured Finance Workstation 241
18.2 CDO investors’ tools 242
18.3 ABS/MBS issuer tools 243
18.4 CDO tools for asset managers 244
18.5 CDOEdge for structurers 245
18.6 CDOnet Underwriter 246

19 Principia Partners: The Principia Structured Finance Platform 247
19.1 Portfolio management 248
19.2 Risk management: Cash flow and exposure analysis 254
19.3 Operations and administration 262
19.4 Summary 265

20 Trepp 267
20.1 Company history 267
20.2 Product suite 267
20.3 Trepp for CMBS 269
20.4 Trepp derivative 273
20.5 Trepp loan 274
20.6 Powered by Trepp 277
20.7 Recent developments 279
20.8 Trepp’s market affiliations 280
20.9 The future 281

21 Author’s toolbox 283
21.1 Overview 283
21.2 Ratings tools 283

22 Bloomberg’s structured finance tools: Tricks and tips 289
22.1 Structure paydown function (SPA) 289
22.2 Super Yield Table (SYT) 302
22.3 Mortgage Credit Support (MTCS) 323
22.4 Collateral Performance function (CLP) 326
22.5 CMBS Loan Detail screen (LDES) 336
22.6 Delinquency Report (DQRP) 355
22.7 Collateral Composition Graph (CLCG) 358
22.8 Cash Flow Table (CFT) 362
22.9 Class Pay Down (CPD) 377
22.10 Rating changes (RATT) 379
22.11 Mortgage API Excel workbooks (MAPI) 382

23 Websites and other resources 389
23.1 Trade bodies 389
23.2 Free data portals 389
23.3 Vendors 390
23.4 Structured finance periodicals and other useful resources 392
23.5 Rating agencies 395


APPENDIXES

A Glossary 397
B Ratings 405
B.1 Fitch Ratings 405
B.2 Moody’s 408
B.3 Standard and Poor’s 416
C List of abbreviations 431
D Bibliography 433
Index 435
Contents ix
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