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Asset Securitization: Theory and Practice
Description: Asset Securitization is intended for beginners and market professionals alike who are interested in
learning about asset securitization—its concepts and practices. It is designed so that the readers
will come away with a fundamental but comprehensive understanding of the asset securitization
market. As such, the book aims to provide a review of the market’s development, necessary
framework, potential benefits, and detailed descriptions of major asset securitization products.
Part I of the book, which consists of four chapters, will discuss the fundamental concepts, the
funding efficiency, the market participants, and the potential benefits of asset securitization. An
analysis of mortgage finance will be provided in Part II, which consists of six chapters that cover a
variety of topics from the description of many different types of residential mortgages to the
securitization of different types of residential mortgages, including the now infamous sub-prime
mortgages. Also included are important topics, such as prepayments, cash flow structure, maturity
and credit tranching, and the trading and relative value of the various mortgage-backed securities.
The three chapters in Part III will explain the other major asset securitization products, such as
commercial mortgage-backed securities, credit card receivable-backed securities, auto loan-backed
securities, and collateralized bond obligations. Part IV has two chapters: one reviews the collapse
and the potential recovery of the asset securitization market, and the other describes the asset
securitization efforts in Japan, Australia, Taiwan, and China.
Extensive tables and charts are presented to help illustrate a concept or describe a product. Neither
analytical discussions nor investment strategies of the various asset-backed securities are included
as they are not the focus of this book.
Authors Bio:
Dr. Joseph C. Hu is professor of the International MBA Program at the National Chengchi University,
Republic of China (Taiwan) and visiting professor at Hanqing Advanced Institute of Economics and
Finance, Renmin University of China, People's Republic of China. Dr. Hu was formerly Standard &
Poor's China country manager. He also served as Standard & Poor's global head of structured
finance research.
Prior to Standard & Poor's, Dr. Hu held positions as managing director at Oppenheimer & Co. Inc.,
senior vice president at Nomura Securities International, Inc., executive vice president at Shearson
Lehman Hutton Inc., senior vice president at E. F. Hutton Inc., and vice president at Salomon
Brothers, Inc. He also worked as economist at Fannie Mae and taught as assistant economics
professor at University of Maine. Dr. Hu is also the author of Basics of Mortgage-Backed Securities.
Contents: Chapter 1 Asset Securitization: Concept and Market Development.
Basic Concept of Asset Securitization.
Development of the Asset Securitization Market in the U.S.
Chapter 2 Originators and Investors of the Asset Securitization Market.
Efficient Financing for Originators with Asset Securitization.
Satisfying Varying Investor Demands with Asset Securitization.
Chapter 3 Intermediary Participants of the Asset Securitization Market.
Attorneys.
Accountants.
Guarantors and Credit Enhancers.
Credit Rating Agencies.
Investment Bankers.
Chapter 4 Necessary Ingredients and Benefits of Asset Securitization.
The Nine Necessary Ingredients.
Benefits of Asset Securitization.
Chapter 5 Residential Mortgages.
Description of a Residential Mortgages.
Characteristics of a Fixed-Rate Mortgage.
Various Alternative Types of Mortgages.
Chapter 6 Residential Mortgage Market.
The Origination of a Residential Mortgages.
Major Mortgage Originators.
Mortgage Servicers.
Mortgage Insurers.
The Development of the Residential Mortgage Market.
Chapter 7 Agency-Guaranteed Mortgage Pass-Throughs.
Ginnie Mae Mortgage Pass-Throughs.
Concept and Terminology.
Freddie Mac Participation Certificates.
Fannie Mae Mortgage-Backed Securities.
Private Label Mortgage Pass-Throughs.
Subprime Mortgage-Backed Securities.
Trading and Relative Value.
Chapter 8 Multiclass Mortgage Pass-Throughs.
Prepayment of Mortgage Pass-Throughs.
The Need for Multiclass Securities.
Collateralized Mortgage Obligations.
Real Mortgage Investment Conduits.
Variety of REMIC Classes.
The Rise, Collapse, and Recovery of REMICS.
Trading and Relative Value.
Appendix: Analysis of Prepayment and Prepayment Rate.
Chapter 9 Private-Label Mortgage Pass-Throughs.
The Growth of the Private Label Pass-throughs Market.
A Typical Transaction.
The Cash Flow Structure—Mechanism of Credit Enhancement.
Credit Rating Criteria.
Performance of Credit Ratings.
Prepayment Pattern.
Trading and Relative Value.
Appendix: Default and Housing Price Appreciation.
Chapter 10 Subprime Mortgage-Backed Securities.
Evolution of the Subprime Mortgage Market.
Features of Home Equity Loans.
Varying Characteristics of Pools of Subprime Mortgages.
Examples of Transactions.
Unique Prepayment Pattern.
Performance of Credit Ratings.
Trading and Relative Value.
Chapter 11 Commercial Mortgage Backed Securities.
History of the Commercial Mortgage-Backed Securities Market.
The Origination of a Commercial Mortgage.
Defaults and Losses of Commercial Mortgage Loans.
A Typical CMBS Transaction.
Performance of Credit Ratings.
Trading and Relative Value.
Chapter 12 Asset-Backed Securities.
The Growth of the ABS Market.
Credit Card Receivable-Backed Securities.
Auto Loan ABS.
Performance of Credit Ratings.
Trading and Relative Value.
Chapter 13 Collateralized Debt Obligations.
Basic Concept and Market Development of CDOs.
CDOs Are Not Mutual Funds.
Different Structural Types of CDOs.
Motivations of Issuing and Incentives of Investing in CDOs.
Credit Ratings of CDOs.
Standard & Poor's CDO Evaluator.
Trading and Relative Value.
Chapter 14 The Collapse and Recovery Prospects of the Asset Securitization Market.
How the Market Collapsed.
Prospects for Recovery.
Chapter 15 Asset Securitization in Asia-Pacific.
Asset Securitization in Japan.
Asset Securitization in Australia.
Asset Securitization in Taiwan.
Asset Securitization in China.
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