Preface; Contents; List of Abbreviations ; About the Authors; List of Figures ; List of Tables ; 1: Introduction; 2: Mechanics of Securitization; Introduction; What Is Securitization?; From Originate-to-Hold to Originate-to-Distribute; The Securitization Process; Originator; Servicer; Trustee; Underwriter; SPV Types; Amortising Structures (Pass Through); Revolving Structures; Master Trusts; Tranching; Methods of Tranching; Credit Enhancement (Credit Support); Internal Credit Enhancement; Subordination; Excess Spread; Over-Collateralisation; External Credit Enhancement

Surety Bonds (Insurance) Third Party (Related Party) Guarantees; Letter of Credit; Cash Collateral Account; Collateral Invested Amount; Retained Interest; The Credit Ratings Process; Asset Risks/Credit Risk Modelling; Legal and Regulatory Risks; Structural Analysis; Operational and Administrative Risks; Counterparty Risk; Underwriting and Issuance; A Comparison of the US and European Market; Government Support; Mortgage Contracts; Insolvency and Foreclosure Procedures; Demand for Securitization; Conclusion; References; 3: Securitization Structures; Introduction

Securitization Structures Risk Transfer; Cash Securitization; Synthetic Securitization; Ownership of Reference Assets; Pass Through Structures; Pay Through Structures; Securitization Instruments; Asset Backed Commercial Paper (ABCP); ABCP Market Background; The Basics of How an ABCP Program Works; ABCP Versus Term Securitizations; Types of ABCP Conduit Structures; Single Seller Conduits; Multi Seller Conduits; Securities Backed (Arbitrage) Conduits; Hybrid Programme; Collateralized Commercial Paper (CCP) Programme; Structured Investment Vehicle (SIV)

ABCP Conduit Credit Variations Credit Enhancement of ABCP Conduits; Liquidity Support; Mortgage Backed Securities (MBS); Mortgage Pass-Through Securities/Participating Certificates; Collateralised Mortgage Obligations (CMOs); Types of CMO Bonds; Sequential Pay (Plain Vanilla); Planned Amortization Class (PAC) Bonds; Target Amortization Class (TAC) Bonds; Z-Bonds (Accretion/Accrual Bonds); Floating-Rate Bonds; Stripped Mortgage-Backed Securities; Maturity Measures in MBS; Return Measures in MBS; Constant (Conditional) Prepayment Rate (CPR); Commercial Mortgage Backed Securities (CMBS)

Background of CMBS Asset Backed Securities (ABS); Collateralized Debt Obligations (CDOs); Motivation and Purpose for CDOs; Funding of CDOs; Underlying Assets in CDOs; Credit Structures in CDOs; P2P Securitization; Conclusion; Notes; References; 4: A Historical and Regional Overview of Securitization; Introduction; Origins of the Market in the 1970s; Invention of CMOs; Real Estate Mortgage Investment Conduit (REMICs); Savings and Loans Crisis of the 1980s; Private Enterprises Entering the Market; Basel I and Securitization for Regulatory Capital Arbitrage in the 1990s; Weaknesses of Basel I.