Frank J.Fabozzi - The Handbook of European Structured Financial Products
The first comprehensive account of the European structured financial products market
This comprehensive survey of the securitization market in Europe covers all asset-backed securities (the major classes and some nonconventional asset classes that have been securitized), residential and commercial mortgage-backed securities, collateralized debt obligations, and more.
Frank J. Fabozzi, PhD, CFA, CPA (New Hope, PA), is the Frederick Frank Adjunct Professor of Finance in the School of Management at Yale University. Prior to joining the Yale faculty, he was a Visiting Professor of Finance in the Sloan School at MIT. Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JPMorgan Chase Bank.
Table of Contents
About the Editors.
PART ONE: Structured Finance and Securitisation.
CHAPTER 1: Introduction
CHAPTER 2: The Concept of Securitisation
CHAPTER 3: Mechanics of Securitisation
CHAPTER 4: Credit Derivatives Primer
CHAPTER 5: True Sale versus Synthetics for MBS Transactions: The Investor Perspective
CHAPTER 6: A Framework for Evaluating a Cash (“True Sale”) versus Synthetic Securitisation
CHAPTER 7: Assessing Subordinated Tranches in ABS Capital Structure
CHAPTER 8: Key Consideration for Master Trust Structures
CHAPTER 9: Trust and Agency Services in the Debt Capital Markets
PART TWO: Asset-Backed Securities.
CHAPTER 10: European Credit Card ABS
CHAPTER 11: European Auto and Consumer Loan ABS
CHAPTER 12: European Public Sector Securitisations
CHAPTER 13: Italian Lease-Backed Securities
CHAPTER 14: European Mezzanine Loan Securitisations
CHAPTER 15: Stock Securitisations (Carole Gintz).
CHAPTER 16: Rating Trade Receivables Transactions
CHAPTER 17: Moody’s Approach to Analysing Consumer Loan Securitisations
CHAPTER 18: Nonperforming Loan Securitisation and Moody’s Rating Methodology
PART THREE: Whole Business Securitisation.
CHAPTER 19: Whole Business Securitisation (Anant Ramgarhia, Miray Muminoglu, and Oleg Pankratov).
CHAPTER 20: Principles for Analysing Corporate Securitisations 349
Elena Folkerts-Landau, Pascal Bernous, Adele Archer,
Anthony Flintoff, and Apea Koranteng).
CHAPTER 21: Balancing Cash Flow Predictability and Debt Capacity in Corporate Securitisations
CHAPTER 22: Credit Analysis of Whole Business Securitisations
CHAPTER 23: Securitisation of UK Pubs
PART FOUR: Mortgage-Backed Securities.
CHAPTER 24: European Residential Mortgage-Backed Securities
CHAPTER 25: Italian Residential Mortgage-Backed Securities
CHAPTER 26: European Commercial Mortgage-Backed Securities
CHAPTER 27: Rating Approach to European CMBS (Benedicte Pfister).
CHAPTER 28: Differentiating CMBS from Other Real Estate Securitised Financings (Elena Folkerts-Landau, Clayton Hunt, Ronan Fox, Adele Archer, and Ian Bell).
CHAPTER 29: The German Pfandbrief and European Covered Bonds Market (Graham “Harry” Cross).
PART FIVE: Collateralised Debt Obligations.
CHAPTER 30: Structured Credit: Cash Flow and Synthetic CDOs (Oldrich Masek and Moorad Choudhry).
CHAPTER 31: Single-Tranche Synthetic CDOs (Barnaby Martin, Alexander Batchvarov, and Atish Kakodkar).
CHAPTER 32: Rating Methodology for Collateralised Debt Obligations (
CHAPTER 33: CLOs and CBOs for Project Finance Debt: Rating Considerations
CHAPTER 34: Independent Pricing of Synthetic CDOs (Farooq Jaffrey and David Jefferds).
PART SIX: Credit-Linked Notes and Repacks.
CHAPTER 35: Credit-Linked Notes (Moorad Choudhry and Frank J. Fabozzi).
CHAPTER 36: Structured Credit Products and Repackaged Securities
Frank J. Fabozzi, PhD, CFA, is Editor of the Journal of Portfolio Management, the Frederick Frank Adjunct Professor of Finance at Yale University’s School of Management, and a consultant in the fixed-income and derivatives area. Frank is a Chartered Financial Analyst and Certified Public Accountant who has edited and authored many acclaimed books in finance. He earned a doctorate in economics from the City University of New York in 1972. He is a Fellow of the International Center for Finance at Yale University.
Moorad Choudhry is Head of Treasury at KBC Financial Products UK Limited in London. He previously worked as a government bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, and in structured finance services at JPMorgan Chase Bank. Moorad is a Fellow at the Centre for Mathematical Trading and Finance, Cass Business School, London, and a Fellow of the Securities Institute. He has published widely in the field of fixed income and derivatives, and is author of The Bond and Money Markets: Strategy, Trading, Analysis.