Frank J.Fabozzi - The Handbook of European Structured Financial Products

Description

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.

Contributing Authors.

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

INDEX.

Author Information

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.