证券化市场手册

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Contents
List of Exhibits xi
Acknowledgments xvii
Introduction xix
P a r t O n e
Key Structures and Cash Flow Dynamics
1 Mortgage-Backed Securities 3
Origins of the Market 4
From the Primary to the Secondary Mortgage Market 4
The Agency Market 5
The Private-Label Market 7
Agency and Nonagency Market Segments Compared 8
Credit Risk Considerations 8
Mortgage and Funds Flow in the Secondary Market 11
Industry Illustration 16
Pricing of Newly Originated Mortgages 17
Freddie Mac Sample Purchase Pricing 17
Mortgage Pricing from the Bank’s Perspective 19
2 Price Dynamics of Mortgages and Cash Flows 25
Bond and Mortgage Basics 26
Bond Valuation 26
Price/Yield Relationship 28
Fixed-Rate Mortgages 28
Prepayment Option 34
Macauley and Modified Duration 36
Convexity 39
Risk Exposures 42
3 Valuation of Mortgage- and Asset-Backed Securities 45
Modeling Cash Flows of Pass-Through, PO, and IO Securities 46
Information Set 48
Model 49
Cash Flow over Time 54
Effective Duration 59
Effective Convexity 60
Case Study: A Pass-Through Security Issued by FNMA 61
Prepayment Standard Assumption Levels 62
S-Curve Prepayment Function 62
Weighted Average Life and Different Spreads Measurements 65
Spread I, Static Spread (Spread Z), and Spread S 67
Option-Adjusted Spread 68
Negative Option Cost 70
Case Study: Principal-Only and Interest-Only Securities 73
PO Strip 73
IO Strip 78
4 Other Structures in Asset-Backed Securities:
CMOs, PACs, Floaters, and Inverse Floaters 81
Collateralized Mortgage Obligations 81
Planned Amortization Class 93
Floaters and Inverse Floaters 97
P a r t T w o
Corporate Debt and the Securitization Markets
5 How Ford Motor Credit Corporation
Has Used Securitization 107
The Case of Ford Motor Credit 108
Securitized Receivables 108
Advantages of Securitization 110
Special-Purpose Structure 113
Allocating and Funding Credit Risk: Subordinate Classes
and Residual Interests 114
The Two-Step Securitization Transaction 116
Credit Ratings and On-Balance-Sheet versus Off-Balance-Sheet
Cost of Funding 122
Ford Credit Auto Owner Trust 2000-A: A Case Study 126
Waterfall of Cash Flows 138
Credit Enhancement 140
Overcollateralization 141
Rating Agency Parameters 144
Leveraging Credit Risk 146
6 Asset-Backed Commercial Paper 149
Why Companies Use Asset-Backed Commercial Paper Programs 151
GE Capital Example 152
Ford Motor Credit Example 153
Countrywide Home Loans Example 154
ABCP Characteristics 155
Relationship of Conduit, Originator, and Seller 155
Securitization Structure and Cash Flow 156
Credit Enhancement and Liquidity Support 156
Fully Supported versus Partially Supported 157
Liquidity Facilities 158
Cost of Funding 158
Financier Conduit Hypothetical Example 159
D&K Example 161
GE Capital Example 163
Labor Ready, Inc., Example 165
Accounting Treatment 166
Financial Interpretation 46 167
Primary Beneficiary Status 168
Risk-Based Capital Regulations 169
Tier-One Leverage Ratio 169
Conversion Factor for Liquidity Facilities 171
Restructuring Possibilities 174
P a r t T h r e e
Securitization of Revolving Credit
7 Dealer Floor Plan Loans 179
Trends in Wholesale Automobile Credit Securitization 179
Basics of the Securitization Scheme 182
Credit Enhancement 185
Payment Phases 185
Uncertain Maturity Date and Fluctuating Account Balance
Considerations 188
Securing Liquidity 189
Shifts in Seller’s Interest and Investor Interest 190
Seller’s Claim on Receivable Pool 192
Factors in Credit Line Variability 193
Pool Size Matters 195
8 Credit Card Receivables 197
Elements of a Master Trust Pooling and Servicing Agreement 202
Basics of the Securitization Scheme 203
Cash Flow Allocation 205
Principal Collections and Reallocations 208
Finance-Charge and Remaining Collections 210
Case Study: MBNA Master Credit Card Trust II 213
The Seller’s Interest and Investor Interest 214
Retained Interest 217
Accounting Treatment 217
Sources of and Changes in Securitization Income 218
Credit Risk and Credit Enhancement 219
Case Study: MBNA Credit Card Master Note Trust 225
Tranches for A, B, and C Classes 225
ERISA Restrictions 227
P a r t F o u r
Searching for Value in the
Mortgage- and Asset-Backed Markets
9 Investment, Speculation, and Hedging 237
Target Investment 237
Subordinate Segment of Private-Label MBSs 248
Interest-Rate Risk 264
Reinvestment of Cash Flow 265
Interest-Only Strips as a Hedging Tool 266
Combining Bonds and IOs 266
Hedging FNMA 9.5 Percent Pass-Through Securities with
IO Securities 270
Principal-Only Strips as a Hedging Tool 273
Inverse Floaters as a Hedging Tool 274
Hedging CMOs with Options on Treasury Bonds 279
10 Credit Risk 281
Direct Financing of Risk versus Buying a Financial Guaranty 281
A Financial Guaranty Is Not an Insurance Contract 283
Selecting Efficient Forms and Levels of Credit Enhancement 284
Relative Value in Credit-Enhancement Structures 285

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