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Asset-backed Securitization and the Financial Crisis - The Product and Market Functions of Asset-backed Securitization - Retrospect and Prospect
Nadine Senanayake
Verlag Diplomica Verlag GmbH, 2010
ISBN 9783836641418 , 79 Seiten
Format PDF, OL
Kopierschutz frei
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Asset-backed Securitization and the Financial Crisis
1
Table of Contents
3
Outline
5
Table of Figures
6
List of Tables
7
List of abbreviations
7
Abstract
9
Introduction
10
Chapter 1: Initiating the product and market functions of ABS
13
1.1 History and Development of the Asset-Backed Securities Market
13
1.2 Asset- Backed Securitization in a Nutshell
15
1.3 Issuing vehicles
16
1.4 The Structuring Process
17
1.4.1 True-Sale /Conventional Securitization
17
1.4.2 Synthetic Securitization
19
1.5 Framework of an Asset-Backed Security
20
1.5.1 Asset Tranches
20
1.6 Key Players in Asset Backed Securitization
21
1.6.1 The relationship between the Originator-SPV
21
1.6.2 The relationship between SPV- Investors
23
1.6.3 The relationship between SPV-Trustee
23
1.6.4 The relationship between between SPV-Credit Enhancer
24
1.6.5 The relationship between SPV- Rating Agencies
25
1.7 Legal formalities and the Risk Isolation
25
Chapter 2: Initiating the Market Functions of ABS
26
2.1 Trading Asset Backed Securities
26
2.2 Types of Asset Backed Securities
27
2.3 Mortgage-Backed Securities (MBS)
28
2.3.3 Pricing Mortgage-Backed Securities
29
2.3.4 Market Developments of MBS
30
2.4 Asset-Backed Securities (ABS) in a narrower sense
30
2.4.1 Market Develop for ABS (in a narrower sense)
31
2.4.2 Pricing Asset Backed Securities
32
2.5 Collateral Debt Obligations (CDO)
32
2.5.1 Market Development of CDOs
32
2.5.2 True Sale CDO
33
2.5.3 Synthetic CDO
35
2.6 Importance of Credit Derivatives in Asset Securitization
36
Chapter 3: Risks and Solutions
37
3.1 Financial Meltdown 2008
37
3.1.1 The subprime crisis
38
3.1.2 The Rescuing Debacle
38
3.1.3 The Global Crisis
39
3.2 Importance of Risk Management
40
3.3 Risk in the Asset Backed Securities market; an accelerating force in the financial crisis
41
3.3.1 Internal Control Risk and Management
41
3.3.2 Accounting and transfer risk
43
3.2.3 Excess liquidity risk
45
3.3.4 Counterparty risk-
47
3.4 Risks associated with the Market
48
3.4.1 Concentrated risk
48
3.4.2 Transparency risk of (OTC) trades
49
3.4.3 Inaccurate Pricing Risk and Rating Agencies
51
4. Conclusion
54
5. Bibliography
57
Appendix
62
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