Structured finance bonds are conceived as complex (due to either the underlying nature of these instruments or deliberate structuring which renders them more opaque). In addition, the majority of people working in these areas operate as well-equipped specialists in a relatively narrow part of the securitisation value chain, where it can be easy to overlook the bigger picture: the entire deal life cycle. Demystifying the subject and presenting a coherent overview of the deal life cycle this book introduces generic best practice principles for a post credit crunch market and applies these with a holistic view across all deal life cycle stages. The book starts by taking a closer look at the reasons why the market froze during the 2007-2009 credit crisis and introduces sorely-needed best practice principles. It goes on to put these new principles to practice throughout a generic deal's typical lifecycle stages, each of which are discussed in detail: strategy and feasibility, pre-close, at close, and post close. The final section of the book contains a tool box of references, tables, dictionaries, and resources.
Preface. Acknowledgments. 1 Introduction. 1.1 Setting the scene: About this book. 1.2 Diagrammatical overview of deal lifecycle stages. 1.3 Role-based roadmap to the book. PART I THE CREDIT CRISIS AND BEYOND. 2 Looking back: What went wrong? 2.1 Overview. 2.2 Data, disclosure, and standardization. 2.3 Paper reports. 2.4 Electronic reports. 2.5 Data feeds. 2.6 Definitions. 2.7 Reporting standards. 2.8 Underwriting standards. 2.9 Due diligence. 2.10 Deal motives. 2.11 Arbitrage. 2.12 Rating shopping. 2.13 Overreliance on credit ratings. 2.14 Models, assumptions, and black boxes. 2.15 Proprietary analysis. 2.16 Risk management and risk mitigants. 2.17 Senior management awareness. 2.18 Lack of drilldown capability and group-wide controls. 2.19 Mark to market, mark to model, and pricing of illiquid bonds. 2.20 Government salvage schemes: What's next? 2.21 Re-REMICS: Private vs. public ratings. 2.22 Conclusion. 3 Looking ahead: What has happened since? 3.1 Current initiatives: An overview. 4 Sound practice principles. 4.1 Data. 4.2 Definitions. 4.3 Standards. 4.4 Investor focused. 4.5 Motivation and deal drivers. 4.6 Analysis. PART II DEAL LIFECYCLE. 5 Strategy and feasibility. 5.1 Strategic considerations. 5.2 Key signs for securitization. 5.3 Deal structure type. 5.4 Asset classes. 5.5 Private issuance, public issuance, or conduit financing. 5.6 Credit enhancement and pricing. 5.7 Asset readiness and feasibility studies. 5.8 Documentation review. 5.9 Target portfolio and deal economics. 5.10 Indicative rating agency and financial modeling. 5.11 Ratings models. 5.12 Rating methodologies. 6 Pre close. 6.1 Typical execution timing. 6.2 Execution resources. 6.3 Transaction counterparties. 6.4 Transaction documents. 6.5 Deal configuration. 7 At close. 7.1 Deal documents, marketing, and roadshow. 7.2 Pre-sale report. 7.3 Deal pricing and close. 7.4 New-issuance reports. 8 Post close. 8.1 Servicing and reporting. 8.2 Deal performance measurement. 8.3 The performance analytics process. 8.4 Deal redemption. PART III TOOLBOX. 9 Understanding complex transactions. 9.1 Structure diagrams. 9.2 Analytical capabilities. 9.3 The risk of overreliance on ratings. 9.4 Analytical roadmap. 10 Data. 10.1 The "meaning" of data. 10.2 Static information. 10.3 Dynamic data points. 10.4 Data providers. PART IV ANALYTICAL TOOLS. 11 Vendors. 12 ABSXchange. 12.1 Introduction. 12.2 Performance data. 12.3 Pool performance. 12.4 Portfolio monitoring. 12.5 Creating benchmark indexes. 12.6 Cash flow analytics. 12.7 Single-bond cash flow analysis. 12.8 Single cash flow projection results. 12.9 Advanced functionality. 13 Bloomberg. 14 CapitalTrack. 14.1 Changing the data model used for structured finance instrument administration. 14.2 The big fly in the ointment. 14.3 CapitalTrack-the new model. 15 Fitch Solutions. 15.1 Products and services. 15.2 Research services. 15.3 Structured finance solutions. 15.4 Residential mortgage models. 16 Intex. 16.1 Company history. 16.2 Overview. 16.3 Cash flow models and data. 16.4 New developments/releases. 16.5 Partners. 17 Lewtan Technologies. 17.1 Pioneers in a fast-growing industry. 17.2 Broadening the horizon. 17.3 A global solution. 17.4 Responding to regulatory requirements. 17.5 Streamlining workflows with automation tools and data feeds. 17.6 ABSNet scheduled export. 17.7 Home price depreciation and the need for better tools. 17.8 The demand for greater granularity. 17.9 A brighter future. 18 Moody's Wall Street Analytics. 18.1 ABS/MBS investors tools: Structured Finance Workstation. 18.2 CDO investors' tools. 18.3 ABS/MBS issuer tools. 18.4 CDO tools for asset managers. 18.5 CDOEdge for structurers. 18.6 CDOnet Underwriter. 19 Principia Partners: The Principia Structured Finance Platform. 19.1 Portfolio management. 19.2 Risk management: Cash flow and exposure analysis. 19.3 Operations and administration. 19.4 Summary. 20 Trepp. 20.1 Company history. 20.2 Product suite. 20.3 Trepp for CMBS. 20.4 Trepp derivative. 20.5 Tre
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