Focusing on changes in accounting and regulatory capital treatment, as well as the exponential growth in the use of synthetic products and credit derivatives.
'This is an essential book for any practitioner, researcher or student of securitisation - concise and accurate coverage of the key aspects of securitisation on all the main and secondary markets of the world' - Alexander Batchvarov, Managing Director, International Structured Product Strategy, Merrill Lynch, London. 'John Deacon's original book became the leading textbook for those genuinely interested in gaining a profound and detailed understanding of the arcane world of securitisation. The new, updated version confirms John's status as the top writer in this sector. Securitisation has moved on, becoming ever more complex in both its detail and its variety, but John's book never fails to deal with all the intellectual challenges posed, in a clear, logical and comprehensive fashion. A must for all practitioners - I thoroughly enjoyed it' - Robert Palache, Managing Director, Head of European Infrastructure Finance and Corporate Securitisation, Barclays Capital.'Deacon's book is an unparalleled treatise on all aspects of asset securitisation and CDOs and is ideal for use by both experienced market practitioners and by those new to the seemingly ever-expanding world of securitisation. The book comprehensively outlines the various structures encountered, ranging from true sale and future flow financings to synthetics and whole business, addressing not only the framework of the structures but also the regulatory and accounting implications. A must have reference book' - David Newby, Executive Director, ABN AMRO BANK N.V., Head of UK and Irish Securitisation, Head of European Commercial Real Estate Securitisation.Synthetic credit derivatives technology, CDOs, the covered bond market, the mortgage-backed market and M&A financing have all come together to make securitization the fastest growing and most flexible area of the global credit markets. This authoritative work looks at the recent synthetic structures and credit derivatives used in CDOs and at the new Basel Capital Accord and addresses the framework of these structures as well as the regulatory and accounting implications.You'll find truly global insights, coverage of both the financial and legal aspects of securitization, and a glossary of market and legal terminology.
Preface.About the Author.1 Introduction.1.1 Forms of securitisation.1.2 Rationale for securitisation.1.3 Global ABS markets.2 Rating and Credit Structure.2.1 Rating agencies.2.2 Credit enhancement and liquidity.2.3 Hedging and prepayment risk.3 Deal Structure.3.1 Ring-fencing and true sale.3.2 SPVs and trusts.3.3 Offshore centers.3.4 Commonly used offshore jurisdictions.3.5 Bonds and CP funding.3.6 Securities laws.3.7 US securities laws.3.8 UK securities laws.3.9 EU securities laws.3.10 Tax treatment.3.11 Accounting treatment.3.12 Capital treatment.3.13 Data and consumer regulation.3.14 Regulatory approvals.3.15 Administration and systems.4 Investor Concerns.4.1 Investor credit analysis.4.2 Eligibility criteria.4.3 Cash flow waterfall.4.4 Bond pricing and valuation.4.5 Performance and reporting.5 Asset Classes.5.1 ABS: Commercial and EETCs.5.2 ABS: Consumer and credit cards.5.3 Collateralised debt obligations.5.4 Commercial mortgage-backed securities.5.5 Covered bonds and Pfandbriefe.5.6 Future flows.5.7 Non-performing loans.5.8 Real estate investment trusts.5.9 Repackagings.5.10 Residential mortgage-backed securities.5.11 Trade receivables.5.12 Whole business securitisation.6 Opportunities and Challenges.6.1 Introduction.6.2 Significance of accounting and capital off-balance-sheet reform.6.3 New Basel Accord.7 Synthetics and Credit Derivatives.7.1 Synthetic securitisation: Credit derivatives.7.2 Super-senior pieces.7.3 Pros and cons of synthetic securitisations for investors.7.4 Terminology and types of credit derivative.7.5 Use and pricing for credit derivatives.7.6 Structure and concerns.7.7 Regulatory capital advantages of synthetics.7.8 International capital treatment for credit derivatives.8 Whole Business Securitisation.8.1 Benefits and requirements of whole business deals.8.2 Structures.8.3 Corporate valuation.8.4 Rating analysis.8.5 Feasibility in different countries.8.6 Threats to whole business technology.9 The European Union.9.1 Ring-fencing and true sale.9.2 Securities laws.9.3 Tax treatment.9.4 Accounting treatment.9.5 Capital treatment.9.6 Data protection/confidentiality.9.7 Consumer protection.9.8 Other issues.10 Accounting for Securitisation.10.1 US accounting standards.10.2 UK accounting standards.10.3 International Accounting Standards.10.4 The influence of the European Union.11 Capital.11.1 Banking book.11.2 Trading book.11.3 New Basel Accord.11.4 Basel capital arbitrage.11.5 Off-balance-sheet treatment under Basel.11.6 Basel capital treatment and new Basel proposals.11.7 Capital for banking book exposures.11.8 Capital for trading book exposures.12 Global Securitisation Markets.12.1 Argentina.12.2 Australia.12.3 Austria.12.4 Belgium.12.5 Bolivia.12.6 Brazil.12.7 Canada.12.8 Chile.12.9 China.12.10 Colombia.12.11 Czech Republic.12.12 Denmark.12.13 Egypt.12.14 Finland.12.15 France.12.16 Germany.12.17 Greece.12.18 Hong Kong SAR.12.19 Hungary.12.20 India.12.21 Indonesia.12.22 Ireland.12.23 Israel.12.24 Italy.12.25 Japan.12.26 Korea.12.27 Luxembourg.12.28 Malaysia.12.29 Mexico.12.30 The Netherlands.12.31 New Zealand.12.32 Norway.12.33 Pakistan.12.34 Panama.12.35 Paraguay.12.36 Peru.12.37 The Philippines.12.38 Poland.12.39 Portugal.12.40 Russia.12.41 Scotland.12.42 Singapore.12.43 South Africa.12.44 Spain.12.45 Sweden.12.46 Switzerland.12.47 Taiwan.12.48 Thailand.12.49 Turkey.12.50 United Kingdom.12.51 United States.12.52 Venezuela.13 Terminology in the Securitisation and Derivatives Markets.References.Index.