Securitisation and Structured Finance Post Credit Crunch: A Best Practice Deal Lifecycle Guide (SII Series on Financial Services Operations)

Securitisation and Structured Finance Post Credit Crunch: A Best Practice Deal Lifecycle Guide (SII Series on Financial Services Operations)

By: Markus Krebsz (author)

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In this book, you will be introduced to generic best practice principles for a post credit crunch market. First, the book takes a closer look at the reasons why the market froze during the 2007 to 2009 credit crisis. Then you will learn how to use the principles explained here in your generic deal's typical life cycle stages. Throughout, each stage is discussed in detail, from strategy and feasibility, pre-close, at close, and post close. The final section of the book contains a toolbox of references, tables, dictionaries, and resources.

About Author

Markus Krebsz is a strategic management consultant with expert knowledge in the spheres of securitization and rating agencies, and over 18 years of experience in the global financial markets. A well-regarded speaker at international conferences and an experienced workshop conductor, he currently acts as credit rating expert to the World Bank as part of various large-scale projects involving government-owned entities of several African nations. Previously, he managed the Rapid Risk Solutions Team of a major UK banking group, where he designed the firm's 'lending commitment index', which is ultimately used by HM Treasury (UK). Prior to that he established and managed the firm's Surveillance & Performance analytics team, overseeing one of the world's largest portfolios of structured finance bonds. Markus is an ex-Primary analyst for Fitch's Corporate & Infrastructure Securitization Team with a focus on trade receivables, leases and inventory, and government-related deals. He also worked for the rating agency's transaction surveillance team, where he was involved in innovative product development. Markus is the Chartered Securities and Investment Institute's (CISI) workbook reviewer for 'Risk in Financial Services', 'Operational Risk' and 'IT in Investment Operations', and a committee member of the CISI's Risk and IT forums. Since the beginning of the credit crunch, Markus has contributed to a large variety of industry working groups and consulted for central banks, financial regulators and trade associations providing insight, opinion and innovative capital markets solutions. You can find out more and contact Markus at


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 Trepp loan. 20.6 Powered by Trepp. 20.7 Recent developments. 20.8 Trepp's market affiliations. 20.9 The future. 21 Author's toolbox. 21.1 Overview. 21.2 Ratings tools. 22 Bloomberg's structured finance tools: Tricks and tips. 22.1 Structure paydown function (SPA). 22.2 Super Yield Table (SYT). 22.3 Mortgage Credit Support (MTCS). 22.4 Collateral Performance function (CLP). 22.5 CMBS Loan Detail screen (LDES). 22.6 Delinquency Report (DQRP). 22.7 Collateral Composition Graph (CLCG). 22.8 Cash Flow Table (CFT). 22.9 Class Pay Down (CPD). 22.10 Rating changes (RATT). 22.11 Mortgage API Excel workbooks (MAPI). 23 Websites and other resources. 23.1 Trade bodies. 23.2 Free data portals. 23.3 Vendors. 23.4 Structured finance periodicals and other useful resources. 23.5 Rating agencies. APPENDIXES. A Glossary. B Ratings. B.1 Fitch Ratings. B.2 Moody's. B.3 Standard and Poor's. C List of abbreviations. D Bibliography. Index.

Product Details

  • ISBN13: 9781119973812
  • Number Of Pages: 344
  • ID: 9781119973812
  • weight: 666
  • ISBN10: 1119973813

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