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Erschienen in:
Introduction to the Economics of Securitization Kapitel lesen Erstes Kapitel lesen

2020 | OriginalPaper | Buchkapitel

2. Overview of Securitization and Securitized Products

verfasst von : Laurent Gauthier

Erschienen in: Securitization Economics

Verlag: Springer International Publishing

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Abstract

This chapter is a rapid tour of the basics of securitization. We define a few terms and follow the cash flows in a typical securitization. Then we see how the various types of securitized products are generally categorized, and that the securitized bonds markets are very sizable. We provide an overview of the types of securitized bonds that are most common, without yet going into the details of their structures. We also present the trading mechanics applicable to these bonds, as they are quite particular and in some cases fairly complex. Finally, we briefly address some valuation techniques for securitized bonds and stress the importance of negative convexity.

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Vorheriges Kapitel Introduction to the Economics of Securitization
Nächstes Kapitel Overview of Loan Portfolio Analysis
Fußnoten
1
That is, continue to act as a servicer.
 
2
From the French tranche meaning “slice”, as a slice of cake.
 
3
If the assets are not static, as will be discussed in more detail in Chap. 3.
 
4
We discuss regulatory arbitrage in detail in Chap. 5.
 
5
The full discussion of structuring is in Chap. 6.
 
6
More specifically, their average life.
 
7
Because the borrowers paying 2.5% would have little incentive to obtain new loans, and there would prepay slowly, while the borrowers paying 5.5% would have a greater incentive and would prepay fast, leading to a much shorter average life.
 
8
See Tuckman and Serrat (2012) for example.
 
9
They are also sometimes called whole-loans, which in fact simply refers to loans being traded unsecuritized. In the late 1980s and early 1990s, jumbos were the only non-agency market, so loans traded to be later securitized essentially consisted of jumbos.
 
10
1 tick \(=\) 1/32 of a point.
 
11
Expressed here in points, ticks, and eighths: HHH-TTE means HHH \(+\) TT/32 \(+\) E/32/8.
 
12
See for example Tuckman and Serrat (2012) for a broad introduction to these notions.
 
Literatur
Davidson, A., & Levin, A. (2014). Mortgage valuation models: Embedded options, risk, and uncertainty. Oxford University Press.
Fabozzi, F. J. (Ed.). (2001). Investing in asset-backed securities. Frank J. Fabozzi series. John Wiley & Sons.
Fabozzi, F. J. (Ed.). (2016). The handbook of mortgage-backed securities (7th ed.). Oxford: Oxford University Press.
Fabozzi, F. J., & Vinod, K. (Eds.). (2008). Introduction to securitization. New York: Wiley.
Gauthier, L. (2003). Market-implied losses and non-agency subordinated MBS. The Journal of Fixed Income, 13(1), 49–74.
Gorton, G., & Metrick, A. (2013). Chapter 1 - securitization. In G. Constantinides, M. Harris, & R. M. Stulz (Eds.), Handbook of the economics of finance (Vol. 2, pp. 1–70). Amsterdam: Elsevier.
Levin, A., & Davidson, A. (2008). The concept of credit OAS in valuation of MBS. Journal of Portfolio Management, 34(3), 41–55.
Schwarcz, S. (2013). Securitization and structured finance. In G. Caprio (Ed.), Key global financial markets, institutions, and infrastructure. New York: Academic.
Tuckman, B., & Serrat, A. (2012). Fixed income securities (3rd ed.). New York: John Wiley & Sons.
Metadaten
Titel
Overview of Securitization and Securitized Products
verfasst von
Laurent Gauthier
Copyright-Jahr
2020
Buch
Securitization Economics

Print ISBN: 978-3-030-50325-3

Electronic ISBN: 978-3-030-50326-0

Copyright-Jahr: 2020

DOI
https://doi.org/10.1007/978-3-030-50326-0_2