Asset-Backed Securities

Asset-Backed Securities provides comprehensive coverage of the major asset-backed securities, structuring issues, and relative value analysis from the leading experts in the field. Comprehensive coverage includes the expanding frontiers of asset securitization, introduction to ABS accounting, trends in the structuring of ABSs, and prepayment nomenclature in the ABS market.

Anand K. Bhattacharya is Senior Vice President and Director of Fixed Income Securities at Prudential Securities, Inc.

Contributing Authors

iv

(3)

Acknowledgements

vii

(1)

Index of Advertisers

viii

Part I: General

1

(62)

1. The Expanding Frontiers of Asset Securitization

1

(20)

Anand K. Bhattacharya

Frank J. Fabozzi

2. Securitization in Europe

21

(42)

Paul Taylor

Part II: Product Areas

63

(175)

3. Credit-Card Receivables

63

(22)

Robert Karr

Greg Richter

R. J. Shook

Lirenn Tsai

4. Auto Loan-Backed Securities

85

(18)

Thomas Zimmerman

Leo Burrell

5. Manufactured Housing Securities

103

(16)

Thomas Zimmerman

Inna Koren

6. Analysis of Manufactured Housing-Backed Securities

119

(10)

John N. Dunlevy

Andrew Shook

7. Introduction to the B&C Home-Equity Loan Market

129

(8)

Morton Dear

Len Blum

8. Evolution of the B&C Home-Equity Loan Securities Market

137

(10)

Henry C. McCall III

Len Blum

9. Equipment Lease-Backed Securities

147

(22)

John Lucas

Thomas Zimmerman

10. SBA Loan-Backed Securities

169

(10)

Donna Faulk

11. The Securitization of Health-Care Receivables

179

(8)

Vincent T. Pica

Anand K. Bhattacharya

12. The Commercial Property Market and Underwriting Criteria for Commercial Mortgages

187

(20)

Jonathan Adams

13. CMBS Structures and Relative Value Analysis

207

(20)

Jonathan Adams

14. Investing in Interest-Only Commercial Mortgage-Backed Securities

227

(10)

Jonathan Adams

Inna Koren

Lina Hsu

Part III: Structuring Considerations

237

(94)

15. Structuring Efficient Asset-Backed Transactions

237

(32)

Len Blum

Chris DiAngelo

16. A Rating Agency Perspective on Asset-Backed Securitization

269

(8)

Suzanne Michaud

17. Credit Enhancement in ABS Structures

277

(8)

Lina Hsu

Cyrus Mohebbi

18. Early Amortization Triggers

285

(6)

Anand K. Bhattacharya

19. Home-Equity Loan Floaters

291

(8)

Lirenn Tsai

Cyrus Mohebbi

20. Dynamics of Cleanup Calls in ABS

299

(6)

Thomas Zimmerman

21. ABS B-Pieces

305

(26)

Thomas Zimmerman

Part IV: Relative Value Considerations

331

(38)

22. Prepayment Nomenclature in the ABS Market

331

(10)

Anand K. Bhattacharya

23. Evaluation of ABS Prepayments

341

(16)

Anand K. Bhattacharya

24. Z-Spreads

357

(12)

Anand K. Bhattacharya

Carol Sze

Part V: Accounting Considerations

369

(14)

25. Introduction to ABS Accounting

369

(14)

Len Blum

Evan Mitnick

Index

383

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Asset-Backed Securities

Summary

Author Biography

Table of Contents

Supplemental Materials