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Asset-Backed Securities

ISBN: 978-1-883249-10-6
410 pages
September 1996
Asset-Backed Securities (1883249104) cover image
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.
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Contributing Authors.

Acknowledgements.

Index of Advertisers.

PART I: GENERAL.

1. The Expanding Frontiers of Asset Securitization (A. Bhattacharya and F. Fabozzi).

2. Securitization in Europe (P. Taylor).

PART II: PRODUCT AREAS.

3. Credit-Card Receivables (R. Karr, et al.).

4. Auto Loan-Backed Securities (T. Zimmerman and L. Burrell).

5. Manufactured Housing Securities (T. Zimmerman and I. Koren).

6. Analysis of Manufactured Housing-Backed Securities (J. Dunlevy and A. Shook).

7. Introduction to the B&C Home-Equity Loan Market (M. Dear and L. Blum).

8. Evolution of the B&C Home-Equity Loan Securities Market (H. McCall, III and L. Blum).

9. Equipment Lease-Backed Securities (J. Lucas and T. Zimmerman).

10. SBA Loan-Backed Securities (D. Faulk).

11. The Securitization of Health-Care Receivables (V. Pica and A. Bhattacharya).

12. The Commercial Property Market and Underwriting Criteria for Commercial Mortgages (J. Adams).

13. CMBS Structures and Relative Value Analysis (J. Adams).

14. Investing in Interest-Only Commercial Mortgage-Backed Securities (J. Adams, et al.).

PART III: STRUCTURING CONSIDERATIONS.

15. Structuring Efficient Asset-Backed Transactions (L. Blum and C. DiAngelo).

16. A Rating Agency Perspective on Asset-Backed Securitization (S. Michaud).

17. Credit Enhancement in ABS Structures (L. Hsu and C. Mohebbi).

18. Early Amortization Triggers (A. Bhattacharya).

19. Home-Equity Loan Floaters (L. Tsai and C. Mohebbi).

20. Dynamics of Cleanup Calls in ABS (T. Zimmerman).

21. ABS B-Pieces (T. Zimmerman).

PART IV: RELATIVE VALUE CONSIDERATIONS.

22. Prepayment Nomenclature in the ABS Market (A. Bhattacharya).

23. Evaluation of ABS Prepayments (A. Bhattacharya).

24. Z-Spreads (A. Bhattacharya and C. Sze).

PART V: ACCOUNTING CONSIDERATIONS.

25. Introduction to ABS Accounting (L. Blum and E. Mitnick).

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

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management.
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