Foreword xi Preface xv PART ONE Introduction to Securitization 1 CHAPTER 1 Introduction to Securitization and Asset-Backed Securities 3 The Concept of Securitization 4 The Process of Securitization 7 Securitizing Mortgages 14 ABS Structures: A Primer on Performance Metrics and Test Measures 18 Securitization: Features of the 2007-2008 Financial Crisis 24 Summary and Conclusions 33 References 34 CHAPTER 2 The Securitization Market Post-2007 35 Market Observation 35 Impact on Rating Agencies 40 Summary and Conclusions 42 PART TWO Guide to Closing a Securitization Transaction 45 CHAPTER 3 Structuring and Execution of a Transaction 47 A Securitization Process 47 Summary and Conclusions 69 CHAPTER 4 The Rating Agency Process and Legal Review 71 Select Rating Agencies 71 Undertaking Legal Due Diligence 73 Begin Drafting Documents 78 Set Up the SPV 82 Modeling the Transaction 85 Determine Capital Structure/Trigger Levels 90 Prepare Marketing Materials 96 Pricing, Close, and Settlement 98 Summary and Conclusions 99 CHAPTER 5 Static Synthetic CDO Cash Flow Waterfall Model 101 Summary and Conclusions 107 PART THREE Transaction Closing Templates and Checklists 111 CHAPTER 6 Transaction Templates and Checklists 113 Red Sea Master Series Limited Structure Diagram 113 Underlying Asset Pool 113 Draft Term Sheet 120 Closing Process 126 Structuring Notes 127 Rating Agency Preparation and Questionnaire 129 Loan-Level Data: Rating Agency Checklist 138 Agenda for Rating Agency Site Visit 140 Legal Counsel Review 140 Form of Transfer Certificate 144 Investor and Rating Agency Presentation Template 147 In-House Credit Rating Mapping Chart: Lower and Upper Values 149 Rating Agency Presentation: Corporate Bank Origination Processes 149 Loan Transfer Schedule of Tasks 154 Loan Transfers, Accounting Movements 158 Sign-Off Document: Securitization Project 160 Securitization Testing: Finance Department 161 Accounting Process on Closing 166 EUR Junior Tranche Trade Ticket 167 Senior Tranche Trade Ticket 168 Internal Transfer Booking Process 169 Questions from Trustee, Paying Agent, and Services Provider 169 Summary and Conclusions 172 About the Authors 173 Index 175.