Instructional Video: Choudhry, Chapter 12: An Introduction to Securitisation

Moorad Choudhry, Structured Credit Products: Credit Derivatives & Synthetic Securitization, An Introduction to Securitization is a 55 minute instructional video analyzing the following concepts:

* Define securitization, describe the securitization process and explain the role of participants in the process.
* Explain the terms over-collateralization, first-loss piece, equity piece, and cash waterfall within the securitization process.
* Analyze the differences in the mechanics of issuing securitized products using a trust versus a special purpose vehicle (SPV) and distinguish between the three main SPV structures: amortizing, revolving, and master trust.
* Explain the reasons for and the benefits of undertaking securitization.
* Describe and assess the various types of credit enhancements.
* Explain the various performance analysis tools for securitized structures and identify the asset classes to which they are most applicable.
* Define and calculate the delinquency ratio, default ratio, monthly payment rate (MPR), debt service coverage ratio (DSCR), the weighted average coupon (WAC), the weighted average maturity (WAM), and the weighted average life (WAL) for relevant securitized structures.
* Explain the prepayment forecasting methodologies and calculate the constant prepayment rate (CPR) and the Public Securities Association (PSA) rate.
* Explain the decline in demand in the new-issue securitized finance products market following the 2007 financial crisis.

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