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245© The Author(s) 2017B.G. Buchanan, Securitization and the Global Economy, DOI 10.1057/978-1-137-34287-4

Index

AABACUS 2007-AC1 deal, 131–3,

137–9ABCP. See asset backed commercial

paper (ABCP)ABS. See asset backed securities

(ABS)accounts receivable securitization, x,

80–3adjustable rate mortgages (ARMs), 22,

36, 37, 114, 115, 132agency risk, 113alchemy, 2American Express (CDO transactions),

118–22American Recovery and Reinvestment

Act of 2009, 197ARM. See adjustable rate mortgages

(ARMs)Asia Development Bank

Recommendations (ADB), 153

Asian financial crisis, 142, 151, 153Askin hedge fund (CMO use), 122

asset backed commercial paper (ABCP), 11, 17, 24, 37, 39, 113, 133, 198–200

Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility (AMLF), 198, 200

asset backed securities (ABS), 5, 17, 21, 23, 26, 27, 30, 31, 57, 71–3, 77, 78, 81, 87, 88, 91–3, 101, 102, 105–7, 113, 118, 120, 123–5, 127, 128, 143, 151, 152, 154, 159, 161, 162, 164, 165, 187, 194, 198, 199, 202–4, 210–12, 222, 224, 226

auto loan securitization, 154

Bbalance sheet(s), viii, 3, 13–15, 17, 20,

21, 23, 24, 31, 38, 39, 50, 57, 58, 81, 101, 105, 107, 112, 116, 129, 142, 146, 152, 157, 163, 175, 180, 185, 187, 195, 197, 210–12, 225

Note: Page numbers followed by “n” refer to foot notes

246 INDEX

Bank of America, 4, 14, 38, 72, 77, 125, 177, 183

Basel III reforms, 208Basel II Principles, 205, 207–9Basel 2.5 Principles, 207Bear Stearns, 5, 22, 37, 199Boston Mortgage Company, 62Bowie bonds, x, 80, 94–5, 127Brady Bonds, 142brand name securitizations, x, 80, 97–8British East India Company, 53Bühring, 58

Ccapital regulatory requirements, 3Capital Requirements Directive

(CRD), 205–7, 217capture theory, 88–90Carrington Capital Asset Management

(CCAM), ix, 34–6CDO. See collateralized debt

obligations (CDO)Chinese market, securitization, x, 141,

152, 160, 163, 166Citigroup, 4, 22, 34, 103, 193CLO. See collateralized loan

obligations (CLO)CMBS. See commercial mortgage

backed securities (CMBS)CMO. See collateralized mortgage

obligations (CMO)collateralized commodity obligation

(CCO), 16, 79collateralized debt obligations (CDO),

4, 5, 16, 18, 19, 22, 25–6, 27, 31, 34, 36–8, 40, 78, 79, 113–16, 118–21, 122, 123, 131–8, 146–8, 152–4, 163, 193, 194, 199, 204, 206, 213, 215, 225

collateralized foreign exchange obligations (CXO), 16, 79

collateralized loan obligations (CLO), x, 16, 25, 78, 79, 114, 118, 120, 136, 141, 152, 154, 155, 163, 165, 222

collateralized mortgage obligations (CMO), 16, 18, 73, 77, 79, 114, 122, 136n7, 150, 152, 154, 222

collateralized synthetic obligations (CSO), 16, 79

commercial mortgage backed securities (CMBS), 25, 26, 77, 78, 149, 151, 157, 159, 162, 222

Commercial Paper Funding Facility (CPFF), 198, 199

compera, 51, 52, 74n3, 74n4conduits, 6, 11, 23, 24, 73, 113Conseco Financial Corporation, 125Consolidated Association of Planters

of Louisiana (CAPL), 54–5counterparty risk, 99, 113Countrywide Financial, 5, 38, 193covered bonds, 39, 50, 60, 173–85,

187, 210, 212, 217CRA. See credit ratings agencies (CRA)CRD. See Capital Requirements

Directive (CRD)Credit Agency Regulation (CAR), 205credit card securitization, 2, 14, 15,

23, 30, 73, 78, 83, 91, 92, 114, 145, 148, 222, 226

credit enhancement, viii, 3, 21, 35, 36, 81, 98, 106, 113, 142, 144, 153, 161, 188

Credit Foncier, 61, 68, 178Credit ratings agencies (CRA), 3, 18,

25, 130, 201, 205, 206credit risk, viii, 3, 15, 17, 19, 20, 22,

54, 56, 59, 99, 103, 113, 115, 119, 132, 133, 143, 151, 161, 165, 166, 177, 181, 182, 185, 201, 208, 209, 211, 216

currency risk, 113

247INDEX

DDanish covered bond market, 179,

181debt, 1, 3–5, 7–9, 13–19, 25, 31, 35,

37, 40, 51, 52, 54–8, 60, 61, 63, 66, 68, 69, 71, 74n2, 77, 78, 80–5, 91–3, 98–107, 114–16, 119, 124, 125, 128, 136, 136n7, 142, 143, 145, 150, 151, 153, 156, 157, 165, 175, 178, 179, 183, 185, 186, 188, 191, 193, 199, 204, 206, 293

default correlations, 23, 114, 121, 122default delinquencies, 36, 83, 126De Neufville bank, 57Deutz Company, 52, 53Dodd-Frank Wall Street Reform and

Consumer Protection Act, 201dowry funds (Monte delle Doti), 55–6Dutch Hope Company, 53, 54

EEC. See European Commission (EC)ECB. See European Central Bank

(ECB)Economic Stimulus Act of 2008, 196Emergency Home Finance Act, 71emerging markets, 16, 21, 98, 128,

141–69eminent domain, 191, 223Equipment Trust Certificate (ETC),

69equity tranche (residual tranche), 18,

22, 24, 34, 35, 163European Central Bank (ECB), 5, 31,

105–7, 174, 176, 184, 204, 205, 210–12, 224, 225

European Commission (EC), 103, 213, 215–17

European Financial Stability Facility (EFSF), 206

Eurostat rules, 101, 103–5Eurozone crisis, 105–7External Ratings Based Approach

(ERBA), 208

FFannie Mae, 5, 12, 13, 49, 61, 69, 72,

77, 112, 121, 150, 182, 194–7, 202, 203, 222

Federal Home Loan Mortgage Association (FHLMC), 5, 12, 49, 71–3, 121

Federal Housing Authority (FHA), 12, 13, 69, 72, 223

Federal National Mortgage Association (FNMA), 5, 12, 13, 49, 61, 69–72, 112, 121, 150, 182, 183, 194–7, 202, 203, 222

FFS. See future flow securitizations (FFS)

FHA. See Federal Housing Authority (FHA)

FHLMC. See Federal Home Loan Mortgage Association (FHLMC)

film securitizations, 95–7financial bubbles, 50, 84, 98, 114,

128, 197Financial Crisis Inquiry Commission

(FCIC), 2, 4, 50, 111, 112, 116, 118

financial innovation(s), 4, 9, 19, 49, 62, 68, 73, 113, 114

financialization, 1, 2, 4–12, 16, 17, 144

Freddie Mac, 5, 12, 13, 49, 61, 71, 72, 77, 112, 121, 182, 183, 194–7, 202, 203, 222

Frederick the Great, 58, 178future flow securitizations (FFS),

92, 98, 126–9, 144, 148, 151, 152

248 INDEX

GGaussian copula function, 114, 121Ginnie Mae, 5, 12, 49, 70, 77, 196,

197, 222, 223global financial crisis, 5, 13, 129–30,

147, 154, 162, 173, 179, 195–203, 221

globalization, 2, 3, 12, 16GNMA. See Government National

Mortgage Association (GNMA)governance risk(s), 113Government National Mortgage

Association (GNMA), 5, 12, 49, 70–2, 77, 183

government sponsored entity (GSE), 12, 18, 72, 154, 182, 196, 203, 223

Greek securitization market, 101–3, 107G20 Retention Principles, 206GSAMP Trust 2006-S3 securitization,

129–30GSE. See government sponsored entity

(GSE)Guaranteed Mortgage Certificate, 72guaranteed mortgage participation

certificates (GMPC), 68

HHeilig-Meyers (ABS), 83, 125Housing and Economic Recovery Act

of 2008, 196housing bubble, 9, 197, 207

Iidiosyncratic risk, 23, 114, 121, 122IMF, 5, 33, 77, 78, 101, 180information asymmetry, 20, 21, 88,

143, 188intellectual property securitization, 80,

92–8interest rate risk, 71, 113, 115, 182

internal ratings based approach (IRB), 208, 209

Islamic securitization, 185–9

Jjaybirds, 66J.B. Watkins Company, 66JP Morgan, 4, 38, 147

LLandschaften, 58–60, 178lawsuit settlements, 4“lemons problem”, 21, 59, 89, 91leverage, 19, 37, 56, 74n2, 101,

111, 115, 119, 128, 129, 146, 208

life insurance securitization, 127Liquidity Coverage Ratio

(LCR), 209liquidity risk, 3, 98, 113, 128, 209Lombard Investment Company of

Kansas, 66London Interbank Offer Rate

(LIBOR), 37, 41n18, 87, 187LTV Steel, 123, 124luogo di monte, 51

Mmarket risk, 113maturity mismatch, 163maturity transformation model, 11MBS. See mortgage backed securities

(MBS)Mercantile Trust Company, 63mezzanine tranche(s), 18, 19, 24, 118,

211microfinance securitization, 145–7Minsky, Hyman, 3, 16, 23MMMF. See money market mutual

funds (MMMFs)

249INDEX

money market mutual funds (MMMFs), 12, 24, 195, 199, 200, 203

Moody’s, 3, 17, 68, 88, 94, 97, 106, 118, 122, 130

moral hazard, 23, 55, 59, 81, 98, 116, 128, 162, 188, 201

mortgage backed bonds, 57, 67, 177mortgage backed securities (MBS), 2,

4, 18, 19, 24–5, 26, 27, 30, 31, 33, 34, 38, 42, 49, 50, 52, 57, 61, 62, 70, 72, 73, 77–109, 115–19, 121, 126–9, 131, 136, 143, 153, 154, 160, 164, 165, 173, 175, 183, 197, 201, 211, 222, 223

mortgage market(s), 4, 12, 13, 16, 19, 33, 35–9, 65, 68, 72, 73, 84, 86, 90, 112, 127, 129, 133, 144, 148, 149, 152, 180, 181, 202

Nnarrow funding banks (NFB), 203negotiates (plantation loans), 52non-performing loan (NPL), 5, 16,

141, 142, 151, 153, 155, 156, 158–61, 163, 165

Northern Rock, 38–40NPL. See non-performing loan (NPL)

Ooff balance sheet financing, 22, 23, 96,

97, 101, 112, 113, 122, 160, 200, 209, 213

originate-to-distribute model (OTD), 17–19, 116–17, 195

Originate-to-Hold model (OTH), 17–19, 116, 128

OTD. See Originate-to-distribute model (OTD)

OTH. See Originate-to-Hold model (OTH)

overcollateralization, 21, 33, 40n13, 113, 181, 206

Ppass-through mortgage backed

securities, 14, 72, 73, 77pay-option ARM, 114, 115peer-to-peer lending, 95, 226Pfandbriefe, 30, 57–61, 178, 179PLS. See private label securitization

(PLS)Point Pleasant CDOs, 135prepayment risk, 70, 113, 176, 188Primary Dealer Credit Facility

(PDCF), 198, 199private label securitization (PLS), 5,

16, 22, 77, 78, 191, 196, 223Prussian mortgage market, 68public label securitization, 206

Qqualifying securitizations, 212

RRanieri, Lewis, 2, 13, 40n4, 72, 78,

107n1, 107n2, 112ratings based approach (RBA), 208Regulation Q, 69, 70regulatory arbitrage, 20, 207regulatory responses, 155, 195–203,

206, 212residential mortgage backed securities

(RMBS), 18, 24–6, 30, 33, 34, 37, 40n13, 70, 77, 78, 106, 113, 118, 120–2, 131–3, 147–50, 152, 157, 159, 161, 175, 194, 195, 199, 203, 204, 223–5

Resolution Trust Company (RTC), 13, 78, 153, 154, 160

ring fence, 175

250 INDEX

risk,, 2, 3, 20–2, 50, 56, 69, 70, 81, 98, 111–39, 142, 143, 145, 150, 151, 175, 195, 221

RMBS. See residential mortgage backed securities (RMBS)

SSallie Mae, 84–6, 87, 89–90Salomon Brothers, 12, 14, 72, 78, 112Sears (securitization), 95, 97SEC, 4, 36, 78, 131–3, 138, 184,

185, 201, 221, 222securitization

Asia, 151–4benefits, ix, 19, 22–4, 98, 99, 157complexity issues, 36, 119definition, 13–15disadvantages, 121ethical issues, 111India, 154Latin America, 147, 149–51, 164lawsuits, 4, 191, 193–5

servicing risk, 113Seven Years War, 53, 56, 57, 178shadow banking, 11, 157, 162, 195,

201, 203“simple, transparent and standardized”

securitization (STS), 215SIV. See structured investment vehicles

(SIV)skin in the game, 36, 58, 175, 180,

182, 195, 200, 201, 204SLABS. See student asset backed

securities (SLABS)solar lease securitization, 98–9sovereign debt securitization, 80,

99–107, 136sovereign ratings, 103, 143, 145sovereign risk, 113, 142, 145, 147special purpose vehicle (SPV), x, 3, 17,

18, 24, 57, 81, 82, 93, 94, 96, 98, 101–3, 111, 115, 123, 124,

136, 144, 145, 149, 159, 161, 176, 177, 199, 200, 216

SPV. See special purpose vehicle (SPV)Standard and Poor’s, 3, 17, 88, 106,

187standardized approach (SA), 208Straus bonds, 68structured investment vehicles (SIV),

18, 23, 133, 195student asset backed securities

(SLABS), x, 27, 80, 83–92student loan securitization, 87subprime borrowers, 33, 36synthetic collateralized debt

obligations, 4

Tteaser rates, 36, 37Term Asset-Backed Securities loan

Facility (TALF), 91, 198Term Auction Facility (TAF), 195Term Securities Lending Facility

(TSLF), 199Timberwolf CDOs, 133–5tranches, 3, 16, 18, 23–5, 35–7, 51,

52, 79, 81, 87–90, 98, 103, 112–16, 118, 120, 121, 130, 131, 143, 146, 159, 209, 211, 215, 226

“transparent and standardized” Securitization, 214, 215, 218n20

trente demoiselles de Geneve, 55–6Troubled Asset Relief Program

(TARP), 197“true” securitization, 142

UUnited States Mortgage Company, 63U.S. Housing Act, 70U.S. western mortgages, 63, 65, 67

251INDEX

VValue at Risk (VaR), 36Veteran’s Authority

(VA), 12Villard, Henry, 62

WWatkins Land Company, 66West Indies plantation mortgages, 52Workers’ Remittances Securitization,

144–5