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9780470045312

Collateralized Debt Obligations: Structures and Analysis, 2nd Edition

by ; ;
  • ISBN13:

    9780470045312

  • ISBN10:

    0470045310

  • Format: eBook
  • Copyright: 2006-08-01
  • Publisher: Wiley
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Summary

Since first edition's publication, the CDO market has seen tremendous growth. As of 2005, $1.1 trillion of CDOs were outstanding -- making them the fastest-growing investment vehicle of the last decade. To help you keep up with this expanding market and its various instruments, Douglas Lucas, Laurie Goodman, and Frank Fabozzi have collaborated to bring you this fully revised and up-to-date new edition of Collateralized Debt Obligations. Written in a clear and accessible style, this valuable resource provides critical information regarding the evolving nature of the CDO market. You'll find in-depth insights gleaned from years of investment and credit experience as well as the examination of a wide range of issues, including cash CDOs, loans and CLOs, structured finance CDOs and collateral review, emerging market and market value CDOs, and synthetic CDOs. Use this book as your guide and take advantage of this dynamic market and its products.

Table of Contents

Preface
About the Authors
Introduction to Cash CDOs
Cash CDO Basics
Why Study CDOs?
Understanding CDOs
Credit Structures
A CDO Structural Matrix
CDOs Being Offered Today
Parties to a CDO
Cash Flow CDOs
Distribution of Cash Flows
Restrictions on Management: Safety Nets
Credit Ratings
Call Provisions in CDO Transactions
Loans and CLOs
High-Yield Loans: Structure and Performance
The Loan Market
The Syndication Process
Loan Structure and Leaders
Loan Interest Rates and Upfront Fees
Loan Credit Quality
Lender's Liability
Overview of Loan Terms
Loan Terms versus Bond Terms
A Tale of Two Loans
The Secondary Market
Loan Recovery Rates
Loan Default Rates
High-Yield Loan CLO versus High-Yield Bond CBO Performance
Conclusion
European Bank Loans and Middle Market Loans
European Bank Loans
Middle Market Loans
Conclusion
Sturctured Finance CDOs and Collateral Review
Review of Structured Finance Collateral: Mortgage-Related Products
Residential Mortgage-Backed Securities
Commercial Mortgage-Backed Securities
Real Estate Investment Trust Debt
Review of Structured Finance Collateral: Nonmortgage ABS
Credit Card Receivable-Backed Securities
Auto Loan-Backed Securities
Student Loan-Backed Securities
SBA Loan-Backed Securities
Aircraft Lease-Backed Securities
Franchise Loan-Backed Securities
Rate Reduction Bonds
Structured Finance Default and Recovery Rates
Structured Finance versus Corporate Default Rates
S&P Rating Transition Studies and the Matrix Multiplying Approach
Results of Multiplying S&P Rating Transition Matrices
S&P on Structured Finance Loss Given Default
S&P Constant Annual Default and Recoveries
Moody's Material Impairment Study
Comparing and Reconciling Structured Finance Default Rates
Moody's on Structured Finance Historical Loss Rates
Moody's Constant Annual Default and Recoveries
Blending S&P and Moody's Studies
Applying CDRs and Recoveries to SF CDOs
Conclusion
Structured Finance Cash Flow CDOs
SF CDOs versus High-Yield CDOs
Rating Agencies on Structured Finance CDOs
Structured Finance Assets' Negative Convexity
Extension Risk
Conclusion
Other Types Of Cash CDOs
Emerging Market CDOs
EM Sovereign Bond Defaults
Why the Better Track Record?
CDO Rating Differences: EM versus High Yield
Conclusion
Market Value CDOs
Cash Flow versus Market Value Deals
The Rating Process
How Advance Rates Are Derived
Conclusion
Synthetic CDOs
Introduction to Credit Default Swaps and Synthetic CDOs
Credit Default Swaps
Synthetic CDOs
Conclusion
Synthetic Balance Sheet CDOs
Cash CLOs for Balance Sheet Management
Partially Funded Synthetic CDOs
Conclusion
Synthetic Arbitrage CDOs
Full Capital Structure Synthetic Arbitrage CDOs
Single-Tranche CDOs
Standard Tranches of CDS Indices
Conclusion
A Framework for Evaluating Trades in the Credit Derivatives Market
Assessing Single-Name and CDO Tranched Exposures
Assessing CDO Equity versus a Basket Swap
Conclusion
Table of Contents provided by Publisher. All Rights Reserved.

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