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 | |
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