Investing in Asset-Backed Securities

by Fabozzi, Frank J.

• ISBN13: 9781883249809
• ISBN10: 1883249805
• Edition: 1st
• Format: Hardcover
• Copyright: 2001-11-09
• Publisher: Wiley

Summary

A collection of articles from various professionals, discussing the details of investing in asset-backed securities. Main topics addressed include non-real estate backed ABS, collateralized debt obligations, residential real-estate backed ABS, accounting, commercial mortgage backed securities, and analysis of ABS.

Author Biography

Frank J. Fabozzi is editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University’s School of Management. Frank is a Chartered Financial Analyst and Certified Public Accountant. He is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate of economics from the City University of New York in 1972 and in 1994 received an honorary doctorate of Human Letters from Nova Southeastern University. Frank is a Fellow of the International Center for Finance at Yale University.

Table of Contents

Contributing Authors	v
Overview of ABS Portfolio Management	1	(16)
Karen Weaver
Stephanie Whitten
Eugene Xu
Rating Asset-Backed Securities	17	(26)
Andrew A. Silver
Non-Real Estate Backed ABS	43	(196)
Securities Backed by Credit Card Receivables	45	(16)
John N. McElravey
Securities Backed by Auto Loans and Leases	61	(40)
Neil McPherson
Securities Backed by Recreational Vehicle Loans	101	(38)
Nichol Bakalar
James Nimberg
Equipment-Financed ABS	139	(12)
James S. Anderson
Scott H. Shannon
Kristina L. Clark
Aircraft Asset-Backed Securities	151	(18)
Joseph Philips
Oliver Hsiang
SBA Development Company Participation Certificates	169	(18)
Christopher Flanagan
Weisi Tan
Franchise Loan Securitization	187	(16)
James S. Anderson
Kristina L. Clark
Student Loan Floaters	203	(8)
Thomas Zimmerman
Healthcare Receivable Backed ABS	211	(12)
Neil McPherson
Todd Fasanella
Dealer Floorplan ABS	223	(16)
Karen Weaver
Nichol Bakalar
Collateralized Debt Obligations	239	(82)
Collateralized Debt Obligations	241	(38)
Charles Schorin
Steven Weinreich
Relative Value Framework for Collateralized Debt Obligations	279	(10)
Charles Schorin
Steven Weinreich
Analyzing Mezzanine Tranches of CBOs	289	(10)
Laurie Goodman
Jeffrey Ho
Emerging Market CBOs	299	(10)
Laurie Goodman
Market Value CBOs	309	(12)
Laurie Goodman
Residential Real Estate Backed ABS	321	(70)
Mortgage Credit Analysis	323	(14)
Joel W. Brown
William M. Wadden IV
Securities Backed by Closed-End Home Equity Loans	337	(16)
R. Russell Hurst
Home Equity Line of Credit (HELOC) Securitizations	353	(12)
W. Alexander Roever
John N. McElravey
Glenn M. Schultz
Securities Backed by Manufactured Housing Loans	365	(16)
James S. Anderson
Kristina L. Clark
Securities Backed by Tax Liens	381	(10)
Chris Flanagan
Ralph DiSerio
Ryan Asato
Commercial Mortgage-Backed Securities	391	(50)
Commercial Mortgage-Backed Securities	393	(14)
Anthony B. Sanders
Structure, Valuation, and Performance of CMBS	407	(18)
Rich Gordon
Lang Gibson
Floating-Rate Commercial Mortgage-Backed Securities	425	(16)
Patrick Corcoran
Joshua Phillips
Analysis of ABS	441	(66)
Performance, Risk, Structure, and Valuation of Credit-Sensitive ABS	443	(14)
Lang Gibson
Identifying Relative Value in the ABS Market	457	(20)
Lisa N. Wilhelm
W. Alexander Roever
Analysis of ABS	477	(20)
Frank J. Fabozzi
Shrikant Ramamurthy
Laurent Gauthier
A Framework for Evaluating Cleanup Calls in Amortizing ABS	497	(10)
Arthur Chu
Accounting	507	(20)
Accounting for Investments in MBS and ABS	509	(18)
Sunil Gangwani
Allen S. Thomas
James Mountain
Index	527