Structured Products and Related Credit Derivatives A Comprehensive Guide for Investors

by Lancaster, Brian P.; Schultz, Glenn M.; Fabozzi, Frank J.

• ISBN13: 9780470129852
• ISBN10: 0470129859
• Edition: 1st
• Format: Hardcover
• Copyright: 2008-04-25
• Publisher: Wiley

Summary

This book begins with an introduction of the structured assets field by discussing securitization and trust structure. It then discusses basic valuation techniques including present value, future value, bootstrapping, spot rates, forward rates, zero spread analysis, and consumer ABS. The authors provide an in-depth account of the different types of ABS like residential, credit card, auto, student loan, and ABS credit derivatives. They then discuss the CDO market by offering readers all the best information for understanding CDOs, CDO equity, middle market CDOs, and commercial real estate. They then give an introduction to CMBS, and have a chapter on managed CRE CDOs and synthetic CRE CDOs. They then wrap up the structured assets discussion with a chapter on commercial ABS like aircraft securitization, intermodal "container" securitization, and triple X securitizations.

Author Biography

Brian P. Lancaster is Head of Structured Products Research at Wachovia. Prior to joining Wachovia, Lancaster was a managing director (principal) in structured products at Bear, Stearns & Co. Inc. from 1990 to 2001.

Glenn M. Schultz, MBA, is Managing Director and Head of ABS and Non-Agency Mortgage Research for Wachovia Capital Markets, LLC. Prior to joining Wachovia, Schultz was a managing director and head of residential ABS investment banking, managing the residential ABS and MBS businesses of the royal bank of Canada Financial Group.

Frank J. Fabozzi, PHD, CFA, is Professor in the Practice of Finance and Becton Fellow at Yale University's School of Management and the Editor of the Journal of Portfolio Management.

Table of Contents

Foreword

Acknowledgments

About the Editors

Contributing Authors

Background

Introduction

Structured Finance Operating Companies: SIVs, SLVs, and Other Structured Vehicles

Consumer ABS

Residential Asset-Backed Securities

Credit Card ABS

Auto Asset-Backed Securities

Student Loan ABS

Small Business Loan ABS

Valuation of Subprime ABS Credit Default Swaps

Collateralized Debt Obligations

Basics of Cods

CDOs by Asset Type

Credit Derivatives and Synthetic CDOs

CDO Performance

CDO Equity

Commercial Real Waste

Commercial Mortgage-Backed Securities

Understanding Managed CRE CDOs

Synthetic CRE CDOs

European Commercial Real Estate CDOs

Government National Mortgage Association Multifamily Deals

Commercial ABS

Aircraft-Backed Debt Securities

Intermodal Equipment Securitization

Life Insurance Reserve Securitization

Index

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