Developments In Collateralized Debt Obligations
The fastest growing sector of the fixed income market is the
market for collateralized debt obligations (CDOs). Fostered by the
development of credit default swaps (CDS) on all types of indexes
of corporate bonds, emerging market bonds, commercial loans, and
structured products, new products are being introduced into this
market with incredible speed.
In order to keep up with this dynamic market and its various
instruments, you need a guide that provides you with the most
up-to-date information available. That’s why Douglas Lucas, Laurie
Goodman, Frank Fabozzi, and Rebecca Manning have created
Developments in Collateralized Debt Obligations.
Filled with in-depth insights regarding new products, like
hybrid assets in ABS CDOs and trust preferred CDOs, and detailed
discussions on important issues-such as the impact of CDOs on
underlying collateral markets-this book will bring you completely
up to speed on essential developments in this field.
Written in a straightforward and accessible style,
Developments in Collateralized Debt Obligations will enhance
your understanding of this ever-evolving market-and its numerous
products.
Inhoudsopgave
Preface xi
About the Authors xv
PART ONE Introduction 1
CHAPTER 1 Review of Collateralized Debt Obligations 3
CHAPTER 2 Impact of CDOs on Collateral Markets 39
CHAPTER 3 CDO Rating Experience 49
PART TWO Developments in Synthetic CDOs 73
CHAPTER 4 ABS CDO Collateral Choices: Cash, ABCDS, and the ABX 75
CHAPTER 5 Hybrid Assets in an ABS CDO 99
CHAPTER 6 Synthetic CDO Ratings 117
CHAPTER 7 Credit Default Swaps on CDOs 125
PART THREE Emerging CDO Products 139
CHAPTER 8 Trust-Preferred CDOs 141
CHAPTER 9 Commercial Real Estate Primer 169
CHAPTER 10 Commercial Real Estate CDOs 205
CHAPTER 11 CRE CDO Relative Value Methodology 221
PART FOUR Other CDO Topics 243
CHAPTER 12 Rating Agency Research on CDOs 245
CHAPTER 13 Collateral Overlap and Single-Name Exposure in CLO Portfolios 257
Summary 272
Index 275
Over de auteur
DOUGLAS J. LUCAS is Executive Director at UBS and head of CDO research. He has an MBA from the University of Chicago.
LAURIE S. GOODMAN, PHD, is co-Head of Global Fixed Income Research at UBS. She holds a Ph D in economics from Stanford University.
FRANK J. FABOZZI, PHD, CFA, is Professor in the Practice of Finance at Yale University’s School of Management and the Editor of the Journal of Portfolio Management.
REBECCA J. MANNING is an Associate Director in the CDO Research Group at UBS. She holds an MBA from The Wharton School at the University of Pennsylvania.
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