05523nam 22007334a 450 991101996820332120200520144314.09786610855469978111919776811191977679781280855467128085546097804701513960470151390(CKB)1000000000356253(EBL)292448(OCoLC)156218062(SSID)ssj0000138096(PQKBManifestationID)11139525(PQKBTitleCode)TC0000138096(PQKBWorkID)10096983(PQKB)10023650(MiAaPQ)EBC292448(FR-PaCSA)88944033(FRCYB88944033)88944033(Perlego)2757337(EXLCZ)99100000000035625320090204d2007 uy 0engur|n|---|||||txtccrDevelopments in collateralized debt obligations new products and insights /Douglas J. Lucas ... [et al.]Hoboken, N.J. Wileyc20071 online resource (305 p.)The Frank J. Fabozzi seriesDescription based upon print version of record.9780470135549 0470135549 Includes bibliographical references and index.Developments in Collateralized Debt Obligations; Contents; Preface; ACKNOWLEDGMENTS; About the Authors; Part I: Introduction; Chapter 1: Review of Collateralized Debt Obligations; Understanding CDOs; CASH FLOW CDOs; Synthetic Arbitrage CDOs; Conclusion; Chapter 2: Impact of CDOs on Collateral Markets; COLLATERALIZED LOAN OBLIGATIONS AND THE HIGH-YIELD BANK LOAN MARKET; STRUCTURED FINANCE CDOs AND THE MEZZANINE MORTGAGE ABS MARKET; TRUST-PREFERRED SECURITIES CDOs AND THEIR COLLATERAL MARKET; CONCLUSION; Chapter 3: CDO Rating Experience; CDO RATING DOWNGRADE DATACDO AND TRANCHE RATING DOWNGRADE FREQUENCYCDO DOWNGRADE PATTERNS; WHY DOWNGRADE PATTERNS?; DOWNGRADE SEVERITY; EXTREME RATING DOWNGRADES; CDO "DEFAULTS" AND NEAR "DEFAULTS"; SUMMARY; Part II: Developments in Synthetic CDOs; Chapter 4: ABS CDO Collateral Choices: Cash, ABCDS, and the ABX; GROWTH OF THE SUBPRIME SYNTHETIC MARKET; IMPORTANCE OF ABCDS TO CDO MANAGERS; ABCDS; THE ABX INDEX; FUNDAMENTAL CONTRACTUAL DIFFERENCES-SINGLE-NAME ABCDS/ABX INDEX/CASH; SUPPLY/DEMAND TECHNICALS; WHAT KEEPS THE ARBITRAGE FROM GOING AWAY?; BOTTOM LINE-BUYERS VERSUS SELLERSTHE CASH/ABCDS BASIS AND THE CDO ARBITRAGESINGLE-NAME ABCDS VERSUS ABX IN CDOs; SUMMARY; Chapter 5: Hybrid Assets in an ABS CDO; CORPORATE CDS AND ABCDS; ADVANTAGES OF HYBRID ASSETS IN AN ABS CDO; ILLUSTRATIVE HYBRID ABS CDO STRUCTURE; CASH FLOW CHALLENGES; CONCLUSIONS; Chapter 6: Synthetic CDO Ratings; TESTS OF INDEX PORTFOLIOS; AAA RATINGS AND EXPECTED LOSS VERSUS DEFAULT PROBABILITY; BARBELL PORTFOLIOS; SUMMARY; Chapter 7: Credit Default Swaps on CDOs; CDO CDS NOMENCLATURE; CDO CREDIT PROBLEMS AND THEIR CONSEQUENCES; ALTERNATIVE INTEREST CAP OPTIONS; MISCELLANEOUS TERMSCASH CDO VERSUS CDO CDSEXITING A CDO CDS; RATING AGENCY CONCERNS ON CDOS THAT SELL PROTECTION VIA CDO CDS; SUMMARY; Part III: Emerging CDO Products; Chapter 8: Trust-Preferred CDOs; TRUST-PREFERRED SECURITIES; OTHER TruPS CDO ASSETS; TruPS CDO ISSUANCE; BANK TruPS PREPAYMENTS AND NEW CDO ISSUANCE; TruPS CDO STRUCTURE; ASSUMPTIONS USED BY RATING AGENCIES; TruPS CDO PERFORMANCE; TruPS ISSUERS AND ISSUES; SUMMARY; Chapter 9: Commercial Real Estate Primer; LOAN ORIGINATION; PROPERTY-LEVEL LOANS; COMMERCIAL MORTGAGE-BACKED SECURITIES; REIT SECURITIES; EVALUATING CREL AND CMBSCREL HISTORICAL PERFORMANCECMBS HISTORICAL PERFORMANCE; SUMMARY; Chapter 10: Commercial Real Estate CDOs; CRE CDO DEFINED; MARKET TRENDS; CRE FINANCE BEFORE CDOs; TYPES OF CRE CDOs; CRE CDO PERFORMANCE; INVESTORS; CRE CDO CREDIT ANALYSIS; RATING CRE CDOs; SUMMARY; Chapter 11: CRE CDO Relative Value Methodology; WHOLE LOAN CREL CDOs VERSUS HIGH-YIELD CLOs; INVESTMENT-GRADE CMBS CDOs VERSUS MEZZANINE STRUCTURED FINANCE CDOs; RELATIVE VALUE AMONG CRE CDOs; SUMMARY; Part IV: Other CDO Topics; Chapter 12: Rating Agency Research on CDOsUSING RATING WATCHES AND OUTLOOKS TO IMPROVE THE DEFAULT PREDICTION POWER OF RATINGSDevelopments 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, LaurFrank J. Fabozzi series.Asset-backed financingDebtMortgage-backed securitiesUnited StatesAsset-backed financing.Debt.Mortgage-backed securities332.6323Lucas Douglas J1839117MiAaPQMiAaPQMiAaPQBOOK9911019968203321Developments in collateralized debt obligations4418252UNINA