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.
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
Laurie S. Goodman UBS, New York, USA.
Frank J. Fabozzi Yale University, USA.