简介
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.
目录
Preface
About the Authors
Introduction
Understanding CDOs
Cash Flow CDOs
Synthetic Arbitrage CDOs
Conclusion
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
CDO Rating Experience
CDO Rating Downgrade Data
CDO and Tranche Rating Downgrade Frequency
CDO Downgrade Patterns
Why Downgrade Patterns?
Downgrade Severity
Extreme Rating Downgrades
CDO "Defaults" and Near "Defaults"
Summary
Developments in Synthetic CDOs
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 Sellers
The Cash ABCDS Basis and the CDO Arbitrage
Single-Name ABCDS versus ABX in CDOs
Summary
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
Synthetic CDO Ratings
Tests of Index Portfolios
AAA Ratings and Expected Loss versus Default Probability
Barbell Portfolios
Summary
Credit Default Swaps on CDOs
CDO CDS Nomenclature
CDO Credit Problems and their Consequences
Alternative Interest Cap Options
Miscellaneous Terms
Cash CDO versus CDO CDS
Exiting a CDO CDS
Rating Agency Concerns on CDOs that Sell Protection via CDO CDS
Summary
Emerging CDO Products
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
Commercial Real Estate Primer
Loan Origination
Property-Level Loans
Commercial Mortgage-Backed Securities
REIT Securities
Evaluating CREL and CMBS
CREL Historical Performance
CMBS Historical Performance
Summary
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
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
Other CDO Topics
Rating Agency Research on CDOs
Using Rating Watches and Outlooks to Improve the Default Prediction Power of Ratings
Changes in Rating Methodologies
Conclusions
Collateral Overlap and Single-Name Exposure in CLO Portfolios
Collateral Overlap in U.S. CLOs
Favorite CLO Credits
Single-Name Risk and Tranche Protections
Excess Overcollateralization and Excess Overcollateralization Delta
Summary
Index
About the Authors
Introduction
Understanding CDOs
Cash Flow CDOs
Synthetic Arbitrage CDOs
Conclusion
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
CDO Rating Experience
CDO Rating Downgrade Data
CDO and Tranche Rating Downgrade Frequency
CDO Downgrade Patterns
Why Downgrade Patterns?
Downgrade Severity
Extreme Rating Downgrades
CDO "Defaults" and Near "Defaults"
Summary
Developments in Synthetic CDOs
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 Sellers
The Cash ABCDS Basis and the CDO Arbitrage
Single-Name ABCDS versus ABX in CDOs
Summary
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
Synthetic CDO Ratings
Tests of Index Portfolios
AAA Ratings and Expected Loss versus Default Probability
Barbell Portfolios
Summary
Credit Default Swaps on CDOs
CDO CDS Nomenclature
CDO Credit Problems and their Consequences
Alternative Interest Cap Options
Miscellaneous Terms
Cash CDO versus CDO CDS
Exiting a CDO CDS
Rating Agency Concerns on CDOs that Sell Protection via CDO CDS
Summary
Emerging CDO Products
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
Commercial Real Estate Primer
Loan Origination
Property-Level Loans
Commercial Mortgage-Backed Securities
REIT Securities
Evaluating CREL and CMBS
CREL Historical Performance
CMBS Historical Performance
Summary
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
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
Other CDO Topics
Rating Agency Research on CDOs
Using Rating Watches and Outlooks to Improve the Default Prediction Power of Ratings
Changes in Rating Methodologies
Conclusions
Collateral Overlap and Single-Name Exposure in CLO Portfolios
Collateral Overlap in U.S. CLOs
Favorite CLO Credits
Single-Name Risk and Tranche Protections
Excess Overcollateralization and Excess Overcollateralization Delta
Summary
Index
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