{"product_id":"developments-in-collateralized-debt-obligations-isbn-9780470135549","title":"Developments in Collateralized Debt Obligations","description":"\u003cb\u003eDevelopments In Collateralized Debt Obligations\u003c\/b\u003e  \u003cp\u003eThe 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.\u003c\/p\u003e \u003cp\u003eIn 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 \u003ci\u003eDevelopments in Collateralized Debt Obligations\u003c\/i\u003e.\u003c\/p\u003e \u003cp\u003eFilled 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.\u003c\/p\u003e \u003cp\u003eWritten in a straightforward and accessible style, \u003ci\u003eDevelopments in Collateralized Debt Obligations\u003c\/i\u003e will enhance your understanding of this ever-evolving market-and its numerous products.\u003c\/p\u003e \u003cp\u003ePreface xi\u003c\/p\u003e \u003cp\u003eAbout the Authors xv\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart One Introduction 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Review of Collateralized Debt Obligations 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eUnderstanding CDOs 3\u003c\/p\u003e \u003cp\u003eCash Flow CDOs 10\u003c\/p\u003e \u003cp\u003eSynthetic Arbitrage CDOs 28\u003c\/p\u003e \u003cp\u003eConclusion 37\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Impact of CDOs on Collateral Markets 39\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCollateralized Loan Obligations and the High-Yield Bank Loan Market 39\u003c\/p\u003e \u003cp\u003eStructured Finance CDOs and the Mezzanine Mortgage ABS Market 42\u003c\/p\u003e \u003cp\u003eTrust Preferred Securities CDOs and their Collateral Market 46\u003c\/p\u003e \u003cp\u003eConclusion 48\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 CDO Rating Experience 49\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCDO Rating Downgrade Data 50\u003c\/p\u003e \u003cp\u003eCDO and Tranche Rating Downgrade Frequency 52\u003c\/p\u003e \u003cp\u003eCDO Downgrade Patterns 54\u003c\/p\u003e \u003cp\u003eWhy Downgrade Patterns? 56\u003c\/p\u003e \u003cp\u003eDowngrade Severity 58\u003c\/p\u003e \u003cp\u003eExtreme Rating Downgrades 58\u003c\/p\u003e \u003cp\u003eCDO “Defaults” and Near “Defaults” 61\u003c\/p\u003e \u003cp\u003eSummary 71\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Two Developments in Synthetic CDOs 73\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 ABS CDO Collateral Choices: Cash, ABCDS, and the ABX 75\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eGrowth of the Subprime Synthetic Market 75\u003c\/p\u003e \u003cp\u003eImportance of ABCDS to CDO Managers 76\u003c\/p\u003e \u003cp\u003eABCDS 79\u003c\/p\u003e \u003cp\u003eThe ABX Index 82\u003c\/p\u003e \u003cp\u003eFundamental Contractual Differences—Single-Name ABCDS\/ABX Index\/Cash 83\u003c\/p\u003e \u003cp\u003eSupply\/Demand Technicals 89\u003c\/p\u003e \u003cp\u003eWhat Keeps the Arbitrage From Going Away? 92\u003c\/p\u003e \u003cp\u003eBottom Line—Buyers versus Sellers 94\u003c\/p\u003e \u003cp\u003eThe Cash\/ABCDS Basis and the CDO Arbitrage 94\u003c\/p\u003e \u003cp\u003eSingle-Name ABCDS versus ABX in CDOs 96\u003c\/p\u003e \u003cp\u003eSummary 97\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Hybrid Assets in an ABS CDO 99\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCorporate CDS and ABCDS 100\u003c\/p\u003e \u003cp\u003eAdvantages of Hybrid Assets in an ABS CDO 103\u003c\/p\u003e \u003cp\u003eIllustrative Hybrid ABS CDO Structure 105\u003c\/p\u003e \u003cp\u003eCash Flow Challenges 107\u003c\/p\u003e \u003cp\u003eConclusions 115\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Synthetic CDO Ratings 117\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTests of Index Portfolios 117\u003c\/p\u003e \u003cp\u003eAAA Ratings and Expected Loss versus Default Probability 120\u003c\/p\u003e \u003cp\u003eBarbell Portfolios 121\u003c\/p\u003e \u003cp\u003eSummary 122\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Credit Default Swaps on CDOs 125\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCDO CDS Nomenclature 126\u003c\/p\u003e \u003cp\u003eCDO Credit Problems and their Consequences 127\u003c\/p\u003e \u003cp\u003eAlternative Interest Cap Options 130\u003c\/p\u003e \u003cp\u003eMiscellaneous Terms 133\u003c\/p\u003e \u003cp\u003eCash CDO versus CDO CDS 134\u003c\/p\u003e \u003cp\u003eExiting a CDO CDS 135\u003c\/p\u003e \u003cp\u003eRating Agency Concerns on CDOs that Sell Protection via CDO CDS 136\u003c\/p\u003e \u003cp\u003eSummary 137\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Three Emerging CDO Products 139\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 8 Trust-Preferred CDOs 141\u003c\/p\u003e \u003cp\u003eTrust-Preferred Securities 141\u003c\/p\u003e \u003cp\u003eOther TruPS CDO Assets 144\u003c\/p\u003e \u003cp\u003eTruPS CDO Issuance 144\u003c\/p\u003e \u003cp\u003eBank TruPS Prepayments and New CDO Issuance 147\u003c\/p\u003e \u003cp\u003eTruPS CDO Structure 148\u003c\/p\u003e \u003cp\u003eAssumptions Used by Rating Agencies 150\u003c\/p\u003e \u003cp\u003eTruPS CDO Performance 161\u003c\/p\u003e \u003cp\u003eTruPS Issuers and Issues 163\u003c\/p\u003e \u003cp\u003eSummary 166\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Commercial Real Estate Primer 169\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLoan Origination 170\u003c\/p\u003e \u003cp\u003eProperty-Level Loans 172\u003c\/p\u003e \u003cp\u003eCommercial Mortgage-Backed Securities 178\u003c\/p\u003e \u003cp\u003eREIT Securities 182\u003c\/p\u003e \u003cp\u003eEvaluating CREL and CMBS 183\u003c\/p\u003e \u003cp\u003eCREL Historical Performance 186\u003c\/p\u003e \u003cp\u003eCMBS Historical Performance 197\u003c\/p\u003e \u003cp\u003eSummary 203\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Commercial Real Estate CDOs 205\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCRE CDO Defined 205\u003c\/p\u003e \u003cp\u003eMarket Trends 207\u003c\/p\u003e \u003cp\u003eCRE Finance before CDOs 209\u003c\/p\u003e \u003cp\u003eTypes of CRE CDOs 210\u003c\/p\u003e \u003cp\u003eCRE CDO Performance 211\u003c\/p\u003e \u003cp\u003eInvestors 212\u003c\/p\u003e \u003cp\u003eCRE CDO Credit Analysis 214\u003c\/p\u003e \u003cp\u003eRating CRE CDOs 215\u003c\/p\u003e \u003cp\u003eSummary 220\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 CRE CDO Relative Value Methodology 221\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhole Loan CREL CDOs versus High-Yield CLOs 221\u003c\/p\u003e \u003cp\u003eInvestment-Grade CMBS CDOs versus Mezzanine Structured Finance CDOs 228\u003c\/p\u003e \u003cp\u003eRelative Value among CRE CDOs 234\u003c\/p\u003e \u003cp\u003eSummary 241\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Four Other CDO Topics 243\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Rating Agency Research on CDOs 245\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eUsing Rating Watches and Outlooks to Improve the Default Prediction Power of Ratings 245\u003c\/p\u003e \u003cp\u003eChanges in Rating Methodologies 252\u003c\/p\u003e \u003cp\u003eConclusions 255\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Collateral Overlap and Single-Name Exposure in CLO Portfolios 257\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCollateral Overlap in U.S. CLOs 258\u003c\/p\u003e \u003cp\u003eFavorite CLO Credits 263\u003c\/p\u003e \u003cp\u003eSingle-Name Risk and Tranche Protections 265\u003c\/p\u003e \u003cp\u003eExcess Overcollateralization and Excess Overcollateralization Delta 266\u003c\/p\u003e \u003cp\u003eSummary 272\u003c\/p\u003e \u003cp\u003eIndex 275\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eDOUGLAS J. LUCAS\u003c\/b\u003e is Executive Director at UBS and head of CDO research. He has an MBA from the University of Chicago. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eLAURIE S. GOODMAN, P\u003csmall\u003eH\u003c\/small\u003eD,\u003c\/b\u003e is co-Head of Global Fixed Income Research at UBS. She holds a PhD in economics from Stanford University. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eFRANK J. FABOZZI, P\u003csmall\u003eH\u003c\/small\u003eD, CFA,\u003c\/b\u003e is Professor in the Practice of Finance at Yale University's School of Management and the Editor of the \u003ci\u003eJournal of Portfolio Management\u003c\/i\u003e. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eREBECCA J. MANNING\u003c\/b\u003e is an Associate Director in the CDO Research Group at UBS. She holds an MBA from The Wharton School at the University of Pennsylvania.   \u003c\/p\u003e\u003cp\u003eAnyone familiar with collateralized debt obligations (CDOs) knows that change and innovation within the CDO market are increasing at a rapid rate—and will probably continue to do so for the foreseeable future. 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 collaborated to bring you \u003ci\u003eDevelopments in Collateralized Debt Obligations\u003c\/i\u003e. \u003c\/p\u003e\u003cp\u003eWritten in a clear and accessible style, this detailed follow-up to \u003ci\u003eCollateralized Debt Obligations, Second Edition\u003c\/i\u003e contains the latest insights regarding the evolving nature of the CDO market. In fact, a majority of the chapters in this book couldn't have been written one year ago, as their subjects simply did not exist. \u003c\/p\u003e\u003cp\u003eDivided into four comprehensive parts, \u003ci\u003eDevelopments in Collateralized Debt Obligations\u003c\/i\u003e opens with an introductory section (Part One) that outlines the essential aspects of CDOs as well as the entire CDO market. Here, special attention is paid to the cash flow credit structure, credit rating agencies' methodologies, interest rate hedging, and CDO call features. After this brief review, you'll quickly move on to discover a wide range of new issues in this field through Part Two: Developments in Synthetic CDOs, Part Three: Emerging CDO Products, and Part Four: Other CDO Topics. Information addressed within these parts of the book includes: \u003c\/p\u003e\u003cul\u003e \u003cli\u003eThe use of both cash and synthetic assets in the same CDO's collateral portfolio\u003c\/li\u003e \u003cli\u003eA comparison of subprime mortgage collateral in cash, credit default swap, and index forms\u003c\/li\u003e \u003cli\u003eAn explanation of credit default swaps referencing CDOs\u003c\/li\u003e \u003cli\u003eCDO ratings and rating methodology changes made in 2006\u003c\/li\u003e \u003cli\u003eThe growing influence CDOs have upon their underlying collateral markets\u003c\/li\u003e \u003cli\u003eTrust preferred securities issued by banks, insurance companies, and REITs\u003c\/li\u003e \u003cli\u003eCommercial real estate and commercial real estate CDOs\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eWhether you're an investment manager or institutional investor, understanding CDOs and handling their inherent complexities is more important than ever before. With \u003ci\u003eDevelopments in Collateralized Debt Obligations\u003c\/i\u003e as your guide, you'll learn how to navigate this dynamic market and take advantage of the many opportunities its products have to offer.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989055291621,"sku":"NP9780470135549","price":84.5,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470135549.jpg?v=1761782608","url":"https:\/\/k12savings.com\/es\/products\/developments-in-collateralized-debt-obligations-isbn-9780470135549","provider":"K12savings","version":"1.0","type":"link"}