Investing in Collateralized Debt Obligations
Frank J. Fabozzi, Laurie S. Goodman
John Wiley & Sons, May 15, 2001 - Business & Economics - 248 pages
The fastest growing sector of the asset-backed securities market is the collateralized debt obligation (CDO) market. CDOs are securities backed by a pool of diversified assets and are referred to as collateralized bond obligations (CBOs) when the underlying assets are bonds and as collateralized loan obligations (CLOs) when the underlying assets are bank loans. Investing in Collateralized Debt Obligations covers not only the fundamental features of these securities and the investment characteristics that make them attractive to a broad range of institutional investors, but also the tools for identifying relative value. Nearly a dozen of today's best known analysts discuss emerging market CBOs, relative value frameworks, pricing strategies and techniques, and more.
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lntroduction to Collateralized Debt Obligations
Structaral Features ol Market Value CDOs
Rating Agency Methodologies
COO Structure and Arbitrage
Emerging Market CBOs
Mortgage Cash Flow CBOs
CDOs Backed by ABS and Commercial Real Estate 5
ABS CDOs advance rates amount arbitrage asset classes asset-backed securities assumed bank CLOs bank loans basis points capital structure cash flow cash flow CDOs CDO structure CMBS collateral pool collateral portfolio Collateralized Debt Obligations corporate bond coupon coverage tests CRE CDOs credit default swap credit derivatives credit enhancement credit events credit protection credit quality credit risk default rate diversified diversity score downgrades emerging market expected loss exposure Fitch high yield bonds high-yield deals higher investment investors issued issuers leverage liabilities liquidity LlBOR market value CDO market value deals market value transactions Merrill Lynch mezzanine million Moody's 1nvestors Service Morgan Stanley OC tests originating bank overcollateralization Partially Funded payments Pfandbriefe portfolio manager rated bonds rated debt rating agencies rating factor recovery rate risk weight scenario sector securitization senior notes sponsor bank spread Standard & Poor's stress subordinated synthetic CLOs tranche trigger underlying collateral volatility