Investing in Collateralized Debt Obligations

Front Cover
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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Contents

lntroduction to Collateralized Debt Obligations
1
Structaral Features ol Market Value CDOs
33
Rating Agency Methodologies
53
COO Structure and Arbitrage
79
Emerging Market CBOs
91
Mortgage Cash Flow CBOs
101
CDOs Backed by ABS and Commercial Real Estate 5
115
Synthetic CDOs
141
Cash and Synthetic Earopean Bank CLOs
157
Analysing teanine Tranches of CBOs
199
Relative 1alue Framework lor Collateralized Debt Obligations
209
Pit ing Debt and Equih in a Market Value CDO
219
Use of Credit Derivatives in CBOCLO Structures
225
lndex
233
Copyright

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About the author (2001)

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management. Laurie S. Goodman is a managing director at UBS Warburg.

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