Book description
Filled with the insights of numerous experienced contributors, Structured Products and Related Credit Derivatives takes a detailed look at the various aspects of structured assets and credit derivatives. Written over a period spanning the greatest bull market in structured products history to arguably its most challenging period, this reliable resource will help you identify the opportunities and mitigate the risks in this complex financial market.
Table of contents
- Cover Page
- The Frank J. Fabozzi Series
- Title Page
- Copyright
- Contents
- Foreword
- Acknowledgments
- About the Editors
- Contributing Authors
- SECTION ONE: Background
-
SECTION TWO: Consumer ABS
-
CHAPTER 3: Residential Asset-Backed Securities
- OVERVIEW OF THE MARKET
- COLLATERAL PERFORMANCE
- VOLUNTARY REPAYMENT
- ADJUSTABLE RATE REPAYMENT ANALYSIS
- INTEREST-ONLY REPAYMENT ANALYSIS
- FIXED RATE REPAYMENT ANALYSIS
- OTHER FACTORS INFLUENCING VOLUNTARY REPAYMENT
- COLLATERAL CREDIT PERFORMANCE
- INVOLUNTARY REPAYMENT (DEFAULT)
- OTHER FACTORS INFLUENCING INVOLUNTARY REPAYMENT RATES
- STRUCTURAL CONSIDERATIONS
- ASSET-BACKED CREDIT DEFAULT SWAPS
- ABX.HE INDEX
- SUMMARY
- CHAPTER 4: Credit Card ABS
- CHAPTER 5: Auto Asset-Backed Securities
- CHAPTER 6: Student Loan ABS
- CHAPTER 7: Small Business Loan ABS
-
CHAPTER 8: Valuation of Subprime ABS Credit Default Swaps
- CREDIT DEFAULT SWAPS
- PAY-AS-YOU-GO CDS STRUCTURE FOR SUBPRIME ABS
- INTEREST SHORTFALL CONSIDERATIONS
- STEPPING UP
- PHYSICAL SETTLEMENT
- HEDGING WITH CREDIT DEFAULT SWAPS
- ZERO MONEY DOWN!
- CDS PRICES VERSUS CASH BOND PRICES
- PRICING WHEN THE CDS SPREAD EQUALS THE REFERENCE COUPON SPREAD
- HEDGING WITH NO MONEY DOWN
- THE VALUE OF SCENARIO ANALYSIS
- HOW ARE MORTGAGE POOL SCENARIOS CREATED?
- SUMMARY
-
CHAPTER 3: Residential Asset-Backed Securities
-
SECTION THREE: Collateralized Debt Obligations
-
CHAPTER 9: Basics of CDOs
- A BRIEF HISTORY OF CDOs
- CDO BASICS
- PARTICIPANTS IN A CDO TRANSACTION
- CDO PURPOSES
- CDO STRUCTURES
- CDO LIFE CYCLE
- EMBEDDED CALLS
- COVERAGE TESTS
- SPECIAL TRIGGERS: PAR PRESERVATION AND TURBO FEATURES
- CASH FLOW CDO WATERFALL
- QUALITY TESTS
- SPECIAL RIGHTS FOR THE CONTROLLING CLASS
- CDO CASH SOURCES AND USES
- CDO TRUTHS, HALF-TRUTHS, AND MYTHS
- CHAPTER 10: CDOs by Asset Type
- CHAPTER 11: Credit Derivatives and Synthetic CDOs
-
CHAPTER 12: CDO Performance
- UPGRADE/DOWNGRADE STATISTICS SUFFER FROM A VINTAGE BIAS
- RETURN PERFORMANCE DATA MAY NOT BE INFORMATIVE
- WHAT DOES THE MARKET TELL US ABOUT MANAGERS?
- SOME CASE STUDIES
- WHAT DO THE RATING AGENCIES HAVE TO SAY ABOUT MANAGERS?
- SHOULD EQUITY INVESTORS LOOK FOR MANAGERS WITH EQUITY STAKES?
- IS GOOD PERFORMANCE THE RESULT OF LUCK OR SKILL?
- MARKET EFFICIENCY AND MANAGER PERFORMANCE
- NO CDO BENCHMARKS
- CDO RATINGS TRANSITIONS
- LIQUIDITY CONSIDERATIONS
- SO WHAT SHOULD INVESTORS DO?
- CONCLUSION
- APPENDIX: RATING AGENCY REPORTS
-
CHAPTER 13: CDO Equity
- WHAT IS CDO EQUITY?
- WHAT ARE THE ADVANTAGES OF CDO EQUITY?
- WHAT ARE THE RISKS OF CDO EQUITY?
- HOW CAN INVESTORS GAIN EXPOSURE TO CDO EQUITY?
- WHAT ARE THE SOURCES OF EQUITY CASH FLOWS?
- WHAT IS THE BEST TIME TO INVEST IN CDO EQUITY?
- WHAT IS THE TYPICAL LIFE CYCLE FOR EQUITY?
- HOW CAN WE MEASURE PERFORMANCE?
- ISSUE PERFORMANCE
- WHAT INSIGHTS DO OTHER DATA SOURCES SAY ABOUT EQUITY PERFORMANCE?
- CDO EQUITY PERFORMANCE DRIVERS
- HOW SHOULD INVESTORS ANALYZE EQUITY RETURNS?
- CONCLUSION
- APPENDIX: WHAT IS THE COST OF EARLY REDEMPTION?
-
CHAPTER 9: Basics of CDOs
-
SECTION FOUR: Commercial Real Estate
- CHAPTER 14: Commercial Mortgage-Backed Securities
-
CHAPTER 15: Understanding Managed CRE CDOs
- EVOLUTION OF THE MARKET FOR B-NOTES, MEZZANINE LOANS, PREFERRED EQUITY, AND RAKE BONDS
- EVOLUTION OF COMMERCIAL REAL ESTATE CDOs
- ANATOMY OF THE NEW MANAGED CRE CDO STRUCTURES
- UNDERSTANDING THE COLLATERAL: MEZZANINE DEBT, B-NOTES, RAKE BONDS, AND PREFERRED EQUITY
- CONCLUSION
- APPENDIX A: DEFINITION OF ACCEPTED SERVICING PRACTICES
- APPENDIX B: B-NOTES: JUNIOR PARTICIPANTS' RIGHTS
- CHAPTER 16: Synthetic CRE CDOs
- CHAPTER 17: European Commercial Real Estate CDOs
-
CHAPTER 18: Government National Mortgage Association Multifamily Deals
- THE PATH TO A GNMA MULTIFAMILY DEAL
- A CLOSER LOOK AT GNMA MULTIFAMILY DEALS
- FHA PROGRAM TYPES
- HOW ARE THE DEALS STRUCTURED?
- TRADING GNMA MULTIFAMILY BONDS
- PREPAYMENT ANALYSIS OF GNMA MULTIFAMILY LOANS
- HISTORICAL PREPAYMENTS
- DEFAULT ANALYSIS OF GNMA MULTIFAMILY LOANS
- CONCLUSION
- APPENDIX A: FHA-APPROVED LENDERS IN 2006
- APPENDIX B: GNMA REMIC MULTIFAMILY DEAL LIST, 2001–2006: Q3
- APPENDIX C: CALL PROTECTION BREAKDOWN IN GNMA MULTIFAMILY DEALS BY YEAR
- APPENDIX D: HISTORICAL GNMA DEFAULTS, 1994–2006: Q3
- SECTION FIVE: Commercial ABS
- Index
Product information
- Title: Structured Products and Related Credit Derivatives: A Comprehensive Guide for Investors
- Author(s):
- Release date: April 2008
- Publisher(s): Wiley
- ISBN: 9780470129852
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