Since first edition's publication, the CDO market has seen
tremendous growth. As of 2005, $1.1 trillion of CDOs were
outstanding -- making them the fastest-growing investment vehicle
of the last decade. To help you keep up with this expanding market
and its various instruments, Douglas Lucas, Laurie Goodman, and
Frank Fabozzi have collaborated to bring you this fully revised and
up-to-date new edition of Collateralized Debt Obligations.
Written in a clear and accessible style, this valuable resource
provides critical information regarding the evolving nature of the
CDO market. You'll find in-depth insights gleaned from years of
investment and credit experience as well as the examination of a
wide range of issues, including cash CDOs, loans and CLOs,
structured finance CDOs and collateral review, emerging market and
market value CDOs, and synthetic CDOs. Use this book as your guide
and take advantage of this dynamic market and its products.

DOUGLAS J. LUCAS is Executive Director and Head of CDO Research at UBS. He is also Chairman of The Bond Market Association's CDO Research Committee and ranked top three in CDO research in the Institutional Investor's fixed income analyst survey. Lucas has been involved in the CDO market for nearly two decades, having developed Moody's rating methodology for CDOs in 1989.

LAURIE S. GOODMAN, PHD, is Managing Director and co-Head of Global Fixed Income Research at UBS. She manages U.S. Securitized Products and Treasury/Agency/Derivatives Research. Goodman has worked on Wall Street for over twenty years and is well regarded by the investor community, having won more #1 slots on the Institutional Investor All-American Fixed Income Team than any other analyst.

FRANK J. FABOZZI, PHD, CFA, CPA, is an Adjunct Professor of Finance and Becton Fellow at Yale University's School of Management and a Fellow of the International Center for Finance. Fabozzi is the Editor of the Journal of Portfolio Management.

Klappentext

Collateralized Debt Obligations
SECOND EDITION

Since the publication of the first edition of Collateralized Debt Obligations, the CDO market has seen tremendous growth. In fact, as of 2005, $1.1 trillion of CDOs were outstanding—making them the fastest-growing investment vehicle of the last decade.

To help you keep up with the expanding CDO market and its various instruments, Douglas Lucas, Laurie Goodman, and Frank Fabozzi have collaborated to bring you a fully revised and up-to-date Second Edition of Collateralized Debt Obligations. Written in a clear and accessible style, this book is a valuable guide that provides you with critical information regarding the evolving nature of the CDO market.

Filled with in-depth insights gleaned from years of investment and credit experience, Collateralized Debt Obligations, Second Edition examines a wide range of issues, including:

• Cash CDOs
• Loans and CLOs
• Structured finance CDOs and collateral review
• Emerging market and market value CDOs
• Synthetic CDOs
• Default correlation
• CDO equity
• CDO arbitrage
• And much more

CDOs offer exciting opportunities for those who understand their complexities. With Collateralized Debt Obligations, Second Edition as your guide, you can begin to understand and take advantage of this dynamic market and its products.

Zusammenfassung
Since first edition's publication, the CDO market has seen tremendous growth. As of 2005, $1.1 trillion of CDOs were outstanding -- making them the fastest-growing investment vehicle of the last decade. To help you keep up with this expanding market and its various instruments, Douglas Lucas, Laurie Goodman, and Frank Fabozzi have collaborated to bring you this fully revised and up-to-date new edition of Collateralized Debt Obligations. Written in a clear and accessible style, this valuable resource provides critical information regarding the evolving nature of the CDO market. You'll find in-depth insights gleaned from years of investment and credit experience as well as the examination of a wide range of issues, including cash CDOs, loans and CLOs, structured finance CDOs and collateral review, emerging market and market value CDOs, and synthetic CDOs. Use this book as your guide and take advantage of this dynamic market and its products.

Inhalt

Preface xiii

About the Authors xxi

Part One Introduction to Cash CDOs 1

Chapter 1 Cash CDO Basics 3

Why Study CDOs? 3

Understanding CDOs 4

Credit Structures 10

A CDO Structural Matrix 13

CDOs Being Offered Today 14

Parties to a CDO 14

Chapter 2 Cash Flow CDOs 17

Distribution of Cash Flows 17

Restrictions on Management: Safety Nets 20

Credit Ratings 23

Call Provisions in CDO Transactions 38

Part Two Loans and CLOs 41

Chapter 3 High-Yield Loans: Structure and Performance 43

The Loan Market 44

The Syndication Process 46

Loan Structure and Leaders 48

Loan Interest Rates and Upfront Fees 49

Loan Credit Quality 51

Lender's Liability 52

Overview of Loan Terms 53

Loan Terms versus Bond Terms 58

A Tale of Two Loans 58

The Secondary Market 60

Loan Recovery Rates 61

Loan Default Rates 63

High-Yield Loan CLO versus High-Yield Bond CBO Performance 67

Conclusion 74

Chapter 4 European Bank Loans and Middle Market Loans 75

European Bank Loans 75

Middle Market Loans 91

Conclusion 99

Part Three Structured Finance CDOs and Collateral Review 101

Chapter 5 Review of Structured Finance Collateral: Mortgage-Related Products 103

Residential Mortgage-Backed Securities 103

Commercial Mortgage-Backed Securities 125

Real Estate Investment Trust Debt 129

Chapter 6 Review of Structured Finance Collateral: Nonmortgage ABS 135

Credit Card Receivable-Backed Securities 135

Auto Loan-Backed Securities 137

Student Loan-Backed Securities 139

SBA Loan-Backed Securities 141

Aircraft Lease-Backed Securities 142

Franchise Loan-Backed Securities 145

Rate Reduction Bonds 148

Chapter 7 Structured Finance Default and Recovery Rates 153

Structured Finance versus Corporate Default Rates 154

S&P Rating Transition Studies and the Matrix Multiplying Approach 156

Results of Multiplying S&P Rating Transition Matrices 158

S&P on Structured Finance Loss Given Default 159

S&P Constant Annual Default and Recoveries 159

Moody's Material Impairment Study 160

Comparing and Reconciling Structured Finance Default Rates 162

Moody's on Structured Finance Historical Loss Rates 164

Moody's Constant Annual Default and Recoveries 166

Blending S&P and Moody's Studies 167

Applying CDRs and Recoveries to SF CDOs 167

Conclusion 170

Chapter 8 Structured Finance Cash Flow CDOs 171

SF CDOs versus High-Yield CDOs 172

Rating Agencies on Structured Finance CDOs 174

Structured Finance Assets' Negative Convexity 182

Extension Risk 183

Conclusion 185

Part Four Other Types of Cash CDOs 187

Chapter 9 Emerging Market CDOs 189

EM Sovereign Bond Defaults 190

Why the Better Track Record? 192

CDO Rating Differences: EM versus High Yield 193

Conclusion 198

Chapter 10 Market Value CDOs 201

Cash Flow versus Market Value Deals 201

The Rating Process 202

How Advance R…