Investing in Collateralized Debt Obligations

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.

Spis treści:
Preface.
Contributing Authors.
Introduction to Collateralized Debt Obligations (C. Schorin and S. Weinreich).
Structural Features of Market Value CDOs (L. Vacca).
Rating Agency Methodologies (M. Hill and L. Vacca).
CDO Structure and Arbitrage (L. Goodman).
Emerging Market CBOs (L. Goodman).
Mortgage Cash Flow CBOs (L. Goodman).
CDOs Backed by ABS and Commercial Real Estate (R. Hurst).
Synthetic CDOs (L. Goodman).
Cash and Synthetic European Bank CLOs (A. Batchvarov, et al.).
Analyzing Mezzanine Tranches of CBOs (L. Goodman and J. Ho).
Relative Value Framework for Collateralized Debt Obligations (C. Schorin and S. Weinreich).
Pricing Debt and Equity in a Market Value CDO (L. Vacca).
Use of Credit Derivatives in CBO/CLO Structures (M. Hill and L. Vacca).
Index.

Nota biograficzna:
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.

Okładka tylna:
The fastest growing sector of the asset–back ed 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.