Developments in Collateralized Debt Obligations / Frank J. Fabozzi Series (PDF)

Preface. About the Authors. PART ONE Introduction. CHAPTER 1 Review of Collateralized Debt Obligations. Understanding CDOs. Cash Flow CDOs. Synthetic Arbitrage CDOs. Conclusion. CHAPTER 2 Impact of CDOs on Collateral Markets. Collateralized Loan Obligations and the High-Yield Bank Loan Market. Structured Finance CDOs and the Mezzanine Mortgage ABS Market. Trust Preferred Securities CDOs and their Collateral Market. Conclusion. CHAPTER 3 CDO Rating Experience. CDO Rating Downgrade Data. CDO and Tranche Rating Downgrade Frequency. CDO Downgrade Patterns. Why Downgrade Patterns? Downgrade Severity. Extreme Rating Downgrades. CDO "Defaults" and Near "Defaults". Summary. PART TWO Developments in Synthetic CDOs. CHAPTER 4 ABS CDO Collateral Choices: Cash, ABCDS, and the ABX. Growth of the Subprime Synthetic Market. Importance of ABCDS to CDO Managers. ABCDS. The ABX Index. Fundamental Contractual Differences--Single-Name ABCDS/ABX Index/Cash. Supply/Demand Technicals. What Keeps the Arbitrage From Going Away? Bottom Line--Buyers versus Sellers. The Cash/ABCDS Basis and the CDO Arbitrage. Single-Name ABCDS versus ABX in CDOs. Summary. CHAPTER 5 Hybrid Assets in an ABS CDO. Corporate CDS and ABCDS. Advantages of Hybrid Assets in an ABS CDO. Illustrative Hybrid ABS CDO Structure. Cash Flow Challenges. Conclusions. CHAPTER 6 Synthetic CDO Ratings. Tests of Index Portfolios. AAA Ratings and Expected Loss versus Default Probability. Barbell Portfolios. Summary. CHAPTER 7 Credit Default Swaps on CDOs. CDO CDS Nomenclature. CDO Credit Problems and their Consequences. Alternative Interest Cap Options. Miscellaneous Terms. Cash CDO versus CDO CDS. Exiting a CDO CDS. Rating Agency Concerns on CDOs that Sell Protection via CDO CDS. Summary. PART THREE Emerging CDO Products. CHAPTER 8 Trust-Preferred CDOs. Trust-Preferred Securities. Other TruPS CDO Assets. TruPS CDO Issuance. Bank TruPS Prepayments and New CDO Issuance. TruPS CDO Structure. Assumptions Used by Rating Agencies. TruPS

DOUGLAS J. LUCAS is Executive Director at UBS and head of CDO research. He has an MBA from the University of Chicago.

LAURIE S. GOODMAN, PHD, is co-Head of Global Fixed Income Research at UBS. She holds a PhD in economics from Stanford University.

FRANK J. FABOZZI, PHD, CFA, is Professor in the Practice of Finance at Yale University's School of Management and the Editor of the Journal of Portfolio Management.

REBECCA J. MANNING is an Associate Director in the CDO Research Group at UBS. She holds an MBA from The Wharton School at the University of Pennsylvania.

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