May 2006
Intermediate to advanced
528 pages
13h 34m
English
book
Collateralized Debt Obligations: Structures and Analysis, Second Edition
by DOUGLAS J. LUCAS, LAURIE S. GOODMAN, FRANK J. FABOZZI
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Index
100-name portfolios, creation, 268–269
125 LTV programs, 114
A credit borrowers, 112
A prime borrowers, 112
Aaa CDO tranches, downgrades, 464
Abbey National sales, 381
Absolute default rate, 280
Absolute prepayment speed (ABS), 138
Account receivable analysis, 57
Activity levels, gauging. See Collateralized debt obligations
Adjustable rate mortgage (ARM), 104–105. See also Hybrid ARM
Advance rate
increase, 207
limiting impact, 10
Advance rates. See Market value CDOs
evidence, 214
definition, 203
AFC. See Available funds cap
After-default cash flow. See Assets
distribution, 357
indication, 352
insufficiency, 357
optionalities, 359
present value, 369
risk, 358
After-default spread, 94
Agency CMOs, 110
Agency passthroughs, 107
Aggregate default curve, calculation, 180
Aircraft ABS
characteristics, 143
enhancement levels (setting), rating agency (impact), 145
Aircraft deals, collateral, 143
Aircraft financing, rating agency stress, 144
Aircraft lease-backed securities, 135, 142–145
defaults, 144
enhancement levels, 145
Aircraft leases, 7
Allied Waste, 439
Alternative loans, 139
Alternative-A DTI guidelines, 119
documentation, importance, 119–120
Alternative-A mortgages, 114
American Express, 135
Amortization
phase, 405
ranking, 82
Annual default rates, 159
Annual financial statements, 57
Annual rating migration, ...
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