Collateralized Debt Obligations: Structures and Analysis, Second Edition

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

level, 209–210

limiting impact, 10

Advance rates. See Market value CDOs

conservative aspects, 213–214

evidence, 214

definition, 203

derivation, 212–214

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

After-default yield, 81–82

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

servicing, 144–145

defaults, 144

enhancement levels, 145

Aircraft leases, 7

Aircraft leasing, 143–144

Allied Waste, 439

Alternative loans, 139

Alternative-A DTI guidelines, 119

Alternative-A loans, 112–113

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, ...