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Structured Products and Related Credit Derivatives: A Comprehensive Guide for Investors
book

Structured Products and Related Credit Derivatives: A Comprehensive Guide for Investors

by GLENN M. SCHULTZ, FRANK J. FABOZZI, BRIAN P. LANCASTER
April 2008
Intermediate to advanced
543 pages
13h 50m
English
Wiley
Content preview from Structured Products and Related Credit Derivatives: A Comprehensive Guide for Investors

Contents

Foreword

Diane Schumaker–Krieg

Acknowledgments

About the Editors

Contributing Authors

SECTION ONE

Background

CHAPTER 1

Introduction

Brian P. Lancaster, Glenn M. Schultz, and Frank J. Fabozzi

CHAPTER 2

Structured Finance Operating Companies: SIVs, SLVs, and Other Structured Vehicles

Garret Sloan

Structured Finance Operating Company Defined

Types of Stuctured Finance Operating Companies

Structured Investment Vehicles

SLVs and Hybrid SLVs

The Risk History of SFOCs to 2006

The 2007 Liquidity Crisis

Conclusion

SECTION TWO

Consumer ABS

CHAPTER 3

Residential Asset-Backed Securities

Glenn M. Schultz

Overview of the Market

Collateral Performance

Voluntary Repayment

Adjustable Rate Repayment Analysis

Interest-Only Repayment Analysis

Fixed Rate Repayment Analysis

Other Factors Influencing Voluntary Repayment

Collateral Credit Performance

Involuntary Repayment (Default)

Other Factors Influencing Involuntary Repayment Rates

Structural Considerations

Asset-Backed Credit Default Swaps

ABX.HE Index

Summary

CHAPTER 4

Credit Card ABS

John N. McElravey

Credit Card Securitization Background

Credit Card ABS Structures

Summary

CHAPTER 5

Auto Asset-Backed Securities

Glenn M. Schultz, John N. McElravey, Shane Whitworth, and Erin K. Walsh

Issuance

Structure

Issuer Collateral Profile

Collateral Performance

Delinquency and Loss Rates

Valuation

Auto Leases

Summary

CHAPTER 6

Student Loan ABS

Erin K. Walsh

Background

Types of Loans

Loan Status

Interest Rates

Prepayments

Issuance

Typical Bond Structures ...

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Publisher Resources

ISBN: 9780470129852Purchase book