Collateralized debt obligations and structured finance : new developments in cash and synthetic securitization
著者
書誌事項
Collateralized debt obligations and structured finance : new developments in cash and synthetic securitization
(Wiley finance series)
John Wiley & Sons, c2003
- : cloth
大学図書館所蔵 全8件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Includes bibliographical references (p. 327-329) and index
収録内容
- The CDO paradigm shift
- The origins of securitization
- Structured finance and special purpose entities
- Credit derivatives and total rate of return swaps
- Cash versus synthetic arbitrage CDOs
- Cash flow caveats
- Balance sheet CDOs
- Structured finance and risk
- Super senior sophistry
- Selected structured finance products
- Future development in structured finance
内容説明・目次
内容説明
The most cutting-edge read on CDO and credit market structures Collateralized Debt Obligations and Structured Finance provides a state-of-the-art look at the exploding CDO and structured credit products market. Financial expert Janet Tavakoli examines securitization topics never before seen in print, including the huge increase in the CDO arbitrage created by synthetics; the tranches most at risk from this new technology; dumping securitizations on bank balance sheets; the abuse of offshore vehicles by companies such as Enron; and securitizations made possible by new securitization techniques and the introduction of the Euro. This valuable guide comprehensively covers one of the fastest growing markets on Wall Street, predicting where new bank regulations and other developments may lead to product growth or product extinction. While providing an overview of the market and its dynamic growth, Collateralized Debt Obligations and Structured Finance explores the types of products offered, hedging techniques, and valuation and risk/return issues associated with investment in CDOs and synthetic CDOs. Janet M.
Tavakoli, MBA (Chicago, IL), has over eighteen years of experience trading, structuring, and marketing derivatives and structured products with major financial institutions in New York and London. She is also the author of Credit Derivatives and Synthetic Structures, now in its Second Edition (0-471-41266-X).
目次
Introduction.CHAPTER 1: The CDO Paradigm Shift.Estimated Market Size.CHAPTER 2: The Origins of Securitization.The CDO "Arbitrage".Portfolio Diversification and Credit Events.Terminology.True Sale, Hybrid, and Synthetic Structures.Credit Enhancement.CDO Classifications.Market Value CDOs.Cash Flow CDOs.The Origins of U.S. Securitization.Collateralized Mortgage Obligations.CHAPTER 3: Structured Finance and Special Purpose Entities.SPCs and Historical Abuse.SPEs and SPVs.Documentation.Example of a Multiple Issuance Entity (MIE).Cayman Domiciled SPEs.Repackagings to Satisfy Investor Demand.CLNs and Funding Costs.Structured Floaters.Principal Protected Notes (PPNs).Loan Repackagings.Mismatched Maturities.Liquidity.Setup Costs.Unwind Triggers Linked to Derivatives Transactions.DAX-Linke d Note with Triggers.Ratings.Master Trusts.Owner Trusts.Grantor Trusts.REMICs.Multiseller and Single Seller Conduits.Domestically Domiciled Corporations.Bankruptcy Remote?CHAPTER 4: Credit Derivatives and Total Rate of Return Swaps.Risks to Portfolio Value.CDSs.Are You Hedged?-The Regulatory Viewpoint.Digital Cash Payment-Alternate Termination Payment.Initial Value - (Par - Market Value): Alternate Termination Payment.Normalized Price Method-Alternate Termination Payment.Hedge Costs in Cash and Synthetic CDOs.Deliverables: CDOs and the "Cheapest to Deliver" Option.Convertible Bonds and Asset Swaps.Default and Recovery Rate.The Default Protection Seller: Credit and Correlation.Default Language for Sovereign Debt.Default Language for Nonsovereign Debt: Controversy and CDOs.Comments on CDS Prices.Total Rate of Return Swaps (Total Return Swaps).Pricing TRORS on Levered CDO Tranches.TRORS versus Repos.Moral Hazard with Bank Loan Reference Assets.CDS versus TRORS.CHAPTER 5: Cash versus Synthetic Arbitrage CDOs.Comparison of Managed Arbitrage CDO Features: Cash versus Synthetic Deals.The Arranger and the Manager.Mandate Agreement.Deal Assembly.CDS Language for the Synthetic CDO.Selecting the Portfolio and Impact on Rating.Rating Criteria and Restrictions.Substitution and Reinvestment Criteria.Warehousing Assets.Pricing and Closing.Ramping-Up the Portfolio.Reinvestment Period.Non-Call Period.Pay Down Period.Weighted Average Life and Expected Final Maturity.Early Termination.Legal Final Maturity.Tranching and the Synthetic Arbitrage Advantage.Waterfalls for Cash versus Synthetic Arbitrage CDOs.Payment-in-Kind (PIK) Tranches.Psychic Ratings: Rating Agency Treatment of PIK Tranches.The Super Senior Advantage.CDS versus Cash Asset Spreads.Simplified Examples of Interest Rate Swaps and Asset Swaps.Hedging the CDO Portfolio Cash Flows.Settlement in the Event of Default or Credit Event.Documentation.Cash versus Synthetic Arbitrage CDO Equity Cash Flows.Sample Cash Flows.Summary of Cash Arbitrage CDOs versus Synthetic Arbitrage CDOs.CHAPTER 6: Cash Flow Caveats.Conventional Wisdom.Accruing Errors.Probability of Receipt.Equity Structures.Equity Earns all Residuals, But Loss Is Limited to Original Investment.Equity Investor Injects Cash as Overcollateralization.Rated Equity Earns Stated Coupon Appropriate to Rating.Rated Equity: Static Deal.Equity Investor Earns a Stated Coupon on the Remaining Equity Investment.Conflict of Interest between the Residual Holder and Senior Tranche Investors.Unfunded Equity Investments-Ultimate Leverage.Actively Traded and Limited Substitution Synthetic Arbitrage CDOs.Interest Subparticipations (ISPs): When Equity Isn't First Loss.Participation Notes (PNs).Capped PNs.Combination Notes (CNs).Investor Motivation.Principal Protected Structures.CHAPTER 7: Balance Sheet CDOs.True Sale ("Fully Funded"): Delinked Structure.Linked Nonsynthetic Structures.Linked Black Box Credit Linked Note (CLN) CDOs.Synthetic Structure with SPE (BISTRO).Partially Synthetic Linked CDOs.Fully Synthetic CDOs.Small to Medium-Size Enterprises (SMEs)-Europe.SMEs: United States versus Europe.Secured Loan Trusts.Regulatory Capital-The Model Advantage.Regulatory Capital-BIS II.CHAPTER 8: Structured Finance and Risk.Credit Risk Dumping Grounds: The Bank's Balance Sheet and Trading Books.Loans and Other Exposures.New Structured Finance Deals.Fraud.Enron, J.P. Morgan, and Offshore Vehicles.Participation Notes.Equity Total Rate of Return Swaps (TRORS)-Loans Disguised as Capital Injections.The Trading Book Parking Lot: Regulatory Capital Arbitrage.Trading Books and CDOs: Short Mezzanine and Long Equity.Hedge Funds as Investors.Structured Finance and Accounting (Kidder Peabody).The Sarbanes-Oxley Act of 2002.Will Sarbanes-Oxley Make a Difference?CHAPTER 9: Super Senior Sophistry.The AAA Rip-Off.Rating Agencies-Moody's Tranching.AAA Basket with 2 Percent First-Loss Tranche.Super Senior Attachment Point.Super Senior Pricing.Super Seniors or Senile Seniors?Where Are the Regulators?Junior Super Seniors.Super Senior "Investors".Final Thoughts on Super Seniors.CHAPTER 10: Selected Structured Finance Products.Future Flows: Payment Rights Securitizations.Emerging Market Caveats 298Multisector CDOs: CDOs2.Structured Investment Vehicles (SIVs): Credit Arbitrage Funds.Hedge Funds and Collateralized Fund Obligations (CFOs).First (and nth)-to-Default Basket Swaps.Portfolio Swaps.Multiline Insurance Products: Disappointment and Promise.Lexington (AIG) and Hollywood Funding.Transformers.CHAPTER 11: Future Developments in Structured Finance.Playing the Game with BIS II.Trend to Risk Distribution.Acronym Key.Selected Bibliography.Interesting Web Sites.Index.
「Nielsen BookData」 より