Structured Products and Related Credit

This book begins with an introduction of the structured assets field by discussing securitization and trust structure. It then discusses basic valuation techniques including present value, future value, bootstrapping, spot rates, forward rates, zero spread analysis, and consumer ABS. The authors provide an in-depth account of the different types of ABS like residential, credit card, auto, student loan, and ABS credit derivatives. They then discuss the CDO market by offering readers all the best information for understanding CDOs, CDO equity, middle market CDOs, and commercial real estate. They then give an introduction to CMBS, and have a chapter on managed CRE CDOs and synthetic CRE CDOs. They then wrap up the structured assets discussion with a chapter on commercial ABS like aircraft securitization, intermodal "container" securitization, and triple X securitizations.

Brian P. Lancaster is Head of Structured Products Research at Wachovia. Prior to joining Wachovia, Lancaster was a managing director (principal) in structured products at Bear, Stearns & Co. Inc. from 1990 to 2001.

Glenn M. Schultz, MBA, is Managing Director and Head of ABS and Non-Agency Mortgage Research for Wachovia Capital Markets, LLC. Prior to joining Wachovia, Schultz was a managing director and head of residential ABS investment banking, managing the residential ABS and MBS businesses of the royal bank of Canada Financial Group.

Frank J. Fabozzi, PHD, CFA, is Professor in the Practice of Finance and Becton Fellow at Yale University's School of Management and the Editor of the Journal of Portfolio Management.

Foreword
Acknowledgments
About the Editors
Contributing Authors
Background
Introduction
Structured Finance Operating Companies: SIVs, SLVs, and Other Structured Vehicles
Consumer ABS
Residential Asset-Backed Securities
Credit Card ABS
Auto Asset-Backed Securities
Student Loan ABS
Small Business Loan ABS
Valuation of Subprime ABS Credit Default Swaps
Collateralized Debt Obligations
Basics of Cods
CDOs by Asset Type
Credit Derivatives and Synthetic CDOs
CDO Performance
CDO Equity
Commercial Real Waste
Commercial Mortgage-Backed Securities
Understanding Managed CRE CDOs
Synthetic CRE CDOs
European Commercial Real Estate CDOs
Government National Mortgage Association Multifamily Deals
Commercial ABS
Aircraft-Backed Debt Securities
Intermodal Equipment Securitization
Life Insurance Reserve Securitization
Index
Table of Contents provided by Publisher. All Rights Reserved.

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Structured Products and Related Credit Derivatives A Comprehensive Guide for Investors

Summary

Author Biography

Table of Contents

Supplemental Materials