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Collateralized debt obligations and structured finance : new developments in cash and synthetic securitization
Tavakoli, Janet M.
- ISBN:0471462209
- Call Number : HG 4028 .A84 .T38 2003
- Main Entry: Tavakoli, Janet M.
- Title:Collateralized debt obligations and structured finance : new developments in cash and synthetic securitization [electronic resource] / Janet M. Tavakoli.
- Publisher:Hoboken, N.J. : John Wiley & Sons, 2003.
- Physical Description:xii, 338 p. : ill. ; 24 cm
- Series:The Wiley finance series
- Notes:Includes bibliographical references and index
- Subject:Asset-backed financing -- United States.
- Subject:Mortgage-backed securities -- United States.
Collateralized debt obligations and structured finance : new..
- Collateralized Debt Obligations and Structured Finance
- Acknowledgments
- Contents
- Introduction
- CHAPTER 1 The CDO Paradigm Shift
- CHAPTER 2 The Origins of Securitization
- 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
- First-to-Default Notes
- Mismatched Maturities
- Liquidity
- Setup Costs
- Unwind Triggers Linked to Derivatives Transactions
- DAX-Linked 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
- CHAPTER 10 Selected Structured Finance Products
- Future Flows: Payment Rights Securitizations
- Emerging Market Caveats
- Multisector CDOs: CDOs(2)
- 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
- Acronym Key
- Selected Bibliography
- Interesting Web Sites
- Index