A practical guide to the features and investment characteristics of CDOs
In the bond area, collateralized debt obligations, which include collateralized bond obligations and collateralized loan obligations, are the fastest-growing sector. Collateralized Debt Obligations: Structures and Analysis describes the various products in this area-cash flow CDOs, market value CDOs, synthetic CDOs, etc.-and explains how to evaluate them. With this book as their guide, investment managers and institutional investors alike will learn how to analyze the risks associated with CDOs, create a portfolio of CDO products, and assess trading opportunities in the secondary market.

LAURIE S. GOODMAN, PhD, is a Managing Director at UBS Warburg and Head of the U.S. Securitized Products Strategy Group. She is responsible for research on the full range of securitized products-RMBS, ABS, CMBS, and CDOs. Dr. Goodman has worked on Wall Street for twenty years and is very well regarded by the investor community, having won more #1 slots on the Institutional Investor All-American Fixed-Income Research Team than any other analyst. She earned a doctorate in economics from Stanford University in 1978.

FRANK J. FABOZZI, PhD, CFA, is Editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University's School of Management. Dr. Fabozzi is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He is also an Advisory Analyst for Global Asset Management (GAM) with responsibilities as Consulting Director for portfolio construction, risk control, and evaluation. He earned a doctorate in economics from the City University of New York in 1972 and, in 1994, received an honorary doctorate of humane letters from Nova Southeastern University. Dr. Fabozzi is a Fellow of the International Center for Finance at Yale University.

Preface.

About the Authors.

Chapter 1. Introduction.

Chapter 2. Cash Flow CDOs.

Chapter 3. High-Yield Default Rates and Their Application to CDO Analysis.

Chapter 4. Review of Structured Finance Collateral.

Chapter 5. Structured Finance Cash Flow CDOs.

Chapter 6. Emerging Market CDOs.

Chapter 7. Market Value CDOs.

Chapter 8. Synthetic Balance Sheet CDOs.

Chapter 9. Synthetic Arbitrage CDOs.

Chapter 10. Considerations in Creating CDOs and Their Investment Implications.

Chapter 11. Participating Coupon Notes.

Chapter 12. Relative Value Methodology for Analyzing Mezzanine Tranches.

Chapter 13. Analyzing CDO Equity Tranches.

Chapter 14. Payament-in-Kind CDO Tranches.

Chapter 15. Secondary Market Trading Opportunities and Managing a Portfolio of CDOs.

Index.