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A collection of articles from various professionals, discussing the details of investing in asset-backed securities. Main topics addressed include non-real estate backed ABS, collateralized debt obligations, residential real-estate backed ABS, accounting, commercial mortgage backed securities, and analysis of ABS.
List of contents
Contributing Authors.
1. Overview of ABS Portfolio Management (K. Weaver, et al.).
2. Rating Asset-Backed Securities (A. Silver).
NON-REAL ESTATE BACKED ABS.
3. Securities Backed by Credit Card Receivables (J. McElravey).
4. Securities Backed by Auto Loans and Leases (N. McPherson).
5. Securities Backed by Recreational Vehicle Loans (N. Bakalar and J. Nimberg).
6. Equipment-Financed ABS (J. Anderson, et al.).
7. Aircraft Asset-Backed Securities (J. Philips and O. Hsiang).
8. SBA Development Company Participation Certificates (C. Flanagan and W. Tan).
9. Franchise Loan Securitization (J. Anderson and K. Clark).
10. Student Loan Floaters (T. Zimmerman).
11. Healthcare Receivable Backed ABS (N. McPherson with assistance from T. Fasanella).
12. Dealer Floorplan ABS (K. Weaver and N. Bakalar).
COLLATERALIZED DEBT OBLIGATIONS.
13. Collateralized Debt Obligations (C. Schorin and S. Weinreich).
14. Relative Value Framework for Collateralized Debt Obligations (C. Schorin and S. Weinreich).
15. Analyzing Mezzanine Tranches of CBOs (L. Goodman and J. Ho).
16. Emerging Market CBOs (L. Goodman).
17. Market Value CBOs (L. Goodman).
RESIDENTIAL REAL ESTATE BACKED ABS.
18. Mortgage Credit Analysis (J. Brown and W. Wadden, IV).
19. Securities Backed by Closed-End Home Equity Loans (R. Hurst).
20. Home Equity Line of Credit (HELOC) Securitizations (W. Roever, et al.).
21. Securities Backed by Manufactured Housing Loans (J. Anderson and K. Clark).
22. Securities Backed by Tax Liens (C. Flanagan, et al.).
COMMERCIAL MORTGAGE-BACKED SECURITIES.
23. Commercial Mortgage-Backed Securities (A. Sanders).
24. Structure, Valuation, and Performance of CMBS (R. Gordon and L. Gibson).
25. Floating-Rate Commercial Mortgage-Backed Securities (P. Corcoran and J. Phillips).
ANALYSIS OF ABS.
26. Performance, Risk, Structure, and Valuation of Credit-Sensitive ABS (L. GIbson).
27. Identifying Relative Value in the ABS Market (L. Wilhelm and W. Roever).
28. Analysis of ABS (F. Fabozzi, et al.).
29. A Framework for Evaluating Cleanup Calls in Amortizing ABS (A. Chu).
ACCOUNTING.
30. Accounting for Investments in MBS and ABS (S. Gangwani, et al.).
Index.
About the author
Frank J. Fabozzi is editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University's School of Management. Frank is a Chartered Financial Analyst and Certified Public Accountant. He is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate of economics from the City University of New York in 1972 and in 1994 received an honorary doctorate of Human Letters from Nova Southeastern University. Frank is a Fellow of the International Center for Finance at Yale University.
Summary
An analysis of the major sectors of asset-backed securities (ABS), detailing their uses to improve leverage ratios and to liquefy balance sheets, along with techniques to value these investment tools.
