Investing in Asset-Backed
Securities
Frank J. Fabozzi
Copyright: 2000
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.
Table 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.).
340 pages