Nomura Fixed Income Research

Structured Finance Trends – Yield Spreads, Credit
Support, and Collateral Performance – The Big Picture

We examined different categories of structured finance

 products along three dimensions: (1) yield
spreads, (2) credit support levels, and (3) collateral credit

performance.

The product categories that we considered were:
• residential mortgage-backed securities (RMBS),
• commercial mortgage-backed securities (CMBS),
• asset-backed securities (ABS) composed of home equity

(subprime mortgage) loans,
• ABS composed of credit card receivables,
• ABS composed of auto loans, and
• collateralized bond obligations (CBOs).

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Nomura Fixed Income Research

CDOs in Plain English

A Summer Intern's Letter Home

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 WHY ARE MORE COMPANIES SECURITIZING THEIR ASSETS?
The Securitization Markets Handbook Shows How and Why Companies
Are Creating Mortgage- and Asset-Backed Securities (MBS and ABS)
from Future Revenue Streams to Manage Risk, Provide Liquidity, and
Finance Working Capital and Capital Budgets

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The determinants of credit spread changes in the euro area

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The determinants of credit default swap rates:

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