Collateralized Debt Obligations: Structures and Analysis, by Douglas J. Lucas

By Douglas J. Lucas

Seeing that first edition's ebook, the CDO industry has visible great development. As of 2005, $1.1 trillion of CDOs have been extraordinary -- making them the fastest-growing funding car of the decade. that can assist you stay alongside of this increasing marketplace and its a variety of tools, Douglas Lucas, Laurie Goodman, and Frank Fabozzi have collaborated to carry you this totally revised and updated re-creation of Collateralized Debt responsibilities. Written in a transparent and available kind, this priceless source offers serious information about the evolving nature of the CDO marketplace. you can find in-depth insights gleaned from years of funding and credits event in addition to the exam of a variety of concerns, together with money CDOs, loans and CLOs, dependent finance CDOs and collateral evaluate, rising industry and industry worth CDOs, and artificial CDOs. Use this booklet as your consultant and make the most of this dynamic marketplace and its items.

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Extra info for Collateralized Debt Obligations: Structures and Analysis, 2nd Edition (Wiley Finance)

Example text

SF Bonds, other Capital notes Various Various 40% 18% 15% 8% 6% 8% 5% c01-Introduction Page 15 Monday, March 6, 2006 11:11 AM Cash CDO Basics 15 Asset Manager (Collateral Manager) Asset managers (or collateral managers) select the initial portfolio of an arbitrage CDO and manage it according to prescribed guidelines contained in the CDO’s indenture. Sometimes an asset manager is used in a balance sheet CDO of distressed assets to handle their workout or sale. A variety of firms offer CDO asset management services including hedge fund managers, mutual fund managers, and firms that specialize exclusively in CDO management.

It ignores overcollateralization and interest coverage ratios and the excess spread in the deal. 6 Expected Loss on BBB Class, Investment-Grade CDO Deal (Given 45 Assets) No. 9205% No. 6 (Continued) No. 0000 Importance of Diversification We can now readily show the importance of diversification. 5%. However, this does not address the distribution of losses, which is certainly important to the bondholders. In fact, the Baa bondholders are concerned about the likelihood of losses exceeding the amount of equity in the deal, while the Aaa bondholders are concerned about the likelihood of losses exceeding the amount of equity and Baa bonds.

In one actual deal, for example, four positions could be as large as 3%, as long as no more than two of these exposures were in the same industry. If two of the exposures greater than 2% were in the same industry, additional restrictions apply. Historical Defaults Likelihood of default is provided by the weighted average rating factor (WARF). This is a rough guide to the asset quality of a portfolio and is meant to incorporate the probability of default for each of the bonds backing a CDO. To see where this comes from, we need to look at actual default experience on corporate bonds.

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