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CDO: Collateralized Debt Obligation The New Choice in Global Reinsurance
Contents ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Why Consider CDOs? ,[object Object],[object Object],[object Object]
Growth in CDO Volume
[object Object],[object Object],[object Object],[object Object],[object Object],What is a CDO?
Generic CDO Structure CDO  Special Purpose  Vehicle (SPV) Subordinated Notes Equity Mezzanine Fixed or Floating Rate  Notes Senior Fixed or Floating Rate  Notes Diversified Pool of Underlying Assets  (Collateral) Collateral Manager
Example of CDO Tranching Equity 40M BB 5M BBB 47M AA 49M AAA 370M A High Yield CLO arranged by Bear Sterns.  ( Eaton Vance )
Example of CDO Tranching Equity 20M BB 5M BBB 15M A 10M AA 22.5M AAA 15M “ Super Senior” 912.5M CDO arranged by Bear Sterns where underlying collateral is investment grade.  ( Meliorbanca Parthenon I ) Equity to AAA 87.5M BBB57% AA 4% A 39%
Types of CDOs ,[object Object],[object Object],[object Object],[object Object],[object Object]
Types of CDO Collateral ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Who Buys CDOs? ,[object Object],[object Object]
CDO Advantages ,[object Object],[object Object],[object Object]
CDO vs. Bond Spreads (to the Swap Curve)
CDO Downsides ,[object Object],[object Object]
Market Yields on Identically Rated Bonds ,[object Object],[object Object],[object Object]

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CDO: Collateralized Debt Obligation

  • 1. CDO: Collateralized Debt Obligation The New Choice in Global Reinsurance
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  • 4. Growth in CDO Volume
  • 5.
  • 6. Generic CDO Structure CDO Special Purpose Vehicle (SPV) Subordinated Notes Equity Mezzanine Fixed or Floating Rate Notes Senior Fixed or Floating Rate Notes Diversified Pool of Underlying Assets (Collateral) Collateral Manager
  • 7. Example of CDO Tranching Equity 40M BB 5M BBB 47M AA 49M AAA 370M A High Yield CLO arranged by Bear Sterns. ( Eaton Vance )
  • 8. Example of CDO Tranching Equity 20M BB 5M BBB 15M A 10M AA 22.5M AAA 15M “ Super Senior” 912.5M CDO arranged by Bear Sterns where underlying collateral is investment grade. ( Meliorbanca Parthenon I ) Equity to AAA 87.5M BBB57% AA 4% A 39%
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  • 13. CDO vs. Bond Spreads (to the Swap Curve)
  • 14.
  • 15.