请教关于cdo

如果中英可的话,我觉得英文的资料更权威和想尽:collateralized debt obligations (cdos) are an unregulated type of asset-backed security and structured credit product. cdos are constructed from a portfolio of fixed-income assets. these assets are divided by the **suer into different tranches: senior tranches (rated aaa), mezzanine tranches (aa to bb), and equity tranches (unrated). losses are applied in reverse order of seniority and so junior tranches offer higher coupons (interest rates) to compensate for the added default r**k. since 1987, cdos h**e become an important funding vehicle for fixed-income assets.some news and media commentary blame the financial woes of the 2007-2008 credit crunch on the complexity of cdo products, and the failure of r**k and recovery models used by credit rating agencies to value these products. some institutions buying cdos lacked the competency to monitor credit performance and/or estimate expected cash flows. on the other hand, some academics maintain that because the products are not priced by an open market, the r**k associated with the securities ** not priced into its cost and ** not indicative of the extent of the r**k to potential purchasers.[1] as many cdo products are held on a mark to market bas**, the paralys** in the credit markets and the collapse of liquidity in these products led to substantial write-downs in 2007. major loss of confidence occurred in the validity of the process used by ratings agencies to assign credit ratings to cdo tranches and th** loss of confidence pers**ts into 2008.contents[hide] * 1 market h**tory and growth * 2 concept * 3 structures * 4 taxation of cdos * 5 types of cdos * 6 types of collateral * 7 transaction participants o 7.1 investors o 7.2 underwriter o 7.3 the asset manager o 7.4 the trustee and collateral admin**trator o 7.5 accountants o 7.6 attorneys * 8 subprime mortgage cr**** * 9 see also * 10 references * 11 external links[edit] market h**tory and growththe first cdo was **sued in 1987 by bankers at now-defunct drexel burnham lambert inc. for imperial s**ings association, a s**ings institution that later became insolvent and was taken over by the resolution trust corporation on june 22, 1990.[2][3][4] a decade later, cdos emerged as the fastest growing sector of the asset-backed synthetic securities market. th** growth may reflect the increasing appeal of cdos for a growing number of asset managers and investors, which now include insurance companies, mutual fund companies, unit trusts, investment trusts, commercial banks, investment banks, pension fund managers, private banking organizations, other cdos and structured investment vehicles.cdos offered returns that were sometimes 2-3 percentage points higher than corporate bonds with the same credit rating.it may also reflect the greater profit margins that cdos provide to their manufacturers.a major factor in the growth of cdos was the 2001 introduction by d**id x. li of gaussian copula models, which allowed for the rapid pricing of cdos. [5][6]according to the securities industry and financial markets association, aggregate global cdo **suance totaled us$ 157 billion in 2004, us$ 272 billion in 2005, us$ 552 billion in 2006 and us$ 503 billion in 2007.[7] research firm celent estimated the size of the cdo global market to close to $2 trillion by the end of 2006.[8][edit] conceptcdos vary in structure and underlying assets, but the basic principle ** the same. essentially a cdo ** a corporate entity constructed to hold assets as collateral and to sell packages of cash flows to investors. a cdo ** constructed as follows: * a special purpose entity (spv) acquires a portfolio of credit. common assets held include mortgage-backed securities, commercial real estate (cre) debt, and high-yield corporate loans. * the spv **sues different classes of bonds and equity and the proceeds are used to purchase the portfolio of credits. the bonds and equity are entitled to the cash flows from the portfolio of credits, in accordance with the priority of payments set forth in the transaction documents. the senior notes are paid from the cash flows before the junior notes and equity notes. in th** way, losses are first borne by the equity notes, next by the junior notes, and finally by the senior notes. in th** way, the senior notes, junior notes, and equity notes offer d**tinctly different combinations of r**k and return, while each reference the same portfolio of debt securities.a cdo investor takes a position in an entity that has defined r**k and reward, not directly in the underlying assets. therefore, the investment ** dependent on the quality of the metrics and assumptions used for defining the r**k and reward of the tranches.the **suer of the cdo, typically an investment bank, earns a comm**sion at time of **sue and earns management fees during the life of the cdo. an investment in a cdo ** therefore an investment in the cash flows of the assets, and the prom**es and mathematical models of th** intermediary, rather than a direct investment in the underlying collateral. th** differentiates a cdo from a mortgage or a mortgage-backed security (mbs).the loss of an investor's principal ** applied in reverse order of seniority (i.e., highest credit r**k tranches to lowest). the senior tranche ** protected by the subordinated security structure; thus, it ** the most highly rated tranche. the equity tranche (also known as the first-loss tranche or "toxic waste") ** most vulnerable, and has to offer higher coupons to compensate for the higher r**k.creating cdos from other cdos creates enormous problems for accounting, allowing large financial institutions to move debt off their books by pooling their debt with other financial institutions and then bringing these debts back on to their books calling it a synthetic cdo asset. [9] th** not only has allowed financial institutions to hide their losses, but has allowed them to inflate their earnings.[10] th** has the unfortunate effect of doubling potential losses book-w**e[11].[edit] structurescdo ** a broad term that can refer to several different types of products. they can be categorized in several ways. the primary classifications are as follow:source of funds -- cash flow vs. market value * cash flow cdos pay interest and principal to tranche holders using the cash flows produced by the cdo's assets. cash flow cdos focus primarily on managing the credit quality of the underlying portfolio. * market value cdos attempt to enhance investor returns through the more frequent trading and profitable sale of collateral assets. the cdo asset manager seeks to realize capital gains on the assets in the cdo's portfolio. there ** greater focus on the changes in market value of the cdo's assets. market value cdos are longer-establ**hed, but less common than cash flow cdos.motivation -- arbitrage vs. balance sheet * arbitrage transactions (cash flow and market value) attempt to capture for equity investors the spread between the relatively high yielding assets and the lower yielding liabilities represented by the rated bonds. the majority, 86%, of cdos are arbitrage-motivated[12]. * balance sheet transactions, by contrast, are primarily motivated by the **suing institutions’ desire to remove loans and other assets from their balance sheets, to reduce their regulatory capital requirements and improve their return on r**k capital. a bank may w**h to offload the credit r**k in order to reduce its balance sheet's credit r**k.funding -- cash vs. synthetic * cash cdos involve a portfolio of cash assets, such as loans, corporate bonds, asset-backed securities or mortgage-backed securities. ownership of the assets ** transferred to the legal entity (known as a special purpose vehicle) **suing the cdo's tranches. the r**k of loss on the assets ** divided among tranches in reverse order of seniority. cash cdo **suance exceeded $400 billion in 2006. * synthetic cdos do not own cash assets like bonds or loans. instead, synthetic cdos gain credit exposure to a portfolio of fixed income assets without owning those assets through the use of credit default swaps, a derivatives instrument. (under such a swap, the credit protection seller, the cdo, receives periodic cash payments, called premiums, in exchange for agreeing to assume the r**k of loss on a specific asset in the event that asset experiences a default or other credit event.) like a cash cdo, the r**k of loss on the cdo's portfolio ** divided into tranches. losses will first affect the equity tranche, next the mezzanine tranches, and finally the senior tranche. each tranche receives a periodic payment (the swap premium), with the junior tranches offering higher premiums. a synthetic cdo tranche may be either funded or unfunded. under the swap agreements, the cdo could h**e to pay up to a certain amount of money in the event of a credit event on the reference obligations in the cdo's reference portfolio. some of th** credit exposure ** funded at the time of investment by the investors in funded tranches. typically, the junior tranches that face the greatest r**k of experiencing a loss h**e to fund at closing. until a credit event occurs, the proceeds provided by the funded tranches are often invested in high-quality, liquid assets or placed in a gic (guaranteed investment contract) account that offers a return that ** a few bas** points below libor. the return from these investments plus the premium from the swap counterparty provide the cash flow stream to pay interest to the funded tranches. when a credit event occurs and a payout to the swap counterparty ** required, the required payment ** made from the gic or reserve account that holds the liquid investments. in contrast, senior tranches are usually unfunded since the r**k of loss ** much lower. unlike a cash cdo, investors in a senior tranche receive periodic payments but do not place any capital in the cdo when entering into the investment. instead, the investors retain continuing funding exposure and may h**e to make a payment to the cdo in the event the portfolio's losses reach the senior tranche. funded synthetic **suance exceeded $80 billion in 2006. from an **suance perspective, synthetic cdos take less time to create. cash assets do not h**e to be purchased and managed, and the cdo's tranches can be prec**ely structured. * hybrid cdos are an intermediate instrument between cash cdos and synthetic cdos. the portfolio of a hybrid cdo includes both cash assets as well as swaps that give the cdo credit exposure to additional assets. a portion of the proceeds from the funded tranches ** invested in cash assets and the remainder ** held in reserve to cover payments that may be required under the credit default swaps. the cdo receives payments from three sources: the return from the cash assets, the gic or reserve account investments, and the cds premiums.single-tranche cdos the flexibility of credit default swaps ** used to construct single tranche cdos (bespoke cdos) where the entire cdo ** structured specifically for a single or small group of investors, and the remaining tranches are never sold but held by the dealer based on valuations from internal models. residual r**k ** delta-hedged by the dealer.variants unlike cdos, which are terminating structures that typically wind-down or refinance at the end of their financing term, structured operating companies are permanently capitalized variants of cdos, with an active management team and infrastructure. they often **sue term notes, commercial **, and/or auction rate securities, depending upon the structural and portfolio character**tics of the company. credit derivative products companies (cdpc) and structured investment vehicles (siv) are examples, with cdpc taking r**k synthetically and siv with predominantly 'cash' exposure. 20210311