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Barcalys Capital: Guide to Cash Flow Collateralised Debt Obligations
作者：Iftikhar U. Hyder
资源类别：报告
资源格式: PDF 60 Pages 英 586KB
目录:
Table of Contents
Introduction 1
Collateral Asset Classes 1
The Asset Manager 1
Note Classes and the Priority of Payments 1
Arbitrage, Balance Sheet and Synthetic CDOs 2
Market Growth 2
Product Evolution 2
Benefits to Asset Managers and CDO Equity Investors 4
Insulation from Market Value Volatility 4
Leveraged Yield 4
Broad Diversification 4
Increase in Assets under Management 5
Committed Funds 5
Stability of Management Fees 5
Senior and Subordinated Fees 5
Incentive Fees 5
Types of Cash Flow CDOs 6
Classification by Structure 6 Cash Structures 6 Synthetic Structures Classification by Issuer Motivation 7 Arbitrage cash flow CDOs 7 Balance sheet CDOs 7 Classification by Asset Class 7 Classification by Country or Region 8 U.S. High Yield CDOs 8 European CDOs 8 Emerging Market CDOs 8 Asian CDOs 9 Japanese CDOs 9 Korean CDOs 9
Cash Structures 6
Synthetic Structures
Classification by Issuer Motivation 7
Arbitrage cash flow CDOs 7
Balance sheet CDOs 7
Classification by Asset Class 7
Classification by Country or Region 8
U.S. High Yield CDOs 8
European CDOs 8
Emerging Market CDOs 8
Asian CDOs 9
Japanese CDOs 9
Korean CDOs 9
Underlying Collateral Characteristics 10
High Yield Bonds 10
U. S. High Yield 11
European High Yield 11
Leveraged Loans 12
Leveraged Loans in Europe and the U.S. 13
Investment Grade Debt 13
Non-Funded and Partially Funded Debt Commitments14
Variable Funding Notes 14
Emerging Market Debt 14
Emerging Market Corporate Debt 15
Emerging Market Bilateral Debt15 Mezzanine Debt 16 U.S. Mezzanine Debt.16 Mezzanine Debt in Europe 16 ABS and MBS 16 PIK Interest on ABS and MBS 17 Interest Rate Sensitivity on ABS and MBS 17 Stripped MBS17 European ABS and MBS 18 REIT Debt 19 Project Finance Debt 19 Distressed Debt and DIP Financing 19 Forfaiting 20 Synthetic Securities and Credit Linked Notes 20
Mezzanine Debt 16
U.S. Mezzanine Debt.16
Mezzanine Debt in Europe 16
ABS and MBS 16
PIK Interest on ABS and MBS 17
Interest Rate Sensitivity on ABS and MBS 17
Stripped MBS17
European ABS and MBS 18
REIT Debt 19
Project Finance Debt 19
Distressed Debt and DIP Financing 19
Forfaiting 20
Synthetic Securities and Credit Linked Notes 20
Transaction Structure and Mechanics 21
Pre-closing Period 21
Ramp-up Period 21
Reinvestment Period 21
Amortization Period 22
Asset Manager22
Trustee/Custodian 22
Hedge Counterparty 22
Synthetic Security Counterparties 22
Bond Insurer 22
SPV Administrator 22 Loss Protection to the Rated Notes25 Overcollateralization and Subordination25 Excess Spread 26 Reserves 26 External Credit Enhancement 26 Interest Rate Hedges 26 Currency Hedges 27 Collateral Quality Tests 27 Early Amortization Triggers 28 Interest Coverage Tests 28 Principal Coverage Tests 28 Par Value vs. Market Value 30 Coverage Ratios by Note Class 31 Priority of Payments 31 Solutions for Equity and Subordinated Note Investors 34
Loss Protection to the Rated Notes25
Overcollateralization and Subordination25
Excess Spread 26
Reserves 26
External Credit Enhancement 26
Interest Rate Hedges 26
Currency Hedges 27
Collateral Quality Tests 27
Early Amortization Triggers 28
Interest Coverage Tests 28
Principal Coverage Tests 28
Par Value vs. Market Value 30
Coverage Ratios by Note Class 31
Priority of Payments 31
Solutions for Equity and Subordinated Note Investors 34
The Role of the Asset Manager 35
Responsibilities 35
Role as Equity Investor 35
Asset Selection 35
Timing and Prices 35 Expertise vs. Diversification 36 Performance History 36 Trading Philosophy 36 Credit and Research Capabilities 36 Workout Experience .36 Key Personnel 36 Compensation 36 Evaluation Meetings 36
Expertise vs. Diversification 36
Performance History 36
Trading Philosophy 36
Credit and Research Capabilities 36
Workout Experience .36
Key Personnel 36
Compensation 36
Evaluation Meetings 36
Trading Constraints and CDO Reinvestment Criteria 38
Sale of Assets 38
Purchase of Replacement Assets 38
CDO Equity Return Analysis 40
Scenario Analysis and Assumptions 40
Impact of Assets’ Purchase Price 41
Impact of Default Rates, Timing and Spikes 41
Impact of Coupon and Spread 42
Impact of Recovery Rate and Timing 42
Impact of Trading Gains 42
Summary of Major Risks for CDO Investors 43
Credit Risk 43
Interest Rate Risk 43
Liquidity Risk 43
Prepayment Risk 43
Reinvestment Risk 43 Asset Manager Risk 44 Currency Risk 44 Counterparty/Bivariate Risk 44 Systemic Risk 44
Asset Manager Risk 44
Currency Risk 44
Counterparty/Bivariate Risk 44
Systemic Risk 44
Glossary of Terms 45
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