11. Introduction to collateralized debt obligations

  1. Vinod Kothari

Published Online: 20 MAR 2012

DOI: 10.1002/9781118390412.ch11

Credit Derivatives and Structured Credit Trading, Revised Edition

Credit Derivatives and Structured Credit Trading, Revised Edition

How to Cite

Kothari, V. (2008) Introduction to collateralized debt obligations, in Credit Derivatives and Structured Credit Trading, Revised Edition, John Wiley & Sons (Asia) Pte. Ltd., 2 Clementi Loop, #02-01, Singapore 129809. doi: 10.1002/9781118390412.ch11

Publication History

  1. Published Online: 20 MAR 2012
  2. Published Print: 19 SEP 2008

ISBN Information

Print ISBN: 9780470822920

Online ISBN: 9781118390412

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Keywords:

  • collateralized debt obligations;
  • market value-based structures;
  • static pool structures;
  • credit enhancement structure;
  • reinvestment period

Summary

This chapter contains sections titled:

  • Terminology: CDO, CBO, and CLO

  • Types of CDOs

  • Typical structure of a CDO

  • Basic economic drivers of CDOs

  • Growth of the CDO market

  • Balance sheet CDOs

  • Arbitrage CDOs

  • Measures of pool quality

  • Asset and income coverage tests

  • Ramp-up period

  • The CDO manager

  • Resecuritization or structured finance CDOs

  • Collateral and structural risks in CDO investing

  • Endnotes