http://derivativedribble.wordpress.com/2008/12/01/tranches-and-risk/ Clarity In A World Of Obfuscation Thu, 22 Oct 2009 00:04:21 +0000 http://wordpress.com/ hourly 1 http://derivativedribble.wordpress.com/2008/12/01/tranches-and-risk/#comment-525 How To Speak “Structured Finance” « Derivative Dribble Tue, 31 Mar 2009 14:20:47 +0000 http://derivativedribble.wordpress.com/?p=1302#comment-525 [...] Similarly, a Collateralized Debt Obligation (CDO) is not a derivative, but a security. It is similar in concept to an MBS, except the pool is not made up of mortgages, but rather various debt instruments, such as corporate bonds.  The pool underlying the CDO could be made up of loans, in which case it’s referred to as a Collateralized Loan Obligation (CLO). In general, a CDO has a pool of assets that generate cash. As that cash is generated, it gets funneled to and split up among the investors. For more on CDOs, go here and here. [...] [...] Similarly, a Collateralized Debt Obligation (CDO) is not a derivative, but a security. It is similar in concept to an MBS, except the pool is not made up of mortgages, but rather various debt instruments, such as corporate bonds.  The pool underlying the CDO could be made up of loans, in which case it’s referred to as a Collateralized Loan Obligation (CLO). In general, a CDO has a pool of assets that generate cash. As that cash is generated, it gets funneled to and split up among the investors. For more on CDOs, go here and here. [...]

]]> http://derivativedribble.wordpress.com/2008/12/01/tranches-and-risk/#comment-221 Synthetic CDOs, Ratings, And Super Senior Tranches: Part 2 « Derivative Dribble Fri, 05 Dec 2008 03:34:56 +0000 http://derivativedribble.wordpress.com/?p=1302#comment-221 [...] “how likely is it that the portfolio will lose more than X?” So if our CDO has a single tranche, that is if the payment waterfall simply passes the cash flows onto investors, then this chart [...] [...] “how likely is it that the portfolio will lose more than X?” So if our CDO has a single tranche, that is if the payment waterfall simply passes the cash flows onto investors, then this chart [...]

]]> http://derivativedribble.wordpress.com/2008/12/01/tranches-and-risk/#comment-213 Synthetic CDOs, Ratings, And Super Senior Tranches: Part 1 « Derivative Dribble Thu, 04 Dec 2008 01:49:37 +0000 http://derivativedribble.wordpress.com/?p=1302#comment-213 [...] unabashed self-promoter, I highly recommend you read my introductory article on Synthetic CDOs and my article on Tranches. If you’re going to read only one, then read the one on [...] [...] unabashed self-promoter, I highly recommend you read my introductory article on Synthetic CDOs and my article on Tranches. If you’re going to read only one, then read the one on [...]

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