August 2010
Beginner to intermediate
495 pages
11h 48m
English
Content preview from Fixed-Income Securities and Derivatives Handbook, Second Edition
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CHAPTER 16
Collateralized Debt Obligations
Collateralized bond obligations (CBOs) and collateralized loan obligations (CLOs), which together make up collateralized debt obligations (CDOs), are a subset of the securitized structured finance market. The instruments are generally held to have originated in the repackaging of high-yield debt or loans into higher-rated bonds that began in the late 1980s. The asset class was at the forefront of the 2007-2008 credit crunch, particularly in its “CDO of ABS” version, which suffered from large-scale losses.
A typical CDO structure involves the transfer of the credit risk associated with an underlying asset pool from the originating institution to a special purpose vehicle, or SPV, created specifically ...
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