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CRMM-5-cash-collateralized-debt-obligations.html
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<!doctype html>
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<title>Credit Risk Measurement and Management | Chapter 5 | Cash Collateralized Debt Obligations</title>
<meta name="description" content="Financial Risk Manager Part 2 Study Materials">
<meta name="author" content="MacLane Wilkison">
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<section>
<h1>Chapter 5</h1>
<h3>Cash Collateralized Debt Obligations</h3>
<p>
<small>Created for <a href="http://alchemistsacademy.com">Alchemists Academy</a> by <a href="http://alchemistsacademy.com/about">MacLane Wilkison</a></small>
</p>
</section>
<section>
<h2>Introduction</h2>
<p><em>Definition: An asset-backed security structure in which the securitized products issued have principal and interest backed by the cash flows on a pool of debt instrument collateral</em></p>
</section>
<section>
<h2>Types of CDOs</h2>
<ul>
<li>By type of collateral:</li>
<ul>
<li>Collateralized loan obligation (CLO)</li>
<li>Collateralized bond obligation (CBO)</li>
<li>Structured finance CDO
</ul>
<li>By economic motivations of issuer:</li>
<ul>
<li>Balance sheet CDO</li>
<li>Arbitrage CDO</li>
</ul>
</ul>
</section>
<section>
<h2>Balance Sheet CDOs</h2>
<ul>
<li>Motivations and benefits:</li>
<ul>
<li>Customized credit risk transfer</li>
<li>Monetization of assets</li>
<li>Reducing adverse selection costs</li>
<li>Funded credit protection</li>
<li>Regulatory capital arbitrage</li>
</ul>
<li>Rating considerations:</li>
<ul>
<li>Collateral requirements and asset quality tests</li>
<li>Coverage tests</li>
</ul>
</ul>
</section>
<section>
<h1>THE END</h1>
<h3><a href="http://alchemistsacademy.com">AlchemistsAcademy.com</a></h3>
</section>
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