You are in Home > Finance > City > Corporate Finance >

Collateralised Debit Obligations: CBOs AND CLOs

This two day course begins by providing a thorough introduction to the development of the asset-backed securities market and the reasons behind the increasing popularity of CDOs. It focuses on the different types of CDOs structures and the rational for their usage. It provides a clear explanation on the rating agencies’ approaches to CDOs, the use of derivatives in CDOs structures and the risk-return characteristics of CDOs in an investment portfolio.

Course Content

Overview of the CDO market
European performance of CDO’s over the past year
Development of the CDO market and synthetic structures
Investor perspective of CDO structures

Case study of a typical CDO structure

Typical CDO structures in use
Description of a typical CDO structure
Motivation for the deal
Asset selection
Deal structure
Investor motivation
Cashflow CDO
Managed and static structures
Balance sheet management
Arbitrage CDO’s
Synthetic CDO
Balance sheet management
CDO^2
Single tranche CDO

Case study examples of the various CDO structures

Rating agency models
Overview of the rating agency approaches
Understanding defaults, correlation and recoveries
The different approaches to correlation and the problems involved
Review of the three basic models in use – S&P, Moody’s and Fitch

Case study example of a recent CDO rating

Synthetic CDO’s
The main credit derivative products used in CDO’s
Default swaps
FTD swaps
Basket swaps
Credit linked notes
Total return swaps
Documentation and legal issues
Overview of ISDA documentation issues in respect of synthetic CDO’s
Credit triggers and settlement procedures

Case study examples of recent synthetic CDO deals

Contact Redcliffe Training Associates