CDOs and Synthetic Stuctures
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Description and objective: 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.
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
Contact Redcliffe Training Associates
| Phone | +44 (0)20 7631 2090 When calling be sure to mention Training Pages
| Fax | +44 (0)20 7631 2060 |
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