資產證券化cdo

❶ 請教關於CDO

如果中英文皆可的話,我覺得英文的資料更權威和想盡:
Collateralized debt obligations (CDOs) are an unregulated type of asset-backed security and structured credit proct. CDOs are constructed from a portfolio of fixed-income assets. These assets are divided by the issuer into different tranches: senior tranches (rated AAA), mezzanine tranches (AA to BB), and equity tranches (unrated). Losses are applied in reverse order of seniority and so junior tranches offer higher coupons (interest rates) to compensate for the added default risk. Since 1987, CDOs have become an important funding vehicle for fixed-income assets.

Some news and media commentary blame the financial woes of the 2007-2008 credit crunch on the complexity of CDO procts, and the failure of risk and recovery models used by credit rating agencies to value these procts. Some institutions buying CDOs lacked the competency to monitor credit performance and/or estimate expected cash flows. On the other hand, some academics maintain that because the procts are not priced by an open market, the risk associated with the securities is not priced into its cost and is not indicative of the extent of the risk to potential purchasers.[1] As many CDO procts are held on a mark to market basis, the paralysis in the credit markets and the collapse of liquidity in these procts led to substantial write-downs in 2007. Major loss of confidence occurred in the validity of the process used by ratings agencies to assign credit ratings to CDO tranches and this loss of confidence persists into 2008.
Contents
[hide]

* 1 Market history and growth
* 2 Concept
* 3 Structures
* 4 Taxation of CDOs
* 5 Types of CDOs
* 6 Types of Collateral
* 7 Transaction Participants
o 7.1 Investors
o 7.2 Underwriter
o 7.3 The Asset Manager
o 7.4 The Trustee and Collateral Administrator
o 7.5 Accountants
o 7.6 Attorneys
* 8 Subprime mortgage crisis
* 9 See also
* 10 References
* 11 External links

[edit] Market history and growth

The first CDO was issued in 1987 by bankers at now-defunct Drexel Burnham Lambert Inc. for Imperial Savings Association, a savings institution that later became insolvent and was taken over by the Resolution Trust Corporation on June 22, 1990.[2][3][4] A decade later, CDOs emerged as the fastest growing sector of the asset-backed synthetic securities market. This growth may reflect the increasing appeal of CDOs for a growing number of asset managers and investors, which now include insurance companies, mutual fund companies, unit trusts, investment trusts, commercial banks, investment banks, pension fund managers, private banking organizations, other CDOs and structured investment vehicles.

CDOs offered returns that were sometimes 2-3 percentage points higher than corporate bonds with the same credit rating.

It may also reflect the greater profit margins that CDOs provide to their manufacturers.

A major factor in the growth of CDOs was the 2001 introction by David X. Li of Gaussian copula models, which allowed for the rapid pricing of CDOs. [5][6]

According to the Securities Instry and Financial Markets Association, aggregate global CDO issuance totaled US$ 157 billion in 2004, US$ 272 billion in 2005, US$ 552 billion in 2006 and US$ 503 billion in 2007.[7] Research firm Celent estimated the size of the CDO global market to close to $2 trillion by the end of 2006.[8]

[edit] Concept

CDOs vary in structure and underlying assets, but the basic principle is the same. Essentially a CDO is a corporate entity constructed to hold assets as collateral and to sell packages of cash flows to investors. A CDO is constructed as follows:

* A special purpose entity (SPV) acquires a portfolio of credit. Common assets held include mortgage-backed securities, Commercial Real Estate (CRE) debt, and high-yield corporate loans.

* The SPV issues different classes of bonds and equity and the proceeds are used to purchase the portfolio of credits. The bonds and equity are entitled to the cash flows from the portfolio of credits, in accordance with the Priority of Payments set forth in the transaction documents. The senior notes are paid from the cash flows before the junior notes and equity notes. In this way, losses are first borne by the equity notes, next by the junior notes, and finally by the senior notes. In this way, the senior notes, junior notes, and equity notes offer distinctly different combinations of risk and return, while each reference the same portfolio of debt securities.

A CDO investor takes a position in an entity that has defined risk and reward, not directly in the underlying assets. Therefore, the investment is dependent on the quality of the metrics and assumptions used for defining the risk and reward of the tranches.

The issuer of the CDO, typically an investment bank, earns a commission at time of issue and earns management fees ring the life of the CDO. An investment in a CDO is therefore an investment in the cash flows of the assets, and the promises and mathematical models of this intermediary, rather than a direct investment in the underlying collateral. This differentiates a CDO from a mortgage or a mortgage-backed security (MBS).

The loss of an investor's principal is applied in reverse order of seniority (i.e., highest credit risk tranches to lowest). The senior tranche is protected by the subordinated security structure; thus, it is the most highly rated tranche. The equity tranche (also known as the first-loss tranche or "toxic waste") is most vulnerable, and has to offer higher coupons to compensate for the higher risk.

Creating CDOs from other CDOs creates enormous problems for accounting, allowing large financial institutions to move debt off their books by pooling their debt with other financial institutions and then bringing these debts back on to their books calling it a Synthetic CDO asset. [9] This not only has allowed financial institutions to hide their losses, but has allowed them to inflate their earnings.[10] This has the unfortunate effect of doubling potential losses book-wise[11].

[edit] Structures

CDO is a broad term that can refer to several different types of procts. They can be categorized in several ways. The primary classifications are as follow:

Source of funds -- cash flow vs. market value

* Cash flow CDOs pay interest and principal to tranche holders using the cash flows proced by the CDO's assets. Cash flow CDOs focus primarily on managing the credit quality of the underlying portfolio.
* Market value CDOs attempt to enhance investor returns through the more frequent trading and profitable sale of collateral assets. The CDO asset manager seeks to realize capital gains on the assets in the CDO's portfolio. There is greater focus on the changes in market value of the CDO's assets. Market value CDOs are longer-established, but less common than cash flow CDOs.

Motivation -- arbitrage vs. balance sheet

* Arbitrage transactions (cash flow and market value) attempt to capture for equity investors the spread between the relatively high yielding assets and the lower yielding liabilities represented by the rated bonds. The majority, 86%, of CDOs are arbitrage-motivated[12].
* Balance sheet transactions, by contrast, are primarily motivated by the issuing institutions』 desire to remove loans and other assets from their balance sheets, to rece their regulatory capital requirements and improve their return on risk capital. A bank may wish to offload the credit risk in order to rece its balance sheet's credit risk.

Funding -- cash vs. synthetic

* Cash CDOs involve a portfolio of cash assets, such as loans, corporate bonds, asset-backed securities or mortgage-backed securities. Ownership of the assets is transferred to the legal entity (known as a special purpose vehicle) issuing the CDO's tranches. The risk of loss on the assets is divided among tranches in reverse order of seniority. Cash CDO issuance exceeded $400 billion in 2006.
* Synthetic CDOs do not own cash assets like bonds or loans. Instead, synthetic CDOs gain credit exposure to a portfolio of fixed income assets without owning those assets through the use of credit default swaps, a derivatives instrument. (Under such a swap, the credit protection seller, the CDO, receives periodic cash payments, called premiums, in exchange for agreeing to assume the risk of loss on a specific asset in the event that asset experiences a default or other credit event.) Like a cash CDO, the risk of loss on the CDO's portfolio is divided into tranches. Losses will first affect the equity tranche, next the mezzanine tranches, and finally the senior tranche. Each tranche receives a periodic payment (the swap premium), with the junior tranches offering higher premiums.

A synthetic CDO tranche may be either funded or unfunded. Under the swap agreements, the CDO could have to pay up to a certain amount of money in the event of a credit event on the reference obligations in the CDO's reference portfolio. Some of this credit exposure is funded at the time of investment by the investors in funded tranches. Typically, the junior tranches that face the greatest risk of experiencing a loss have to fund at closing. Until a credit event occurs, the proceeds provided by the funded tranches are often invested in high-quality, liquid assets or placed in a GIC (Guaranteed Investment Contract) account that offers a return that is a few basis points below LIBOR. The return from these investments plus the premium from the swap counterparty provide the cash flow stream to pay interest to the funded tranches. When a credit event occurs and a payout to the swap counterparty is required, the required payment is made from the GIC or reserve account that holds the liquid investments. In contrast, senior tranches are usually unfunded since the risk of loss is much lower. Unlike a cash CDO, investors in a senior tranche receive periodic payments but do not place any capital in the CDO when entering into the investment. Instead, the investors retain continuing funding exposure and may have to make a payment to the CDO in the event the portfolio's losses reach the senior tranche. Funded synthetic issuance exceeded $80 billion in 2006. From an issuance perspective, synthetic CDOs take less time to create. Cash assets do not have to be purchased and managed, and the CDO's tranches can be precisely structured.

* Hybrid CDOs are an intermediate instrument between cash CDOs and synthetic CDOs. The portfolio of a hybrid CDO includes both cash assets as well as swaps that give the CDO credit exposure to additional assets. A portion of the proceeds from the funded tranches is invested in cash assets and the remainder is held in reserve to cover payments that may be required under the credit default swaps. The CDO receives payments from three sources: the return from the cash assets, the GIC or reserve account investments, and the CDS premiums.

Single-tranche CDOs
The flexibility of credit default swaps is used to construct Single Tranche CDOs (bespoke CDOs) where the entire CDO is structured specifically for a single or small group of investors, and the remaining tranches are never sold but held by the dealer based on valuations from internal models. Resial risk is delta-hedged by the dealer.

Variants
Unlike CDOs, which are terminating structures that typically wind-down or refinance at the end of their financing term, Structured Operating Companies are permanently capitalized variants of CDOs, with an active management team and infrastructure. They often issue term notes, commercial paper, and/or auction rate securities, depending upon the structural and portfolio characteristics of the company. Credit Derivative Procts Companies (CDPC) and Structured Investment Vehicles (SIV) are examples, with CDPC taking risk synthetically and SIV with predominantly 'cash' exposure.

❷ 求CDO與ABS和MBS的區別

abs和mbs是資產證券化的兩個分支，除了住房抵押貸款以外的證券化都屬於abs，cdo是abs下的一個分類，cdo又可以分為clo（loan）和cbo(bond)

❸ 經濟學中ABS與CDO有什麼區別

ABS和CDO兩者的區別主要體現在以下三個方面：

一、二者的標的資產（即資產池內的資產）不同。

ABS（狹義）的資產池是房產抵押貸款以外的債權，如：信用卡應收賬款、租賃租金、汽車貸款債權等。

CDO的資產池主要是一些債務工具，如：高收益的債券（HighYieldBonds）、新興市場公司債券（EmergingMarketCorporateDebt）、國家債券（SovereignDebt）、銀行貸款（BankLoans）等。

二、債權人的數量不同。

ABS的債權人至少有上千個以上。

CDO的債權人約為100-200個左右，少於100個的也常見。

三、標的資產的相關性要求不同

ABS的資產講究一致性。它的債權性質、到期日都很相似，甚至希望資產能夠源自一個創始者，以便適度地掌握現金流。

CDO的各個債權講究相異性，資金來源不能相同，資金來源的相關性愈小愈好，以達到充分分散風險的要求。

(3)資產證券化cdo擴展閱讀：

1. ABS，即資產支持證券（AssetBackedSecurities），是將房地產抵押貸款債權以外的資產匯成資產池發行的證券，它實際上是MBS技術在其他資產上的推廣和應用。

2. CDO，即擔保債務憑證（CollateralizedDebtObligation），是一種新型的ABS，指以抵押債務信用為基礎，基於各種資產證券化技術，對債券、貸款等資產進行結構重組，重新分割投資回報和風險，以滿足不同投資者需要的創新性衍生證券產品。

3. 從本質上來講ABS和 CDO都是資產證券化產品，ABS指資產支持證券，狹義的ABS不包括CDO。CDO指擔保債務憑證。

❹ CDO，CMO，CDS，MBS，ABS他們之間的區別和聯系

區別

一、定義不同

CDO：債務抵押證券業務（colleteralized debt obligation），是以資產證券化技術為基礎，對債券、貸款等資產進行結構性重組後產生的創新產品。

CMO：首席營銷官（Chief Marketing Officer）是指企業中負責市場運營工作的高級管理人員，又稱作市場部經理、營銷總監。

CDS：信用違約互換（Credit Default Swap）。CDS類似於兩個參與主體之間的保險合約，一個是保護賣方（保險人），另一個是保護買方（被保險人）。保護買方尋求資產保護避免本金的損失。保護賣方同意提供保險但收取一定費用。

MBS：包括住房抵押貸款支持證券（RMBS）和商業（不動產）抵押貸款支持證券（CMBS）。

ABS：（Asset backed securities）資產支持證券。這里的資產（Asset）包括信用卡應收款項、住房抵押貸款、學生貸款、汽車貸款以及租賃契約等。

二、針對對象不同

CDO針對資產證券。

CMO針對高級管理人員。

CDS針對信用及保險合約，CDS可以面向各類投資者，個人、銀行、對沖基金、社保、養老金、保險公司等等。

MBS針對抵押貸款支持證券。

ABS針對資產支持證券，ABS中的Asset 可以指房貸，也可以是企業債、租賃、學生貸款、信用卡債等等各種形式的債權。。各自針對的對象不同。

聯系

1、從領域上

CDO，CMO，CDS，MBS，ABS都可以叫做信用衍生產品。

2、從范圍上

CDS是所有信用衍生產品的基石，也是目前全球交易最為廣泛的場外信用衍生品。

MBS可以分為過手證券（這里，所有的投資者都獲得同樣的收益並承擔同樣的風險）和分級償還證券（就是抵押貸款擔保證券CMO ）。一個CMO被切割成幾類票據（或資產擋），代表了各自的責任，簡單說就是可以分層。

3、從書寫上

將MBS中的M（mortgage）用A（Asset）代替就成了ABS（Asset backed securities，資產支持證券）。

4、從先後關繫上

第一個CDO是在1988年構建的，由包含高收益債券的擔保池支持，叫做債券擔保證券（Collateralized bond Obligation，CBO）。

之後，發行人擴展了參考資產的范圍，就形成了債務擔保證券（Collateralized Debt Obligation，CDO），包括杠桿貸款、信託優先證券、新興市場主權債務、ABS、CMBS、商品以及市政債券等等。

(4)資產證券化cdo擴展閱讀

CDO，CMO，CDS，MBS，ABS等信用衍生產品的共同作用

1、分散信用風險

信用衍生產品的出現使信用風險管理有了屬於自己的技術，將信用風險從其它風險中剝離並轉移出去，從而較好地解決了銀行在風險管理實踐中的信用悖論問題。

藉助於信用衍生產品，銀行既可以避免信用風險的過度集中，又能繼續保持與客戶的業務關系，無疑對傳統銀行業的經營理念具有革命意義。

2、提高資本回報率

金融資產的風險收益特徵可通過預期收益與意外損失兩個參數來表示。通過減少意外損失高、預期收益低的資產，或增加有正貢獻的資產，來提高預期收益和意外損失的比率，可以達到提高資產組合預期業績的目的。

3、提高基礎市場流動性

信用衍生產品把金融資產中的信用風險分離出來，並通過信用分層、信用增級、破產隔離等金融工程尤其是信用工程技術，重新改變金融資產的風險收益特徵，將其改造成可交易的金融產品，從而大大增強了金融市場的流動性。

4、提高金融市場效率

在有信用衍生產品的金融交易中，由於出現了信用風險的第三方購買者，極大地減輕金融市場上由於信息不對稱所產生的逆向選擇和道德風險問題，從而降低了金融交易成本，有力地促進了金融市場上的運行效率。

❺ 市場是如何錯誤判斷abs cdo的

ABS ,Assets- backed Of Securitization，這個說起來太復雜了，簡單說，就是資產證券化是以特定資產組合或特定現金流為支持，發行可交易證券的一種融資形式。傳統的證券發行是以為基礎，而資產證券化則是以特定的資產池為基礎發行證券。
在資產證券化過程中發行的以資產池為基礎的證券就稱為證券化產品。
資產證券化(asset-backed securitization)是指將缺乏流動性的資產，轉換為在金融市場上可以自由買賣的證券的行為，使其具有流動性。

cdo,Collateralized Debt Obligation，資產證劵化的重要主成部分，它的標的資產通常是信貸資產或債券。按資產有2個重要的分支：CLO(Collateralised Loan Obligation)和CBO(Collateralised Bond Obligation)。前者指的是信貸資產的證券化，後者指的是市場流通債券的再證券化。但是它們都統稱為CDO。

cds,Credit Default Swap,或者被稱為貸款違約保險，是目前全球交易最為廣泛的場外信用衍生品。cds的出現解決了信用風險的流動性問題，使得信用風險可以像市場風險一樣進行交易，從而轉移擔保方風險，同時也降低了發行債券的難度和成本，也是08年導致雷曼破產的主要商品之一。

❻ MBS、CDO、ABS、CLO分別是什麼意思各是什麼用途

1、MBS：抵押支持債券或者抵押貸款證券化。MBS是最早的資產證券化品種。最早產生於60年代美國。

用途：利用貸款集合體定期發生的本金及利息的現金流入發行證券，並由政府機構或政府背景的金融機構對該證券進行擔保。

2、CDO：資產證券化家族中重要的組成部分。它的標的資產通常是信貸資產或債券。

用途：通常創始銀行將擁有現金流量的資產匯集群組，然後作資產包裝及分割，轉給特殊目的載體（Special Purpose Vehicle），以私募或公開發行方式賣出固定收益證券或受益憑證。

3、ABS

資產支持證券是由受託機構發行的、代表特定目的信託的信託受益權份額。受託機構以信託財產為限向投資機構承擔支付資產支持證券收益的義務。其支付基本來源於支持證券的資產池產生的現金流。

用途：

信貸資產信託給受託機構，由受託機構發行的，以該財產所產生的現金支付其收益的收益證券。換言之，資產支持證券就是由特定目的的信託受託機構發行的、代表特定目的的信託的信託收益權份額。信託機構以信託財產為限向投資機構承擔支付資產支持證券收益的義務。

4、CLO：貸款抵押債券，是將大量貸款證券化後拆分賣給不同的投資者的產品。

用途：貸款抵押債券，是將大量貸款證券化後拆分賣給不同的投資者的產品。貸款歸還的利息和本金並不平均分配給所有CLO持有人，持有人被劃分為不同的級別，叫做tranches，不同級別的收益率不同，承擔的風險也有所區別。

有為保守投資者設計的級別（風險較低、收益較低，類似文中的債權形式CLO），也有為風險偏好較高的投資者設計的級別（風險較高、收益較高，類似文中的股權形式CLO）。

(6)資產證券化cdo擴展閱讀：

債券的基本特徵：

1、償還性

償還性是指債券有規定的償還期限，債務人必須按期向債權人支付利息和償還本金。

2、流動性

流動性是指債券持有人可按需要和市場的實際狀況，靈活地轉讓債券，以提前收回本金和實現投資收益。

3、安全性

安全性是指債券持有人的利益相對穩定，不隨發行者經營收益的變動而變動，並且可按期收回本金。

4、收益性

收益性是指債券能為投資者帶來一定的收入，即債券投資的報酬。在實際經濟活動中，債券收益可以表現為三種形式：一是投資債券可以給投資者定期或不定期地帶來利息收入：二是投資者可以利用債券價格的變動，買賣債券賺取差額；三是投資債券所獲現金流量再投資的利息收入。

❼ abs,cdo是什麼東西啊麻煩

ABS，即資產支持證券（Asset Backed Securities），是將房地產抵押貸款債權以外的資產匯成資產池發行的證券，它實際上是MBS技術在其他資產上的推廣和應用。

CDO，即擔保債務憑證（Collateralized Debt Obligation），是一種新型的ABS，指以抵押債務信用為基礎，基於各種資產證券化技術，對債券、貸款等資產進行結構重組，重新分割投資回報和風險，以滿足不同投資者需要的創新性衍生證券產品。

兩者都是把資產證券化。

❽ 什麼是cdo

擔保債務憑證，簡稱CDO，資產證券化家族中重要的組成部分。它的標的資產通常是信貸資產或債券。這也就衍生出了它按資產分類的重要的兩個分支：CLO(Collateralised Loan Obligation)和CBO(Collateralised Bond Obligation)。前者指的是信貸資產的證券化，後者指的是市場流通債券的再證券化。但是它們都統稱為CDO。
擔保債務憑證(Collateralized Debt Obligation, CDO)是一種固定收益證券，現金流量之可預測性較高，不僅提供投資人多元的投資管道以及增加投資收益，更強化了金融機構之資金運用效率，移轉不確定風險。凡具有現金流量的資產，都可以作為證券化的標的。通常創始銀行將擁有現金流量的資產匯集群組，然後作資產包裝及分割，轉給特殊目的載體（Special Purpose Vehicle），以私募或公開發行方式賣出固定收益證券或受益憑證。CDO背後的為一些債務工具，如高收益的債券、新興市場公司債或國家債券、銀行貸款或其它次順位證券。傳統的ABS其資產池可能為信用卡應收帳款、現金卡應收帳款、租賃租金、汽車貸款債權等，而CDO背後的支撐則是一些債務工具， 如高收益的債券( high - yield bonds)、新興市場公司債或國家債券(Emerging Market Corporate Debt、Sovereign)，亦可包含傳統的ABS（Assets Backed Securities）、住宅抵押貸款證券化(Residential Mortgage-Backed Securities, RMBS)及商用不動產抵押貸款證券化( Commercial Mortgage-Backed Securities, CMBS)等資產證券化商品。

❾ ABS、CDO、CDS

ABS ,Assets- backed Of Securitization，這個說起來太復雜了，簡單說，就是資產證券化是以特定資產組合或特定現金流為支持，發行可交易證券的一種融資形式。傳統的證券發行是以企業為基礎，而資產證券化則是以特定的資產池為基礎發行證券。
在資產證券化過程中發行的以資產池為基礎的證券就稱為證券化產品。
資產證券化(asset-backed securitization)是指將缺乏流動性的資產，轉換為在金融市場上可以自由買賣的證券的行為，使其具有流動性。

cdo,Collateralized Debt Obligation，資產證劵化的重要主成部分，它的標的資產通常是信貸資產或債券。按資產有2個重要的分支：CLO(Collateralised Loan Obligation)和CBO(Collateralised Bond Obligation)。前者指的是信貸資產的證券化，後者指的是市場流通債券的再證券化。但是它們都統稱為CDO。

cds,Credit Default Swap,或者被稱為貸款違約保險，是目前全球交易最為廣泛的場外信用衍生品。cds的出現解決了信用風險的流動性問題，使得信用風險可以像市場風險一樣進行交易，從而轉移擔保方風險，同時也降低了企業發行債券的難度和成本，也是08年導致雷曼破產的主要商品之一。

❿ 金融中CDO什麼意思

CDO:CDO業務是債務抵押證券業務（colleteralized debt obligation）,是以資產證券化技術為基礎，對債券、貸款等資產進行結構性重組後產生的創新產品。雲掌財經為您解答