Collateralized debt obligation

1352:. 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 as 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. 1140:"As usual, the ratings agencies were chronically behind on developments in the financial markets and they could barely keep up with the new instruments springing from the brains of Wall Street's rocket scientists. Fitch, Moody's, and S&P paid their analysts far less than the big brokerage firms did and, not surprisingly wound up employing people who were often looking to befriend, accommodate, and impress the Wall Street clients in hopes of getting hired by them for a multiple increase in pay. ... Their failure to recognize that mortgage underwriting standards had decayed or to account for the possibility that real estate prices could decline completely undermined the ratings agencies' models and undercut their ability to estimate losses that these securities might generate." 1603:. Investors have different motivations for purchasing CDO securities depending on which tranche they select. At the more senior levels of debt, investors are able to obtain better yields than those that are available on more traditional securities (e.g., corporate bonds) of a similar rating. In some cases, investors utilize leverage and hope to profit from the excess of the spread offered by the senior tranche and their cost of borrowing. This is true because senior tranches pay a spread above LIBOR despite their AAA-ratings. Investors also benefit from the diversification of the CDO portfolio, the expertise of the asset manager, and the credit support built into the transaction. Investors include banks and insurance companies as well as investment funds. 863:, "the CDO became the engine that powered the mortgage supply chain", promoting an increase in demand for mortgage-backed securities without which lenders would have "had less reason to push so hard to make" non-prime loans. CDOs not only bought crucial tranches of subprime mortgage-backed securities, they provided cash for the initial funding of the securities. Between 2003 and 2007, Wall Street issued almost $ 700 billion in CDOs that included mortgage-backed securities as collateral. Despite this loss of diversification, CDO tranches were given the same proportion of high ratings by rating agencies on the grounds that mortgages were diversified by region and so "uncorrelated"—though those ratings were lowered after mortgage holders began to default. 960:. Credit default swaps provided insurance to investors against the possibility of losses in the value of tranches from default in exchange for premium-like payments, making CDOs appear "to be virtually risk-free" to investors. Synthetic CDOs were cheaper and easier to create than original "cash" CDOs. Synthetics "referenced" cash CDOs, replacing interest payments from MBS tranches with premium-like payments from credit default swaps. Rather than providing funding for housing, synthetic CDO-buying investors were in effect providing insurance against mortgage default. If the CDO did not perform per contractual requirements, one counterparty (typically a large 47: 807: 1015:—common with those that made home purchases like this possible—expired, mortgage payments skyrocketed. Refinancing to lower mortgage payment was no longer available since it depended on rising home prices. Mezzanine tranches started to lose value in 2007; by mid year AA tranches were worth only 70 cents on the dollar. By October triple-A tranches had started to fall. Regional diversification notwithstanding, the mortgage backed securities turned out to be highly correlated. 827: 835: 1623:, and acts as the structurer and arranger. Working with the asset management firm that selects the CDO's portfolio, the underwriter structures debt and equity tranches. This includes selecting the debt-to-equity ratio, sizing each tranche, establishing coverage and collateral quality tests, and working with the credit rating agencies to gain the desired ratings for each debt tranche. 3011:

what Goldman Sachs had cleverly done. It was absurd. The 100 buildings occupied the same floodplain; in the event of flood, the ground floors of all of them were equally exposed. But never mind: the rating agencies, who were paid fat fees by Goldman Sachs and other Wall Street firms for each deal they rated, pronounced 80% of the new tower of debt triple-A." (source: Michael Lewis,

5626: 968:) had to pay another. As underwriting standards deteriorated and the housing market became saturated, subprime mortgages became less abundant. Synthetic CDOs began to fill in for the original cash CDOs. Because more than one—in fact numerous—synthetics could be made to reference the same original, the amount of money that moved among market participants increased dramatically. 756:– From 2000 to 2007, worldwide fixed income investment (i.e. investments in bonds and other conservative securities) roughly doubled in size to $ 70 trillion, yet the supply of relatively safe, income generating investments had not grown as fast, which bid up bond prices and drove down interest rates. Investment banks on Wall Street answered this demand with 587:, which "catch" the cash flow of interest and principal payments in sequence based on seniority. If some loans default and the cash collected by the CDO is insufficient to pay all of its investors, those in the lowest, most "junior" tranches suffer losses first. The last to lose payment from default are the safest, most senior tranches. Consequently, 2791:"The 'consumer loans' piles that Wall Street firms, led by Goldman Sachs, asked AIG FP to insure went from being 2% subprime mortgages to being 95% subprime mortgages. In a matter of months, AIG-FP, in effect, bought $ 50 billion in triple-B-rated subprime mortgage bonds by insuring them against default. And yet no one said anything about it ...". 1136:, among others. Stiglitz considered the agencies "one of the key culprits" of the crisis that "performed that alchemy that converted the securities from F-rated to A-rated. The banks could not have done what they did without the complicity of the ratings agencies." According to Morgenson, the agencies had pretended to transform "dross into gold." 922:, one of the two biggest rating agencies, could earn "as much as $ 250,000 to rate a mortgage pool with $ 350 million in assets, versus the $ 50,000 in fees generated when rating a municipal bond of a similar size." In 2006, revenues from Moody's structured finance division "accounted for fully 44%" of all Moody's sales. Moody's 1713:

compliance tests regarding the composition and liquidity of the asset portfolios in addition to constructing and executing the priority of payment waterfall models. In contrast to the asset manager, there are relatively few trustees in the marketplace. The following institutions offer trustee services in the CDO marketplace:

1698:

paid) and subordinated fee as well as any equity investment the manager has in the CDO, making CDOs a lucrative business for asset managers. These fees, together with underwriting fees, administration—approx 1.5 – 2% —by virtue of capital structure are provided by the equity investment, by virtue of reduced cash flow.

1409:

deemed to engage in trade or business in the U.S. will be subject to federal taxation. Foreign corporations that only invest in and hold portfolios of U.S. stock and debt securities are not. Investing, unlike trading or dealing, is not considered to be a trade or business, regardless of its volume or frequency.

1340:.) Like a cash CDO, the risk of loss on the Synthetic CDO's portfolio is divided into tranches. Losses will first affect the equity tranche, next the junior tranches, and finally the senior tranche. Each tranche receives a periodic payment (the swap premium), with the junior tranches offering higher premiums. 1809:

Attorneys ensure compliance with applicable securities law and negotiate and draft the transaction documents. Attorneys will also draft an offering document or prospectus the purpose of which is to satisfy statutory requirements to disclose certain information to investors. This will be circulated to

1343:

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

3010:

80%. "In a CDO you gathered a 100 different mortgage bonds—usually the riskiest lower floors of the original tower ... They bear a lower credit rating triple-B. ... if you could somehow get them rerated as triple-A, thereby lowering their perceived risk, however dishonestly and artificially. This is

1697:

There are approximately 300 asset managers in the marketplace. CDO asset managers, as with other asset managers, can be more or less active depending on the personality and prospectus of the CDO. Asset managers make money by virtue of the senior fee (which is paid before any of the CDO investors are

1637:

The final step is to price the CDO (i.e., set the coupons for each debt tranche) and place the tranches with investors. The priority in placement is finding investors for the risky equity tranche and junior debt tranches (A, BBB, etc.) of the CDO. It is common for the asset manager to retain a piece

1369:

The flexibility of credit default swaps is used to construct Single Tranche CDOs (bespoke tranche 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.

1242:

In some cases, the assets held by one CDO consisted entirely of equity layer tranches issued by other CDOs. This explains why some CDOs became entirely worthless, as the equity layer tranches were paid last in the sequence and there was not sufficient cash flow from the underlying subprime mortgages

1164:

Zandi and others also criticized lack of regulation. "Finance companies weren't subject to the same regulatory oversight as banks. Taxpayers weren't on the hook if they went belly up , only their shareholders and other creditors were. Finance companies thus had little to discourage them from growing

1128:

announced 4,485 downgrades of CDOs. At least some analysts complained the agencies over-relied on computer models with imprecise inputs, failed to account adequately for large risks (like a nationwide collapse of housing values), and assumed the risk of the low rated tranches that made up CDOs would

1689:

Even by the issuance date, the asset manager often will not have completed the construction of the CDO's portfolio. A "ramp-up" period following issuance during which the remaining assets are purchased can extend for several months after the CDO is issued. For this reason, some senior CDO notes are

1681:

In theory, the asset manager should add value in the manner outlined below, although in practice, this did not occur during the credit bubble of the mid-2000s (decade). In addition, it is now understood that the structural flaw in all asset-backed securities (originators profit from loan volume not

1360:

have a portfolio including both cash assets—like cash CDOs—and swaps that give the CDO credit exposure to additional assets—like a synthetic CDO. 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

1273:

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

1097:

During and after the crisis, criticism of the CDO market was more vocal. According to the radio documentary "Giant Pool of Money", it was the strong demand for MBS and CDO that drove down home lending standards. Mortgages were needed for collateral and by approximately 2003, the supply of mortgages

1070:

While non-prime mortgage defaults affected all securities backed by mortgages, CDOs were especially hard hit. More than half—$ 300 billion worth—of tranches issued in 2005, 2006, and 2007 rated most safe (triple-A) by rating agencies, were either downgraded to junk status or lost principal by 2009.

891:

To deal with the problem, investment bankers "recycled" the mezzanine tranches, selling them to underwriters making more structured securities—CDOs. Though the pool that made up the CDO collateral might be overwhelmingly mezzanine tranches, most of the tranches (70 to 80%) of the CDO were rated not

729:

Early CDOs were diversified, and might include everything from aircraft lease-equipment debt, manufactured housing loans, to student loans and credit card debt. The diversification of borrowers in these "multisector CDOs" was a selling point, as it meant that if there was a downturn in one industry

2983:

70%. "Firms bought mortgage-backed bonds with the very highest yields they could find and reassembled them into new CDOs. The original bonds ... could be lower-rated securities that once reassembled into a new CDO would wind up with as much as 70% of the tranches rated triple-A. Ratings arbitrage,

1677:

The asset manager plays a key role in each CDO transaction, even after the CDO is issued. An experienced manager is critical in both the construction and maintenance of the CDO's portfolio. The manager can maintain the credit quality of a CDO's portfolio through trades as well as maximize recovery

1221:

to investors in exchange for cash, which are used to purchase the portfolio of underlying assets. Like other ABS private label securities, the bonds are not uniform but issued in layers called tranches, each with different risk characteristics. Senior tranches are paid from the cash flows from the

1104:

In December 2007, journalists Carrick Mollenkamp and Serena Ng wrote of a CDO called Norma created by Merrill Lynch at the behest of Illinois hedge fund, Magnetar. It was a tailor-made bet on subprime mortgages that went "too far." Janet Tavakoli, a Chicago consultant who specializes in CDOs, said

917:

generated by "hefty" fees the CDO industry earned. According to "one hedge fund manager who became a big investor in CDOs", as much "as 40 to 50 percent" of the cash flow generated by the assets in a CDO went to "pay the bankers, the CDO manager, the rating agencies, and others who took out fees."

886:

Because most traditional mortgage investors are risk-averse, either because of the restrictions of their investment charters or business practices, they are interested in buying the higher-rated segments of the loan stack; as a result, those slices are easiest to sell. The more challenging task is

1693:

However, the asset manager's role continues even after the ramp-up period ends, albeit in a less active role. During the CDO's "reinvestment period", which usually extends several years past the issuance date of the CDO, the asset manager is authorized to reinvest principal proceeds by purchasing

1626:

The key economic consideration for an underwriter that is considering bringing a new deal to market is whether the transaction can offer a sufficient return to the equity noteholders. Such a determination requires estimating the after-default return offered by the portfolio of debt securities and

1416:

CDOs are generally taxable as debt instruments except for the most junior class of CDOs which are treated as equity and are subject to special rules (such as PFIC and CFC reporting). The PFIC and CFC reporting is very complex and requires a specialized accountant to perform these calculations and

1408:

The issuer of a CDO—usually a special purpose entity—is typically a corporation established outside the United States to avoid being subject to U.S. federal income taxation on its global income. These corporations must restrict their activities to avoid U.S. tax liabilities; corporations that are

1238:

The issuer of the CDO, typically an investment bank, earns a commission at the time of issue and earns management fees during the life of the CDO. The ability to earn substantial fees from originating CDOs, coupled with the absence of any residual liability, skews the incentives of originators in

1796:

The underwriter typically will hire an accounting firm to perform due diligence on the CDO's portfolio of debt securities. This entails verifying certain attributes, such as credit rating and coupon/spread, of each collateral security. Source documents or public sources will typically be used to

1952:

Other times it is used for a particular type of that security—one backed by consumer loans. Example: "As a rule of thumb, securitization issues backed by mortgages are called MBS, and securitization issues backed by debt obligations are called CDO, ecuritization issues backed by consumer-backed

1712:

The trustee holds title to the assets of the CDO for the benefit of the "noteholders" (i.e., the investors). In the CDO market, the trustee also typically serves as collateral administrator. In this role, the collateral administrator produces and distributes noteholder reports, performs various

1694:

additional debt securities. Within the confines of the trading restrictions specified in the CDO's transaction documents, the asset manager can also make trades to maintain the credit quality of the CDO's portfolio. The manager also has a role in the redemption of a CDO's notes by auction call.

866:

The rise of "ratings arbitrage"—i.e., pooling low-rated tranches to make CDOs—helped push sales of CDOs to about $ 500 billion in 2006, with a global CDO market of over US$ 1.5 trillion. CDO was the fastest-growing sector of the structured finance market between 2003 and 2006; the number of CDO

1226:

A common analogy compares the cash flow from the CDO's portfolio of securities (say mortgage payments from mortgage-backed bonds) to water flowing into cups of the investors where senior tranches were filled first and overflowing cash flowed to junior tranches, then equity tranches. If a large

937:

Trust in rating agencies. CDO managers "didn't always have to disclose what the securities contained" because the contents of the CDO were subject to change. But this lack of transparency did not affect demand for the securities. Investors "weren't so much buying a security. They were buying a

725:

and emerging market bonds and bank loans. After 1998 "multi-sector" CDOs were developed by Prudential Securities, but CDOs remained fairly obscure until after 2000. In 2002 and 2003 CDOs had a setback when rating agencies "were forced to downgrade hundreds" of the securities, but sales of CDOs

1800:

The firm may also perform a cash flow tie-out in which the transaction's waterfall is modeled per the priority of payments set forth in the transaction documents. The yield and weighted average life of the bonds or equity notes being issued is then calculated based on the modeling assumptions

1144:

Michael Lewis also pronounced the transformation of BBB tranches into 80% triple A CDOs as "dishonest", "artificial" and the result of "fat fees" paid to rating agencies by Goldman Sachs and other Wall Street firms. However, if the collateral had been sufficient, those ratings would have been

1606:

Junior tranche investors achieve a leveraged, non-recourse investment in the underlying diversified collateral portfolio. Mezzanine notes and equity notes offer yields that are not available in most other fixed income securities. Investors include hedge funds, banks, and wealthy individuals.

666:

in the United States imposed heavy sanctions for financial institutions found guilty of discrimination on the basis of race, color, religion, national origin, sex, marital status, or age This led to a more open policy of giving loans (sometimes subprime) by banks, guaranteed in most cases by

576:(MBS). Like other private label securities backed by assets, a CDO can be thought of as a promise to pay investors in a prescribed sequence, based on the cash flow the CDO collects from the pool of bonds or other assets it owns. Distinctively, CDO credit risk is typically assessed based on a 1412:

In addition, a safe harbor protects CDO issuers that do trade actively in securities, even though trading in securities technically is a business, provided the issuer's activities do not cause it to be viewed as a dealer in securities or engaged in a banking, lending or similar businesses.

1344:

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 (

746:" loans they originated—often in the form of CDO securities—because this removes the loans from their books. The transfer of these loans (along with related risk) to security-buying investors in return for cash frees up the banks' capital. This enabled them to remain in compliance with 782:

created demand by global investors for subprime mortgage-backed CDOs with their relatively high-yields but credit ratings as high as the Treasuries. This search for yield by global investors caused many to purchase CDOs, though they lived to regret trusting the credit rating agencies'

819: 892:

BBB, A−, etc., but triple A. The minority of the tranches that were mezzanine were often bought up by other CDOs, concentrating the lower rated tranches still further. (See the chart on "The Theory of How the Financial System Created AAA-rated Assets out of Subprime Mortgages".)

1382:

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,

679:'. The Act encouraged commercial banks and savings associations (Savings and loan banks) to meet the needs of borrowers in all segments of their communities, including low- and moderate-income neighborhoods (who might earlier have been thought of as too risky for home loans). 1336:, a derivatives instrument. (Under such a swap, the credit protection seller, the Synthetic 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 1246:

Ultimately the challenge is in accurately quantifying the risk and return characteristics of these constructs. Since the introduction of David Li's 2001 model, there have been material advances in techniques that more accurately model dynamics for these complex securities.

730:

like aircraft manufacturing and their loans defaulted, other industries like manufactured housing might be unaffected. Another selling point was that CDOs offered returns that were sometimes 2-3 percentage points higher than corporate bonds with the same credit rating.

1322:. 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. 978: 2728:

One study based on a sample of 735 CDO deals originated between 1999 and 2007, found the percentage of CDO assets made up of lower level tranches from non-prime mortgage-backed securities (nonprime means subprime and other less-than-prime mortgages, mainly

2752:

Other sources give an even higher proportion. In the fall of 2005 Gene Park, an executive at AIG Financial Products division found, "The percentage of subprime securities in the CDOs wasn't 10 percent – it was 85 percent!" (source: McLean and Nocera,

1230:

The risk and return for a CDO investor depends both on how the tranches are defined, and on the underlying assets. In particular, the investment depends on the assumptions and methods used to define the risk and return of the tranches. CDOs, like all

1148:

Synthetic CDOs were criticized in particular, because of the difficulties to judge (and price) the risk inherent in that kind of securities correctly. That adverse effect roots in the pooling and tranching activities on every level of the derivation.

1634:) that will purchase the assets and issue the CDO's tranches. In addition, the underwriter will work with the asset manager to determine the post-closing trading restrictions that will be included in the CDO's transaction documents and other files. 1997:

Asset-backed securities, called ABS, are bonds or notes backed by financial assets. Typically the assets consist of receivables other than mortgage loans, such as credit card receivables, auto loans, manufactured-housing contracts and home-equity

3117:"Unlike the traditional cash CDO, synthetic CDOs contained no actual tranches of mortgage-backed securities ... in the place of real mortgage assets, these CDOs contained credit default swaps and did not finance a single home purchase." (source: 1010:

gave as an example of unsustainable underwriting practices a loan in Bakersfield, California, where "a Mexican strawberry picker with an income of $ 14,000 and no English was lent every penny he needed to buy a house of $ 724,000". As two-year

993:

of house prices peaked. In California, home prices had more than doubled since 2000 and median house prices in Los Angeles had risen to ten times the median annual income. To entice those with low and moderate income to sign up for mortgages,

1287:(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. 1690:

structured as delayed drawdown notes, allowing the asset manager to draw down cash from investors as collateral purchases are made. When a transaction is fully ramped, its initial portfolio of credits has been selected by the asset manager.

906:

Growing demand for fixed income investments that started earlier in the decade continued. A "global savings glut" leading to "large capital inflows" from abroad helped finance the housing boom, keeping down US mortgage rates, even after the

858:

In 2005, as the CDO market continued to grow, subprime mortgages began to replace the diversified consumer loans as collateral. By 2004, mortgage-backed securities accounted for more than half of the collateral in CDOs. According to the

1119:

CDOs prolonged the mania, vastly amplifying the losses that investors would suffer and ballooning the amounts of taxpayer money that would be required to rescue companies like Citigroup and the American International Group."

1045:

An early indicator of the crisis came in July 2007 when rating agencies made unprecedented mass downgrades of mortgage-related securities (by the end of 2008 91% of CDO securities were downgraded), and two highly leveraged

1685:

The asset manager's role begins in the months before a CDO is issued, a bank usually provides financing to the manager to purchase some of the collateral assets for the forthcoming CDO. This process is called warehousing.

1061:

resigned after reporting multibillion-dollar losses and CDO downgrades. As the global market for CDOs dried up the new issue pipeline for CDOs slowed significantly, and what CDO issuance there was usually in the form of

1066:

backed by middle-market or leveraged bank loans, rather than home mortgage ABS. The CDO collapse hurt mortgage credit available to homeowners since the bigger MBS market depended on CDO purchases of mezzanine tranches.

1152:

Others pointed out the risk of undoing the connection between borrowers and lenders—removing the lender's incentive to only pick borrowers who were creditworthy—inherent in all securitization. According to economist

617:

In the early 2000s, the debt underpinning CDOs was generally diversified, but by 2006–2007—when the CDO market grew to hundreds of billions of dollars—this had changed. CDO collateral became dominated by high risk

626:. These CDOs have been called "the engine that powered the mortgage supply chain" for subprime mortgages, and are credited with giving lenders greater incentive to make subprime loans, leading to the 2007-2009 882:(MBS). Like CDOs, MBSs were structured into tranches, but issuers of the securities had difficulty selling the more lower level/lower-rated "mezzanine" tranches—the tranches rated somewhere from AA to BB. 887:

finding buyers for the riskier pieces at the bottom of the pile. The way mortgage securities are structured, if you cannot find buyers for the lower-rated slices, the rest of the pool cannot be sold.

2800:

In 2007, 47% of CDOs were backed by structured products, such as mortgages; 45% of CDOs were backed by loans, and only less than 10% of CDOs were backed by fixed income securities. (source:

1235:, enable the originators of the underlying assets to pass credit risk to another institution or to individual investors. Thus investors must understand how the risk for CDOs is calculated. 4079: 1267:

pay interest and principal to tranche holders using the cash flows produced by the CDO's assets. Cash flow CDOs focus primarily on managing the credit quality of the underlying portfolio.

591:

payments (and interest rates) vary by tranche with the safest/most senior tranches receiving the lowest rates and the lowest tranches receiving the highest rates to compensate for higher

1797:

tie-out the collateral pool information. In addition, the accountants typically calculate certain collateral tests and determine whether the portfolio is in compliance with such tests.

3131: 2997:

80%. "Approximately 80% of these CDO tranches would be rated triple-A despite the fact that they generally comprised the lower-rated tranches of mortgage-backed securities. (source:

1493:) and higher, where the CDO is backed by other CDOs/CDO/CDO. These are particularly difficult vehicles to model because of the possible repetition of exposures in the underlying CDO. 1555:

Participants in a CDO transaction include investors, the underwriter, the asset manager, the trustee and collateral administrator, accountants and attorneys. Beginning in 1999, the

714:, each of which was then sold separately to different investors. Many of these tranches were in turn bundled together, earning them the name CDO (Collateralized debt obligation). 4558: 1980: 1222:

underlying assets before the junior tranches and equity tranches. Losses are first borne by the equity tranches, next by the junior tranches, and finally by the senior tranches.

1638:

of the equity tranche. In addition, the underwriter was generally expected to provide some type of secondary market liquidity for the CDO, especially its more senior tranches.

2804: 1801:

provided by the underwriter. On each payment date, an accounting firm may work with the trustee to verify the distributions that are scheduled to be made to the noteholders.

1810:

investors. It is common for multiple counsels to be involved in a single deal because of the number of parties to a single CDO from asset management firms to underwriters.

1361:

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 CDO premiums.

1094:

warned that rather than reducing risk through diversification, CDOs and other derivatives spread risk and uncertainty about the value of the underlying assets more widely.

1074:

Collateralized debt obligations also made up over half ($ 542 billion) of the nearly trillion dollars in losses suffered by financial institutions from 2007 to early 2009.

1669:. CDOs are more profitable for underwriters than conventional bond underwriting because of the complexity involved. The underwriter is paid a fee when the CDO is issued. 1086:(who famously disparaged CDOs and other derivatives as "financial weapons of mass destruction, carrying dangers that, while now latent, are potentially lethal"), and the 985:

or downgraded to junk status), compared to a small fraction of similarly rated Subprime and Alt-A mortgage-backed securities. (source: Financial Crisis Inquiry Report)

1071:

In comparison, only small fractions of triple-A tranches of Alt-A or subprime mortgage-backed securities suffered the same fate. (See the Impaired Securities chart.)

2770:

p.201: "The CDO of the ABS market ... is currently at a state where deals are almost totally reliant on subprime/nonprime mortgage residential mortgage collateral."

3957: 1627:

comparing it to the cost of funding the CDO's rated notes. The excess spread must be large enough to offer the potential of attractive IRRs to the equity holders.

1108:

According to journalists Bethany McLean and Joe Nocera, no securities became "more pervasive – or more damage than collateralized debt obligations" to create the

1293:, by contrast, are primarily motivated by the issuing institutions' desire to remove loans and other assets from their balance sheets, to reduce their regulatory 918:

Rating agencies in particular—whose high ratings of the CDO tranches were crucial to the industry and who were paid by CDO issuers —earned extraordinary profits.

595:. As an example, a CDO might issue the following tranches in order of safeness: Senior AAA (sometimes known as "super senior"); Junior AAA; AA; A; BBB; Residual. 2705:"SIFMA, Statistics, Structured Finance, Global CDO Issuance and Outstanding (xls) - quarterly data from 2000 to Q2 2013 (issuance), 1990 - Q1 2013 (outstanding)" 1922:

An "asset-backed security" is sometimes used as an umbrella term for a type of security backed by a pool of assets—including collateralized debt obligations and

1115:

Gretchen Morgenson described the securities as "a sort of secret refuse heap for toxic mortgages created even more demand for bad loans from wanton lenders."

5169: 4744: 4592: 544: 4546: 3897: 3466: 1630:

Other underwriter responsibilities include working with a law firm and creating the special purpose legal vehicle (typically a trust incorporated in the

3626: 2501: 3866: 1129:

be diluted when in fact the mortgage risks were highly correlated, and when one mortgage defaulted, many did, affected by the same financial events.

4552: 1101:

The head of banking supervision and regulation at the Federal Reserve, Patrick Parkinson, termed "the whole concept of ABS CDOs", an "abomination".

3305:

as their market value collapsed during the subprime crisis, with banks writing down the value of their CDO holdings mainly in the 2007-2008 period.

1227:

portion of the mortgages enter default, there is insufficient cash flow to fill all these cups and equity tranche investors face the losses first.

5509: 651:), based on FHA and VA mortgages. It guaranteed these MBSs. This would be the precursor to CDOs that would be created two decades later. In 1971, 4097: 870:

CDOs, like mortgage-backed securities, were financed with debt, enhancing their profits but also enhancing losses if the market reversed course.

3065: 838:

The volume of CDOs issued globally crashed during the subprime crisis but has recovered slightly. (source: SIFMA, Statistics, Structured Finance

5199: 3484: 3246: 4064: 3135: 2440: 5681: 4159: 3710: 3435: 2648: 2450: 1105:

Norma "is a tangled hairball of risk." When it came to market in March 2007, "any savvy investor would have thrown this...in the trash bin."

659:

made of ordinary mortgages. All through the 1970s, private companies began mortgage asset securitization by creating private mortgage pools.

411: 4055:

The Story of the CDO Market Meltdown: An Empirical Analysis-Anna Katherine Barnett-Hart-March 2009-Cited by Michael Lewis in "The Big Short"

1050:

hedge funds holding MBSs and CDOs collapsed. Investors were informed by Bear Stearns that they would get little if any of their money back.

2270: 1776:

in 2008 and Bank of America in September 2011, which had previously acquired LaSalle Bank in 2010, and is the current market share leader)

606:—issue the CDOs and pay interest to investors. As CDOs developed, some sponsors repackaged tranches into yet another iteration, known as " 4088: 5331: 4482: 2896: 1518: 3316: 2313: 1984: 4682: 4477: 2026: 1847: 1392: 4131: 2115: 1900: 5666: 5067: 3636: 2511: 2233: 2801: 926:

were "consistently over 50%, making it one of the most profitable companies in existence"—more profitable in terms of margins than

2562: 726:

grew—from $ 69 billion in 2000 to around $ 500 billion in 2006. From 2004 through 2007, $ 1.4 trillion worth of CDOs were issued.

5661: 5569: 4737: 4585: 4086:

JPRI Occasional Paper No. 37, October 2007. Risk vs Uncertainty: The Cause of the Current Financial Crisis By Marshall Auerback

1297:

and improve their return on risk capital. A bank may wish to offload the credit risk to reduce its balance sheet's credit risk.

779: 687: 537: 5656: 5149: 4700: 4694: 4348: 3851:

Levy, Amnon; Yahalom, Tomer; Kaplin, Andrew (2010). "Modeling Correlation of Structured Instruments in a Portfolio Setting".

1859: 1853: 1431: 1345: 1063: 386: 4054: 2850: 2735: 774:, a U.S. recession, and the U.S. trade deficit kept interest rates low globally from 2000 to 2004–5, according to Economist 3986: 2704: 572:(ABS). Originally developed as instruments for the corporate debt markets, after 2002 CDOs became vehicles for refinancing 4108: 1600: 1396: 513: 335: 3963: 3340: 3805:

Koehler, Christian (31 May 2011). "The Relationship between the Complexity of Financial Derivatives and Systemic Risk".

3782:

Koehler, Christian (31 May 2011). "The Relationship between the Complexity of Financial Derivatives and Systemic Risk".

3759:

Koehler, Christian (31 May 2011). "The Relationship between the Complexity of Financial Derivatives and Systemic Risk".

3554: 2984:

Wall Street called this practice. A more accurate term would have been ratings laundering." (source: McLean and Nocera,

2091:

Koehler, Christian (31 May 2011). "The Relationship between the Complexity of Financial Derivatives and Systemic Risk".

1890: 1534: 663: 4114: 3516: 3280: 5671: 5544: 5082: 4936: 4730: 4578: 4288: 1087: 61: 5163: 2585: 4688: 2867: 1471: 1437: 5341: 4617: 4328: 2665: 1825: 672: 530: 287: 721:

Inc. for the also now-defunct Imperial Savings Association. During the 1990s the collateral of CDOs was generally

5445: 5256: 4152: 396: 899:

put it, CDOs became "the perfect dumping ground for the low-rated slices Wall Street couldn't sell on its own."

5564: 5559: 4659: 4487: 3159:

Final Report of the National Commission on the Causes of the Financial and Economic Crisis in the United States

2171:

Final Report of the National Commission on the Causes of the Financial and Economic Crisis in the United States

1923: 1895: 1764: 1510: 1319: 1211: 879: 843: 812:

Final Report of the National Commission on the Causes of the Financial and Economic Crisis in the United States

764:(MBS) and collateralized debt obligation (CDO), which were assigned safe ratings by the credit rating agencies. 761: 656: 648: 627: 573: 5214: 5159: 5514: 5184: 5174: 5042: 4883: 4815: 1842: 1717: 216: 2379: 990: 5676: 5463: 5311: 5296: 5261: 5204: 4421: 4323: 4011:

Two notable exceptions to this are Virtus Partners and Wilmington Trust Conduit Services, a subsidiary of

3873: 3828:

Koehler, Christian. "The Relationship between the Complexity of Financial Derivatives and Systemic Risk".

2298: 1556: 1332:

gain credit exposure to a portfolio of fixed income assets without owning those assets through the use of

1199: 718: 599: 577: 361: 3383: 5524: 5375: 5291: 4868: 4653: 4467: 4431: 4268: 4227: 3675: 3663: 2603: 1930:

are issued and traded is composed of three main categories: ABS, MBS and CDOs" (italics added). Source:

1837: 1514: 1477:

Collateralized Insurance Obligations (CIOs): backed by insurance or, more usually, reinsurance contracts

1455: 1388: 1315: 1232: 1179: 1003: 790: 569: 493: 406: 5189: 1165:

as aggressively as possible, even if that meant lowering or winking at traditional lending standards."

3534: 1178:

CDOs vary in structure and underlying assets, but the basic principle is the same. A CDO is a type of

5651: 5478: 5435: 5425: 5415: 5136: 5077: 5012: 4966: 4961: 4835: 4795: 4762: 4145: 3571: 2617: 2599: 1865: 1819: 1702: 1682:

loan quality) make the roles of subsequent participants peripheral to the quality of the investment.

1294: 1187: 1125: 949: 908: 757: 340: 243: 5194: 3492: 3254: 2736:"Anna Katherine Barnett-Hart The Story of the CDO Market Meltdown: An Empirical Analysis-March 2009" 5483: 5271: 5017: 4706: 4670: 4237: 3628:

Reckless Endangerment : How Outsized ambition, Greed and Corruption Led to Economic Armageddon

2503:

Reckless Endangerment : How Outsized ambition, Greed and Corruption Led to Economic Armageddon

1870: 1399:(SIV) are examples, with CDPC taking risk synthetically and SIV with predominantly 'cash' exposure. 1333: 1203: 999: 953: 934:. Between the time Moody's was spun off as a public company and February 2007, its stock rose 340%. 806: 747: 518: 3442: 2851:

Anna Katherine Barnett-Hart The Story of the CDO Market Meltdown: An Empirical Analysis-March 2009

834: 826: 717:

The first CDOs to be issued by a private bank were seen in 1987 by the bankers at the now-defunct

5534: 5519: 5488: 5473: 5440: 5306: 5097: 5062: 4825: 4790: 4753: 4711: 4622: 4601: 4313: 4069: 4049: 4030: 2589: 1875: 1759: 1524: 1506: 914: 896: 566: 508: 466: 451: 421: 345: 273: 190: 68: 56: 2277: 919: 867:

tranches issued in 2006 (9,278) was almost twice the number of tranches issued in 2005 (4,706).

46: 3917:

Frank J. Fabozzi Associates (2011, with periodic supplements, www.securitizationtax.com): 1018.

2276:. US Comptroller of the Currency Administrator of National Banks. November 1997. Archived from 1490: 1255:

CDO refers to several different types of products. The primary classifications are as follows:

17: 5539: 5529: 5468: 5455: 5430: 5316: 5102: 4898: 4665: 4637: 4520: 4446: 4298: 4220: 4085: 3891: 3837: 3833: 3814: 3810: 3791: 3787: 3768: 3764: 3706: 3632: 3460: 3132:"The Magnetar Trade: How One Hedge Fund Helped Keep the Bubble Going (Single Page)-April 2010" 2884:

graph and table from Pro Publica show the size and institutional reach of the Magnetar CDOs .

2644: 2507: 2446: 2229: 2100: 2096: 1960: 1933: 1642: 1568: 1448: 1012: 623: 441: 436: 426: 371: 197: 165: 3170: 2900: 5420: 5410: 5400: 5359: 5354: 5336: 5266: 5032: 5027: 4999: 4951: 4830: 4770: 4632: 4510: 4381: 4353: 4293: 4278: 4074: 4035:

So mortgage bonds are dog shit. CDOs are dog shit wrapped in cat shit?" "Yeah, that's right.

4012: 2310: 1784: 1748: 1580: 1384: 923: 849: 818: 699: 695: 683: 488: 483: 456: 326: 302: 297: 258: 238: 202: 150: 38: 1751:(note: until mid-2009 was known as Fortis Intertrust; Acquired ATC Capital Markets in 2013) 1486: 5630: 5600: 5595: 5549: 5385: 5380: 5326: 5236: 5144: 5117: 5057: 5052: 5022: 4971: 4956: 4873: 4853: 4525: 4515: 4318: 4308: 4303: 4232: 4092: 3243:

By the first quarter of 2008, rating agencies announced 4,485 downgrades of CDOs. source:

3158: 2808: 2566: 2317: 2170: 1885: 1666: 1620: 1596: 1588: 1584: 1133: 1109: 961: 811: 603: 446: 431: 391: 207: 145: 106: 101: 3608: 3591: 2311:

Text of Housing and Community Development Act of 1977—title Viii (Community Reinvestment)

1540:

Commercial real estate mortgage debt (including whole loans, B notes, and Mezzanine debt)

1468:

Commercial Real Estate CDOs (CRE CDOs): backed primarily by commercial real estate assets

1454:

Structured finance CDOs (SFCDOs): CDOs backed primarily by structured products (such as

5605: 5590: 5390: 5301: 5251: 5228: 5209: 5037: 4979: 4946: 4941: 4921: 4845: 4609: 4426: 4411: 4376: 4363: 4338: 4242: 4210: 4179: 3567: 3298: 2820:"Moody's and S&P to bestow triple-A ratings on roughly 80% of every CDO." (source: 2559: 1631: 1529: 1311: 1218: 1091: 1083: 982: 939: 771: 743: 722: 707: 619: 461: 366: 316: 278: 170: 117: 111: 91: 86: 5645: 5585: 5554: 5395: 5321: 5281: 5276: 5112: 4984: 4931: 4926: 4908: 4805: 4785: 4530: 4505: 4416: 4401: 4391: 4343: 4283: 4273: 2786: 2781: 2637: 2294: 1880: 1738: 1662: 1650: 1371: 1329: 1054: 1023: 1007: 957: 691: 611: 588: 401: 376: 228: 175: 3066:

Bloomberg-Flawed Credit Ratings Reap Profits as Regulators Fail Investors-April 2009

2685: 2257: 5405: 5179: 5107: 5087: 5047: 4916: 4888: 4878: 4820: 4441: 4386: 4333: 4263: 4189: 4119: 3302: 1743: 1646: 1616: 1592: 1441: 1337: 1158: 1157:: "As shaky mortgages were combined, diluting any problems into a larger pool, the 1047: 995: 977: 853: 703: 592: 503: 478: 248: 140: 135: 126: 96: 3409: 3358: 686:

created a "private label" MBS (mortgage backed security)—one that did not involve

622:) tranches recycled from other asset-backed securities, whose assets were usually 5286: 5154: 5125: 5121: 5072: 4863: 4858: 4497: 4436: 4396: 4371: 4247: 4215: 4205: 4168: 4075:

Portfolio.com explains what CDOs are in an easy-to-understand multimedia graphic

3542:

Following are edited excerpts from the Berkshire Hathaway annual report for 2002

2708: 1779: 1727: 1572: 1480: 1183: 794: 652: 607: 498: 311: 268: 263: 253: 160: 77: 3093: 2044: 5610: 5246: 5241: 5007: 4893: 4059: 1576: 1391:, depending upon the structural and portfolio characteristics of the company. 1154: 965: 943: 927: 775: 710:; different mortgages were pooled together and this pool was then sliced into 668: 644: 3676:

Bloomberg-Smith-Race to Bottom at Rating Agencies Secured Subprime Boom, Bust

1953:

products—car loans, consumer loans and credit cards, among others—are called

1030:

experienced some of the biggest losses, as did financial guaranteers such as

4800: 4184: 4015:, which offer collateral administration services, but are not trustee banks. 1721: 1658: 1191: 1058: 1019: 931: 676: 2922: 2330: 5625: 2072:"CDO rating methodology: Some thoughts on model risk and its implications" 5370: 5092: 4989: 4810: 4451: 4406: 3913:

Federal Income Taxation of Securitization Transactions and Related Topics

3226: 1773: 1733: 1654: 223: 1720:(note: the Bank of New York Mellon acquired the corporate trust unit of 655:

issued its first Mortgage Participation Certificate. This was the first

4627: 2707:. Securities Industry and Financial Markets Association. Archived from 2071: 1769: 981:

More than half of the highest-rated (Aaa) CDOs were "impaired" (losing

711: 584: 473: 416: 3737:

Mortgage lending using securitization is sometimes referred to as the

1447:

Collateralized synthetic obligations (CSOs): CDOs backed primarily by

690:(GSE) mortgages. However, it failed in the marketplace. Subsequently, 675:

was enacted to address historical discrimination in lending, such as '

4722: 4570: 2293:

Regulation B, Equal Credit Opportunity 12 CFR 202.14(b) as stated in

1730:

Securities Services (note: currently serves the European market only)

1207: 1082:

Prior to the crisis, a few academics, analysts and investors such as

4103: 750:

laws while lending again and generating additional origination fees.

2932:. National Bureau of Economic Research, NBER Macroeconomics Annual. 2442:

All the Devils Are Here: The Hidden History of the Financial Crisis

2158:

All the Devils Are Here, the Hidden History of the Financial Crisis

2730: 1349: 1194:

which are sold to investors. A sequence in constructing a CDO is:

1035: 817: 155: 2027:"COLLATERAL DAMAGE: SIZING AND ASSESSING THE SUBPRIME CDO CRISIS" 3664:

Bloomberg-Smith-Bringing Down Ratings Let Loose Subprime Scourge

2666:"Information Processing: Gaussian copula and credit derivatives" 2380:"Merrill, Citigroup Record CDO Fees Earned in Top Growth Market" 1828:

are described metaphorically as "dog shit wrapped in cat shit".

1754: 1348:) account that offers a return that is a few basis points below 1243:(many of which defaulted) to trickle down to the equity layers. 1098:

originated at traditional lending standards had been exhausted.

1039: 381: 4726: 4574: 4141: 4137: 4127: 3631:. New York: Times Books, Henry Holt and Company. p. 278. 3557:| Mostly Economics| (from a speech given on December 17, 2007) 2595: 2506:. New York: Times Books, Henry Holt and Company. p. 283. 1031: 1027: 3281:"Bear Stearns Tells Fund Investors 'No Value Left' (Update3)" 1483:: CDOs backed primarily by the tranches issued by other CDOs. 4098:

How credit cards become asset-backed bonds. From Marketplace

3853:

Encyclopedia of Quantitative Finance, John Wiley & Sons

2687:

How a Formula Ignited Market That Burned Some Big Investors

4115:"A tsunami of hope or terror?", Alan Kohler, Nov 19, 2008. 902:

Other factors explaining the popularity of CDOs include:

1274:

longer-established, but less common than cash flow CDOs.

2945:, 2011, p. 134, section="Leverage is inherent in CDOs". 2766:

An email by Park to his superior is also quoted in the

830:

Securitization markets were impaired during the crisis.

3941:

Federal Income Taxation of Securitization Transactions

3928:

Federal Income Taxation of Securitization Transactions

3505:

nearly USD 1 trillion in mortgage bonds in 2006 alone.

2560:"This American Life": Giant Pool of Money wins Peabody 1434:(CLOs): CDOs backed primarily by leveraged bank loans. 4559:

Securities Industry and Financial Markets Association

2802:

Securitization rankings of bookrunners, issuers, etc.

2295:

Closing the Gap: A Guide to Equal Opportunity Lending

1328:

do not own cash assets like bonds or loans. Instead,

643:

In 1970, the US government-backed mortgage guarantor

1787:: Wilmington shut down their business in early 2009. 1772:(note: US Bank acquired the corporate trust unit of 1678:

rates when defaults on the underlying assets occur.

1463:

B) Other types of CDOs by assets/collateral include:

938:

triple-A rating," according to business journalists

580:(PD) derived from ratings on those bonds or assets. 5578: 5497: 5454: 5350: 5227: 5135: 4998: 4907: 4844: 4778: 4769: 4646: 4608: 4539: 4496: 4460: 4362: 4256: 4198: 3572:"Has Financial Development Made the World Riskier?" 2899:(Press release). Celent. 2005-10-31. Archived from 2554: 2552: 1310:involve a portfolio of cash assets, such as loans, 1214:, commercial real estate bonds and corporate loans. 1004:

interest and principal payments were often deferred

4104:"ABS, MBS and CDO Compared: An Empirical Analysis" 3485:"CDO deals resurface but down 90 pct in Q1-report" 3247:"CDO deals resurface but down 90 pct in Q1-report" 2636: 1961:"ABS, MBS and CDO compared: an empirical analysis" 1934:"ABS, MBS and CDO compared: an empirical analysis" 1645:, the top underwriters before September 2008 were 911:had raised interest rates to cool off the economy. 3987:"Citi and Merrill Top Underwriting League Tables" 3478: 3476: 3951: 3949: 3703:The Big Short : Inside the Doomsday Machine 3013:The Big Short : Inside the Doomsday Machine 2466: 2464: 2462: 2434: 2432: 1474:(CBOs): CDOs backed primarily by corporate bonds 854:Bear Stearns subprime mortgage hedge fund crisis 4082:multimedia graphic from The Wall Street Journal 3047: 3045: 2953: 2951: 2525: 2523: 1239:favor of loan volume rather than loan quality. 3384:"Merrill sells assets seized from hedge funds" 2482: 2480: 4738: 4586: 4153: 3227:"CDOh no! (see "Subprime performance" chart)" 3076: 3074: 2630: 2628: 2626: 2594:. Episode 355. Chicago IL, USA. May 9, 2008. 2439:Bethany McLean; Joe Nocera (30 August 2011). 2271:"Asset Securitization Comptroller's Handbook" 538: 8: 3911:Peaslee, James M. & David Z. Nirenberg. 3317:"Merrill's $ 3.4 billion balance sheet bomb" 2921:Benmelech, Efraim; Jennifer Dlugosz (2009). 2874:. Global Economic Intersection. 15 June 2011 2580: 2578: 2576: 2574: 2139: 2137: 4025:Adam McKay (Director) (November 12, 2015). 3625:Morgenson, Gretchen; Joshua Rosner (2011). 3517:"The dangers of investing in subprime debt" 3195: 3193: 3154: 3152: 2558:Public Radio International. April 5, 2009. 2500:Morgenson, Gretchen; Joshua Rosner (2011). 2407: 2405: 2403: 2401: 2207: 2205: 2192: 2190: 2188: 2186: 2184: 1440:(CBOs): CDOs backed primarily by leveraged 1202:(SPE) is designed/constructed to acquire a 1132:They were strongly criticized by economist 583:The CDO is "sliced" into sections known as 4775: 4745: 4731: 4723: 4593: 4579: 4571: 4547:Commercial Mortgage Securities Association 4160: 4146: 4138: 4102:Vink, Dennis and Thibeault, André (2008). 2226:The Big Short: Inside the Doomsday Machine 2086: 2084: 1259:Source of funds—cash flow vs. market value 770:– Fears of deflation, the bursting of the 754:Global demand for fixed income investments 545: 531: 29: 4130:that discusses some of the causes of the 3741:approach, in contrast to the traditional 3705:. W.W. Norton & Company. p. 73. 2445:. Penguin Publishing Group. p. 120. 4553:International Capital Market Association 3094:PBS-Credit and Credibility-December 2008 2897:"Collateralized Debt Obligations Market" 2733:mortgages) grew from 5% to 36% (source: 1708:The trustee and collateral administrator 1206:of underlying assets. Common underlying 976: 878:Subprime mortgages had been financed by 833: 825: 805: 797:, allowed for the rapid pricing of CDOs. 5570:Power reverse dual-currency note (PRDC) 5510:Constant proportion portfolio insurance 3962:. American Public Media. Archived from 2846: 2844: 2842: 2045:"Collateralized debt obligations (CDO)" 1913: 353: 325: 286: 183: 125: 76: 37: 3896:: CS1 maint: archived copy as title ( 3889: 3607:Ng, Serena, and Mollenkamp, Carrick. " 3465:: CS1 maint: archived copy as title ( 3458: 1926:. Example: "A capital market in which 1502:The collateral for cash CDOs include: 1417:manage the tax reporting obligations. 1279:Motivation—arbitrage vs. balance sheet 1519:commercial mortgage-backed securities 7: 5505:Collateralized debt obligation (CDO) 3555:Raghu Rajan analyses subprime crisis 1393:Credit Derivative Products Companies 1124:In the first quarter of 2008 alone, 1053:In October and November the CEOs of 4483:Commercial mortgage-backed security 3747:The Financial Crisis Inquiry Report 3652:The Financial Crisis Inquiry Report 3592:Wall Street Wizardry Amplified Risk 3359:"Citigroup chief executive resigns" 3268:The Financial Crisis Inquiry Report 3185:The Financial Crisis Inquiry Report 3119:The Financial Crisis Inquiry Report 3106:The Financial Crisis Inquiry Report 3037:The Financial Crisis Inquiry Report 3025:The Financial Crisis Inquiry Report 2999:The Financial Crisis Inquiry Report 2943:The Financial Crisis Inquiry Report 2424:The Financial Crisis Inquiry Report 2412:The Financial Crisis Inquiry Report 2212:The Financial Crisis Inquiry Report 2197:The Financial Crisis Inquiry Report 2176:The Financial Crisis Inquiry Report 2160:, Portfolio, Penguin, 2010, p. 120. 1981:"What are Asset-Backed Securities?" 1559:allowed banks to also participate. 742:Depository banks had incentive to " 4683:Collateralized mortgage obligation 4478:Collateralized mortgage obligation 2145:Regulation of Investment Companies 1848:Collateralized mortgage obligation 25: 4065:CDO and RMBS Diagram-FCIC and IMF 4029:(Motion picture). United States: 3609:A Fund Behind Astronomical Losses 3301:and thus experienced substantial 1426:A) Based on the underlying asset: 1186:is constructed to hold assets as 5624: 4050:Global Pool of Money (NPR radio) 3959:Crisis explainer: Uncorking CDOs 3956:Paddy Hirsch (October 3, 2008). 2156:McLean, Bethany and Joe Nocera, 1567:Investors—buyers of CDO—include 1458:and mortgage-backed securities). 1145:correct, according to the FDIC. 45: 4033:(distributor). 33 minutes in. 3535:"Warren Buffett on Derivatives" 3015:WW Norton and Co, 2010, p. 73). 2972:Financial Crisis Inquiry Report 2930:NBER Macroeconomics Annual 2009 2768:Financial Crisis Inquiry Report 1966:. Munich Personal RePEc Archive 1939:. Munich Personal RePEc Archive 1472:Collateralized bond obligations 1438:Collateralized bond obligations 1432:Collateralized loan obligations 1064:collateralized loan obligations 861:Financial Crisis Inquiry Report 688:government-sponsored enterprise 288:Over-the-counter (off-exchange) 18:Collateralized debt obligations 5332:Year-on-year inflation-indexed 4701:Collateralized fund obligation 4695:Collateralized loan obligation 4689:Collateralized bond obligation 4677:Collateralized debt obligation 4473:Collateralized debt obligation 4349:Reverse convertible securities 4060:Diagram and Explanation of CDO 3515:McLean, Bethany (2007-03-19). 2824:, Michael Lewis, pp. 207–208). 1957:..." (italics added). Source: 1860:Collateralized loan obligation 1854:Collateralized fund obligation 1818:In the 2015 biographical film 1601:structured investment vehicles 1599:organizations, other CDOs and 1397:Structured Investment Vehicles 1379:Structured Operating Companies 1346:Guaranteed Investment Contract 1169:Concept, structures, varieties 1002:were often dispensed with and 740:Advantages of securitization – 671:and Freddie Mac. In 1977, the 559:collateralized debt obligation 1: 5342:Zero-coupon inflation-indexed 4132:financial crisis of 2007–2008 4109:Journal of Structured Finance 2836:, Michael Lewis, pp. 207–208. 2015:, §5:15 (Thomson West, 2014). 1901:Financial crisis of 2007–2008 682:In 1977, the investment bank 514:Sustainable development goals 5682:United States housing bubble 4080:The Making of a Mortgage CDO 3728:, MacLean and Nocera, p. 19. 3410:"Timeline: Sub-prime losses" 2368:Liar's Poker, Michael Lewis. 2331:"Community Reinvestment Act" 2070:Kiff, John (November 2004). 1959:Vink, Dennis (August 2007). 1932:Vink, Dennis (August 2007). 1891:United States housing bubble 1535:Real estate investment trust 1159:incentive for responsibility 778:. The low yield of the safe 664:Equal Credit Opportunity Act 5545:Foreign exchange derivative 4937:Callable bull/bear contract 4289:Contingent convertible bond 3985:Dealbook (2 January 2008). 3315:Eavis, Peter (2007-10-24). 2853:-Cited by Michael Lewis in 2147:(Matthew Bender, 2014 ed.). 2025:Cordell, Larry (May 2012). 989:In the summer of 2006, the 822:IMF Diagram of CDO and RMBS 5698: 4618:Securitization transaction 4329:Inverse floating rate note 3483:Aubin, Dena (2008-04-09). 3245:Aubin, Dena (2008-04-09). 3187:, 2011, p. 87, figure 6.2. 2923:"The Credit Rating Crisis" 2228:. England: Penguin Books. 2013:Mortgage-Backed Securities 1924:mortgage-backed securities 1826:mortgage-backed securities 1700: 1667:Bank of America Securities 1546:Trust Preferred securities 1511:mortgage-backed securities 1320:mortgage-backed securities 1302:Funding—cash vs. synthetic 1291:Balance sheet transactions 1212:mortgage-backed securities 1090:'s former chief economist 880:mortgage-backed securities 847: 841: 673:Community Reinvestment Act 574:mortgage-backed securities 5619: 5446:Stock market index future 4760: 4175: 4134:including the CDOs market 3939:Peaslee & Nirenberg. 3926:Peaslee & Nirenberg. 2868:"SEC Broadens CDO Probes" 2664:Hsu, Steve (2005-09-12). 2586:"The Giant Pool of Money" 2011:Lepke, Lins and Pi card, 1619:of a CDO is typically an 1006:upon request. Journalist 920:Moody's Investors Service 397:Diversification (finance) 5667:Mortgage-backed security 5565:Mortgage-backed security 5560:Interest rate derivative 5535:Equity-linked note (ELN) 5520:Credit-linked note (CLN) 4660:Mortgage-backed security 4488:Mortgage-backed security 4257:Types of bonds by payout 4199:Types of bonds by issuer 3581:. Working Papers Series. 2120:www.investinganswers.com 1896:Subprime mortgage crisis 1765:State Street Corporation 1551:Transaction participants 1489:: Generic term for CDO ( 844:Subprime mortgage crisis 793:, introduced in 2001 by 762:mortgage-backed security 657:mortgage-backed security 649:mortgage-backed security 628:subprime mortgage crisis 602:—rather than the parent 600:special purpose entities 5662:Fixed-income securities 5515:Contract for difference 4816:Risk-free interest rate 3739:originate-to-distribute 3726:All the Devils Are Here 3701:Lewis, Michael (2010). 3175:, Michael Lewis, p. 95. 3082:All the Devils Are Here 2986:All the Devils Are Here 2755:All the Devils Are Here 2668:. Infoproc.blogspot.com 2544:All the Devils Are Here 2488:All the Devils Are Here 2472:All the Devils Are Here 2350:McClean, Nocera, p. 12. 2224:Lewis, Michael (2010). 2143:Lemke, Lins and Smith, 1983:. SIFMA. Archived from 1928:asset-backed securities 1843:Bespoke portfolio (CDO) 1718:Bank of New York Mellon 1515:asset-backed securities 1456:asset-backed securities 1389:auction rate securities 1316:asset-backed securities 1233:asset-backed securities 1018:Big CDO arrangers like 874:Explanations for growth 734:Explanations for growth 706:) invented the idea of 647:created the first MBS ( 5297:Forward Rate Agreement 4422:Option-adjusted spread 4324:Inflation-indexed bond 3687:Morgenson and Rosner, 3341:"Herd's head trampled" 3161:, p. 229, figure 11.4. 2779:Still another source ( 2359:McClean, Nocera, p. 5. 2299:Federal Reserve System 2258:History of Freddie Mac 2248:McClean, Nocera, p. 7. 1557:Gramm-Leach-Bliley Act 1285:Arbitrage transactions 1200:special purpose entity 1142: 1126:credit rating agencies 1122: 1013:teaser" mortgage rates 986: 889: 839: 831: 823: 815: 802:Subprime mortgage boom 791:Gaussian copula models 719:Drexel Burnham Lambert 610:", "CDOs of CDOs" or " 578:probability of default 362:Alternative investment 5657:Derivatives (finance) 5525:Credit default option 4869:Employee stock option 4654:Asset-backed security 4468:Asset-backed security 4432:Weighted-average life 4269:Auction rate security 4070:"Investment Landfill" 3689:Reckless Endangerment 3495:on September 5, 2008. 3257:on September 5, 2008. 3053:Reckless Endangerment 3051:Morgenson and Rosner 2959:Reckless Endangerment 2957:Morgenson and Rosner 2694:| September 12, 2005. 2531:Reckless Endangerment 2529:Morgenson and Rosner 1838:Asset-backed security 1182:. To create a CDO, a 1180:asset-backed security 1138: 1117: 980: 950:Financial innovations 884: 837: 829: 821: 809: 570:asset-backed security 494:Investment management 407:Environmental finance 5479:Inflation derivative 5464:Commodity derivative 5436:Single-stock futures 5426:Normal backwardation 5416:Interest rate future 5257:Conditional variance 4763:Derivative (finance) 4461:Securitized products 3654:, 2011, pp. 118-121. 3598:, December 27, 2007. 2635:Zandi, Mark (2009). 2049:www.investopedia.com 1866:List of CDO managers 1703:List of CDO Managers 1543:Project finance debt 1334:credit default swaps 1295:capital requirements 1190:backing packages of 1000:income documentation 954:credit default swaps 909:Federal Reserve Bank 758:financial innovation 5631:Business portal 5484:Property derivative 4707:Senior stretch loan 4671:Credit default swap 4647:Types of securities 4238:Infrastructure bond 3691:, 2010 pp. 280-281. 3615:, January 14, 2008. 3613:Wall Street Journal 3596:Wall Street Journal 3080:McLean and Nocera, 2692:Wall Street Journal 2690:| Mark Whitehouse| 2542:McLean and Nocera, 2533:, 2010 pp. 279-280. 2486:McLean and Nocera, 2470:McLean and Nocera, 2426:, 2011, pp. 129-30. 2122:. Investing answers 1871:Credit default swap 1569:insurance companies 1498:Types of collateral 1366:Single-tranche CDOs 814:, p.128, figure 8.1 748:capital requirement 519:Sustainable finance 33:Part of a series on 5672:Structured finance 5489:Weather derivative 5474:Freight derivative 5456:Exotic derivatives 5376:Commodities future 5063:Intermarket spread 4826:Synthetic position 4754:Derivatives market 4712:Structured product 4623:Credit enhancement 4602:Structured finance 4314:Floating rate note 4091:2020-06-02 at the 4031:Paramount Pictures 3233:. 8 November 2007. 2807:2007-09-29 at the 2591:This American Life 2565:2010-04-15 at the 2316:2008-09-16 at the 1876:Single-tranche CDO 1507:Structured finance 1449:credit derivatives 991:Case–Shiller index 987: 897:Gretchen Morgenson 840: 832: 824: 816: 768:Low interest rates 624:subprime mortgages 509:Speculative attack 274:Structured product 5639: 5638: 5540:Equity derivative 5530:Credit derivative 5498:Other derivatives 5469:Energy derivative 5431:Perpetual futures 5312:Overnight indexed 5262:Constant maturity 5223: 5222: 5170:Finite difference 5103:Protective option 4720: 4719: 4666:Credit derivative 4568: 4567: 4521:Exchangeable bond 4447:Yield to maturity 4299:Exchangeable bond 4221:Subordinated debt 3743:originate-to-hold 3712:978-0-393-07223-5 2650:978-0-13-701663-1 2618:Moody's Analytics 2452:978-1-101-55105-9 2378:Cresci, Gregory. 2333:. Federal Reserve 1673:The asset manager 1643:Thomson Financial 1581:investment trusts 1370:Residual risk is 1271:Market value CDOs 1210:held may include 1161:was undermined." 924:operating margins 780:US Treasury bonds 555: 554: 382:Banks and banking 372:Asset (economics) 198:Credit derivative 166:Stock certificate 39:Financial markets 27:Financial product 16:(Redirected from 5689: 5629: 5628: 5401:Forwards pricing 5175:Garman–Kohlhagen 4776: 4747: 4740: 4733: 4724: 4633:Orphan structure 4595: 4588: 4581: 4572: 4511:Convertible bond 4354:Zero-coupon bond 4294:Convertible bond 4279:Commercial paper 4162: 4155: 4148: 4139: 4126:– an episode on 4038: 4037: 4022: 4016: 4013:Wilmington Trust 4009: 4003: 4002: 4000: 3998: 3993:. New York Times 3982: 3976: 3975: 3973: 3971: 3953: 3944: 3937: 3931: 3924: 3918: 3916: 3908: 3902: 3901: 3895: 3887: 3885: 3884: 3878: 3872:. Archived from 3871: 3863: 3857: 3856: 3848: 3842: 3841: 3825: 3819: 3818: 3802: 3796: 3795: 3779: 3773: 3772: 3756: 3750: 3735: 3729: 3723: 3717: 3716: 3698: 3692: 3685: 3679: 3673: 3667: 3661: 3655: 3649: 3643: 3642: 3622: 3616: 3605: 3599: 3589: 3583: 3582: 3576: 3564: 3558: 3552: 3546: 3545: 3539: 3531: 3525: 3524: 3512: 3506: 3503: 3497: 3496: 3491:. Archived from 3480: 3471: 3470: 3464: 3456: 3454: 3453: 3447: 3441:. Archived from 3440: 3432: 3426: 3425: 3423: 3421: 3406: 3400: 3399: 3397: 3395: 3380: 3374: 3373: 3371: 3370: 3355: 3349: 3348: 3337: 3331: 3330: 3328: 3327: 3312: 3306: 3299:marked to market 3295: 3289: 3288: 3277: 3271: 3265: 3259: 3258: 3253:. Archived from 3241: 3235: 3234: 3223: 3217: 3212:Lewis, Michael, 3210: 3204: 3197: 3188: 3182: 3176: 3168: 3162: 3156: 3147: 3146: 3144: 3143: 3134:. Archived from 3128: 3122: 3121:, 2011, p. 142). 3115: 3109: 3103: 3097: 3091: 3085: 3078: 3069: 3062: 3056: 3049: 3040: 3034: 3028: 3022: 3016: 3008: 3002: 2995: 2989: 2981: 2975: 2968: 2962: 2955: 2946: 2940: 2934: 2933: 2927: 2918: 2912: 2911: 2909: 2908: 2893: 2887: 2886: 2881: 2879: 2864: 2858: 2848: 2837: 2831: 2825: 2818: 2812: 2798: 2792: 2777: 2771: 2764: 2758: 2750: 2744: 2742: 2740: 2726: 2720: 2719: 2717: 2716: 2701: 2695: 2683: 2677: 2676: 2674: 2673: 2661: 2655: 2654: 2642: 2632: 2621: 2614: 2608: 2607: 2582: 2569: 2556: 2547: 2540: 2534: 2527: 2518: 2517: 2497: 2491: 2484: 2475: 2468: 2457: 2456: 2436: 2427: 2421: 2415: 2409: 2396: 2395: 2393: 2391: 2375: 2369: 2366: 2360: 2357: 2351: 2348: 2342: 2341: 2339: 2338: 2327: 2321: 2308: 2302: 2291: 2285: 2284: 2282: 2275: 2267: 2261: 2255: 2249: 2246: 2240: 2239: 2221: 2215: 2209: 2200: 2194: 2179: 2167: 2161: 2154: 2148: 2141: 2132: 2131: 2129: 2127: 2111: 2105: 2104: 2088: 2079: 2078: 2076: 2067: 2061: 2060: 2058: 2056: 2040: 2034: 2033: 2031: 2022: 2016: 2009: 2003: 2000: 1994: 1992: 1975: 1973: 1971: 1965: 1948: 1946: 1944: 1938: 1918: 1814:In popular media 1785:Wilmington Trust 1749:Intertrust Group 1589:investment banks 1585:commercial banks 1385:commercial paper 1184:corporate entity 850:Subprime lending 684:Salomon Brothers 547: 540: 533: 489:Impact investing 484:Growth investing 217:Foreign exchange 203:Futures exchange 151:Registered share 49: 30: 21: 5697: 5696: 5692: 5691: 5690: 5688: 5687: 5686: 5642: 5641: 5640: 5635: 5623: 5615: 5601:Great Recession 5596:Government debt 5574: 5550:Fund derivative 5493: 5450: 5411:Futures pricing 5386:Dividend future 5381:Currency future 5364: 5346: 5219: 5195:Put–call parity 5131: 5118:Vertical spread 5053:Diagonal spread 5023:Calendar spread 4994: 4903: 4840: 4765: 4756: 4751: 4721: 4716: 4642: 4604: 4599: 4569: 4564: 4535: 4526:Extendible bond 4516:Embedded option 4492: 4456: 4358: 4319:High-yield debt 4309:Fixed rate bond 4304:Extendible bond 4252: 4233:Government bond 4228:Distressed debt 4194: 4171: 4166: 4093:Wayback Machine 4046: 4041: 4024: 4023: 4019: 4010: 4006: 3996: 3994: 3991:January 2, 2008 3984: 3983: 3979: 3969: 3967: 3966:on May 27, 2013 3955: 3954: 3947: 3938: 3934: 3925: 3921: 3910: 3909: 3905: 3888: 3882: 3880: 3876: 3869: 3867:"Archived copy" 3865: 3864: 3860: 3850: 3849: 3845: 3827: 3826: 3822: 3804: 3803: 3799: 3781: 3780: 3776: 3758: 3757: 3753: 3749:, 2011, p. 89). 3736: 3732: 3724: 3720: 3713: 3700: 3699: 3695: 3686: 3682: 3674: 3670: 3662: 3658: 3650: 3646: 3639: 3624: 3623: 3619: 3606: 3602: 3590: 3586: 3574: 3568:Rajan, Raghuram 3566: 3565: 3561: 3553: 3549: 3544:. fintools.com. 3537: 3533: 3532: 3528: 3514: 3513: 3509: 3504: 3500: 3482: 3481: 3474: 3457: 3451: 3449: 3445: 3438: 3436:"Archived copy" 3434: 3433: 3429: 3419: 3417: 3408: 3407: 3403: 3393: 3391: 3390:. June 20, 2007 3382: 3381: 3377: 3368: 3366: 3357: 3356: 3352: 3339: 3338: 3334: 3325: 3323: 3314: 3313: 3309: 3296: 3292: 3279: 3278: 3274: 3270:, 2011, p. 148. 3266: 3262: 3244: 3242: 3238: 3225: 3224: 3220: 3211: 3207: 3199:Michael Lewis, 3198: 3191: 3183: 3179: 3169: 3165: 3157: 3150: 3141: 3139: 3130: 3129: 3125: 3116: 3112: 3108:, 2011, p. 132. 3104: 3100: 3092: 3088: 3079: 3072: 3063: 3059: 3050: 3043: 3039:, 2011, p. 104. 3035: 3031: 3027:, 2011, p. 103. 3023: 3019: 3009: 3005: 3001:, 2011, p. 127. 2996: 2992: 2988:, 2010 p. 122). 2982: 2978: 2969: 2965: 2961:, 2010, p. 278. 2956: 2949: 2941: 2937: 2925: 2920: 2919: 2915: 2906: 2904: 2895: 2894: 2890: 2877: 2875: 2872:June 15th, 2011 2866: 2865: 2861: 2849: 2840: 2832: 2828: 2819: 2815: 2809:Wayback Machine 2799: 2795: 2790: 2778: 2774: 2765: 2761: 2757:, 2010, p. 201. 2751: 2747: 2738: 2734: 2727: 2723: 2714: 2712: 2703: 2702: 2698: 2684: 2680: 2671: 2669: 2663: 2662: 2658: 2651: 2639:Financial Shock 2634: 2633: 2624: 2615: 2611: 2584: 2583: 2572: 2567:Wayback Machine 2557: 2550: 2541: 2537: 2528: 2521: 2514: 2499: 2498: 2494: 2485: 2478: 2469: 2460: 2453: 2438: 2437: 2430: 2422: 2418: 2414:, 2011, p. 129. 2410: 2399: 2389: 2387: 2386:. Bloomberg L.P 2384:August 30, 2005 2377: 2376: 2372: 2367: 2363: 2358: 2354: 2349: 2345: 2336: 2334: 2329: 2328: 2324: 2318:Wayback Machine 2309: 2305: 2292: 2288: 2280: 2273: 2269: 2268: 2264: 2256: 2252: 2247: 2243: 2236: 2223: 2222: 2218: 2214:, 2011, p. 133. 2210: 2203: 2199:, 2011, p. 130. 2195: 2182: 2168: 2164: 2155: 2151: 2142: 2135: 2125: 2123: 2116:"How CDOs work" 2113: 2112: 2108: 2090: 2089: 2082: 2074: 2069: 2068: 2064: 2054: 2052: 2042: 2041: 2037: 2029: 2024: 2023: 2019: 2010: 2006: 2002: 1990: 1988: 1987:on 29 June 2018 1979: 1977: 1976: 1969: 1967: 1963: 1958: 1951: 1950: 1942: 1940: 1936: 1931: 1919: 1915: 1911: 1886:Great Recession 1834: 1816: 1807: 1794: 1710: 1705: 1675: 1621:investment bank 1613: 1597:private banking 1565: 1553: 1530:Corporate bonds 1525:Leveraged loans 1500: 1423: 1406: 1312:corporate bonds 1253: 1217:The SPE issues 1176: 1171: 1134:Joseph Stiglitz 1110:Great Recession 1080: 975: 962:investment bank 876: 856: 846: 804: 736: 641: 636: 604:investment bank 565:) is a type of 551: 392:Climate finance 321: 307: 235: 234: 214: 213: 208:Hybrid security 146:Preferred stock 116: 107:High-yield debt 102:Government bond 28: 23: 22: 15: 12: 11: 5: 5695: 5693: 5685: 5684: 5679: 5674: 5669: 5664: 5659: 5654: 5644: 5643: 5637: 5636: 5634: 5633: 5620: 5617: 5616: 5614: 5613: 5608: 5606:Municipal debt 5603: 5598: 5593: 5591:Corporate debt 5588: 5582: 5580: 5576: 5575: 5573: 5572: 5567: 5562: 5557: 5552: 5547: 5542: 5537: 5532: 5527: 5522: 5517: 5512: 5507: 5501: 5499: 5495: 5494: 5492: 5491: 5486: 5481: 5476: 5471: 5466: 5460: 5458: 5452: 5451: 5449: 5448: 5443: 5438: 5433: 5428: 5423: 5418: 5413: 5408: 5403: 5398: 5393: 5391:Forward market 5388: 5383: 5378: 5373: 5367: 5365: 5363: 5362: 5357: 5351: 5348: 5347: 5345: 5344: 5339: 5334: 5329: 5324: 5319: 5314: 5309: 5304: 5299: 5294: 5289: 5284: 5279: 5274: 5272:Credit default 5269: 5264: 5259: 5254: 5249: 5244: 5239: 5233: 5231: 5225: 5224: 5221: 5220: 5218: 5217: 5212: 5207: 5202: 5197: 5192: 5187: 5182: 5177: 5172: 5167: 5157: 5152: 5147: 5141: 5139: 5133: 5132: 5130: 5129: 5115: 5110: 5105: 5100: 5095: 5090: 5085: 5080: 5075: 5070: 5068:Iron butterfly 5065: 5060: 5055: 5050: 5045: 5040: 5038:Covered option 5035: 5030: 5025: 5020: 5015: 5010: 5004: 5002: 4996: 4995: 4993: 4992: 4987: 4982: 4977: 4976:Mountain range 4974: 4969: 4964: 4959: 4954: 4949: 4944: 4939: 4934: 4929: 4924: 4919: 4913: 4911: 4905: 4904: 4902: 4901: 4896: 4891: 4886: 4881: 4876: 4871: 4866: 4861: 4856: 4850: 4848: 4842: 4841: 4839: 4838: 4833: 4828: 4823: 4818: 4813: 4808: 4803: 4798: 4793: 4788: 4782: 4780: 4773: 4767: 4766: 4761: 4758: 4757: 4752: 4750: 4749: 4742: 4735: 4727: 4718: 4717: 4715: 4714: 4709: 4704: 4698: 4692: 4686: 4680: 4674: 4668: 4663: 4657: 4650: 4648: 4644: 4643: 4641: 4640: 4635: 4630: 4625: 4620: 4614: 4612: 4610:Securitization 4606: 4605: 4600: 4598: 4597: 4590: 4583: 4575: 4566: 4565: 4563: 4562: 4556: 4550: 4543: 4541: 4537: 4536: 4534: 4533: 4528: 4523: 4518: 4513: 4508: 4502: 4500: 4494: 4493: 4491: 4490: 4485: 4480: 4475: 4470: 4464: 4462: 4458: 4457: 4455: 4454: 4449: 4444: 4439: 4434: 4429: 4427:Risk-free bond 4424: 4419: 4414: 4412:Mortgage yield 4409: 4404: 4399: 4394: 4389: 4384: 4379: 4374: 4368: 4366: 4364:Bond valuation 4360: 4359: 4357: 4356: 4351: 4346: 4341: 4339:Perpetual bond 4336: 4331: 4326: 4321: 4316: 4311: 4306: 4301: 4296: 4291: 4286: 4281: 4276: 4271: 4266: 4260: 4258: 4254: 4253: 4251: 4250: 4245: 4243:Municipal bond 4240: 4235: 4230: 4225: 4224: 4223: 4218: 4211:Corporate bond 4208: 4202: 4200: 4196: 4195: 4193: 4192: 4187: 4182: 4176: 4173: 4172: 4167: 4165: 4164: 4157: 4150: 4142: 4136: 4135: 4117: 4112: 4100: 4095: 4083: 4077: 4072: 4067: 4062: 4057: 4052: 4045: 4044:External links 4042: 4040: 4039: 4017: 4004: 3977: 3945: 3932: 3919: 3903: 3858: 3843: 3820: 3797: 3774: 3751: 3730: 3718: 3711: 3693: 3680: 3668: 3656: 3644: 3637: 3617: 3611:," (Magnetar) 3600: 3584: 3559: 3547: 3526: 3507: 3498: 3472: 3427: 3416:. May 19, 2008 3401: 3375: 3350: 3332: 3307: 3297:Many CDOs are 3290: 3272: 3260: 3236: 3218: 3205: 3189: 3177: 3163: 3148: 3123: 3110: 3098: 3086: 3070: 3057: 3055:, 2010 p. 280. 3041: 3029: 3017: 3003: 2990: 2976: 2963: 2947: 2935: 2913: 2888: 2859: 2838: 2826: 2813: 2793: 2772: 2759: 2745: 2721: 2696: 2678: 2656: 2649: 2622: 2609: 2570: 2548: 2546:, 2010 p. 189. 2535: 2519: 2512: 2492: 2490:, 2010 p. 123. 2476: 2474:, 2010 p. 121. 2458: 2451: 2428: 2416: 2397: 2370: 2361: 2352: 2343: 2322: 2303: 2286: 2283:on 2008-12-18. 2262: 2250: 2241: 2234: 2216: 2201: 2180: 2162: 2149: 2133: 2106: 2080: 2062: 2051:. Investopedia 2035: 2017: 2004: 1920: 1912: 1910: 1907: 1906: 1905: 1904: 1903: 1898: 1893: 1883: 1878: 1873: 1868: 1863: 1857: 1851: 1845: 1840: 1833: 1830: 1815: 1812: 1806: 1803: 1793: 1790: 1789: 1788: 1782: 1777: 1767: 1762: 1757: 1752: 1746: 1741: 1736: 1731: 1725: 1709: 1706: 1674: 1671: 1632:Cayman Islands 1612: 1609: 1564: 1561: 1552: 1549: 1548: 1547: 1544: 1541: 1538: 1532: 1527: 1522: 1513:, home equity 1499: 1496: 1495: 1494: 1484: 1478: 1475: 1469: 1460: 1459: 1452: 1445: 1435: 1422: 1419: 1405: 1402: 1401: 1400: 1380: 1376: 1375: 1374:by the dealer. 1367: 1363: 1362: 1355: 1354: 1353: 1330:synthetic CDOs 1326:Synthetic CDOs 1323: 1304: 1303: 1299: 1298: 1288: 1281: 1280: 1276: 1275: 1268: 1265:Cash flow CDOs 1261: 1260: 1252: 1249: 1224: 1223: 1215: 1175: 1172: 1170: 1167: 1092:Raghuram Rajan 1084:Warren Buffett 1079: 1076: 974: 971: 970: 969: 947: 940:Bethany McLean 935: 912: 895:As journalist 875: 872: 842:Main article: 803: 800: 799: 798: 787:Pricing models 784: 772:dot-com bubble 765: 751: 735: 732: 708:securitization 640: 637: 635: 634:Market history 632: 612:synthetic CDOs 553: 552: 550: 549: 542: 535: 527: 524: 523: 522: 521: 516: 511: 506: 501: 496: 491: 486: 481: 476: 471: 470: 469: 464: 459: 454: 449: 444: 439: 434: 429: 424: 414: 409: 404: 399: 394: 389: 384: 379: 374: 369: 367:Angel investor 364: 356: 355: 351: 350: 349: 348: 343: 338: 330: 329: 323: 322: 320: 319: 314: 308: 306: 305: 300: 294: 291: 290: 284: 283: 282: 281: 279:Swap (finance) 276: 271: 266: 261: 256: 251: 246: 241: 233: 232: 226: 219: 215: 212: 211: 205: 200: 193: 189: 186: 185: 181: 180: 179: 178: 173: 171:Stock exchange 168: 163: 158: 153: 148: 143: 138: 130: 129: 123: 122: 121: 120: 118:Securitization 114: 112:Municipal bond 109: 104: 99: 94: 92:Corporate bond 89: 87:Bond valuation 81: 80: 74: 73: 72: 71: 59: 51: 50: 42: 41: 35: 34: 26: 24: 14: 13: 10: 9: 6: 4: 3: 2: 5694: 5683: 5680: 5678: 5677:Financial law 5675: 5673: 5670: 5668: 5665: 5663: 5660: 5658: 5655: 5653: 5650: 5649: 5647: 5632: 5627: 5622: 5621: 5618: 5612: 5609: 5607: 5604: 5602: 5599: 5597: 5594: 5592: 5589: 5587: 5586:Consumer debt 5584: 5583: 5581: 5579:Market issues 5577: 5571: 5568: 5566: 5563: 5561: 5558: 5556: 5555:Fund of funds 5553: 5551: 5548: 5546: 5543: 5541: 5538: 5536: 5533: 5531: 5528: 5526: 5523: 5521: 5518: 5516: 5513: 5511: 5508: 5506: 5503: 5502: 5500: 5496: 5490: 5487: 5485: 5482: 5480: 5477: 5475: 5472: 5470: 5467: 5465: 5462: 5461: 5459: 5457: 5453: 5447: 5444: 5442: 5439: 5437: 5434: 5432: 5429: 5427: 5424: 5422: 5419: 5417: 5414: 5412: 5409: 5407: 5404: 5402: 5399: 5397: 5396:Forward price 5394: 5392: 5389: 5387: 5384: 5382: 5379: 5377: 5374: 5372: 5369: 5368: 5366: 5361: 5358: 5356: 5353: 5352: 5349: 5343: 5340: 5338: 5335: 5333: 5330: 5328: 5325: 5323: 5320: 5318: 5315: 5313: 5310: 5308: 5307:Interest rate 5305: 5303: 5300: 5298: 5295: 5293: 5290: 5288: 5285: 5283: 5280: 5278: 5275: 5273: 5270: 5268: 5265: 5263: 5260: 5258: 5255: 5253: 5250: 5248: 5245: 5243: 5240: 5238: 5235: 5234: 5232: 5230: 5226: 5216: 5213: 5211: 5208: 5206: 5203: 5201: 5200:MC Simulation 5198: 5196: 5193: 5191: 5188: 5186: 5183: 5181: 5178: 5176: 5173: 5171: 5168: 5165: 5161: 5160:Black–Scholes 5158: 5156: 5153: 5151: 5148: 5146: 5143: 5142: 5140: 5138: 5134: 5127: 5123: 5119: 5116: 5114: 5113:Risk reversal 5111: 5109: 5106: 5104: 5101: 5099: 5096: 5094: 5091: 5089: 5086: 5084: 5081: 5079: 5076: 5074: 5071: 5069: 5066: 5064: 5061: 5059: 5056: 5054: 5051: 5049: 5046: 5044: 5043:Credit spread 5041: 5039: 5036: 5034: 5031: 5029: 5026: 5024: 5021: 5019: 5016: 5014: 5011: 5009: 5006: 5005: 5003: 5001: 4997: 4991: 4988: 4986: 4983: 4981: 4978: 4975: 4973: 4970: 4968: 4967:Interest rate 4965: 4963: 4962:Forward start 4960: 4958: 4955: 4953: 4950: 4948: 4945: 4943: 4940: 4938: 4935: 4933: 4930: 4928: 4925: 4923: 4920: 4918: 4915: 4914: 4912: 4910: 4906: 4900: 4897: 4895: 4892: 4890: 4889:Option styles 4887: 4885: 4882: 4880: 4877: 4875: 4872: 4870: 4867: 4865: 4862: 4860: 4857: 4855: 4852: 4851: 4849: 4847: 4843: 4837: 4834: 4832: 4829: 4827: 4824: 4822: 4819: 4817: 4814: 4812: 4809: 4807: 4806:Open interest 4804: 4802: 4799: 4797: 4794: 4792: 4789: 4787: 4786:Delta neutral 4784: 4783: 4781: 4777: 4774: 4772: 4768: 4764: 4759: 4755: 4748: 4743: 4741: 4736: 4734: 4729: 4728: 4725: 4713: 4710: 4708: 4705: 4702: 4699: 4696: 4693: 4690: 4687: 4684: 4681: 4678: 4675: 4672: 4669: 4667: 4664: 4661: 4658: 4655: 4652: 4651: 4649: 4645: 4639: 4638:Shell company 4636: 4634: 4631: 4629: 4626: 4624: 4621: 4619: 4616: 4615: 4613: 4611: 4607: 4603: 4596: 4591: 4589: 4584: 4582: 4577: 4576: 4573: 4560: 4557: 4554: 4551: 4548: 4545: 4544: 4542: 4538: 4532: 4531:Puttable bond 4529: 4527: 4524: 4522: 4519: 4517: 4514: 4512: 4509: 4507: 4506:Callable bond 4504: 4503: 4501: 4499: 4495: 4489: 4486: 4484: 4481: 4479: 4476: 4474: 4471: 4469: 4466: 4465: 4463: 4459: 4453: 4450: 4448: 4445: 4443: 4440: 4438: 4435: 4433: 4430: 4428: 4425: 4423: 4420: 4418: 4417:Nominal yield 4415: 4413: 4410: 4408: 4405: 4403: 4400: 4398: 4395: 4393: 4392:Current yield 4390: 4388: 4387:Credit spread 4385: 4383: 4380: 4378: 4375: 4373: 4370: 4369: 4367: 4365: 4361: 4355: 4352: 4350: 4347: 4345: 4344:Puttable bond 4342: 4340: 4337: 4335: 4332: 4330: 4327: 4325: 4322: 4320: 4317: 4315: 4312: 4310: 4307: 4305: 4302: 4300: 4297: 4295: 4292: 4290: 4287: 4285: 4282: 4280: 4277: 4275: 4274:Callable bond 4272: 4270: 4267: 4265: 4262: 4261: 4259: 4255: 4249: 4246: 4244: 4241: 4239: 4236: 4234: 4231: 4229: 4226: 4222: 4219: 4217: 4214: 4213: 4212: 4209: 4207: 4204: 4203: 4201: 4197: 4191: 4188: 4186: 4183: 4181: 4178: 4177: 4174: 4170: 4163: 4158: 4156: 4151: 4149: 4144: 4143: 4140: 4133: 4129: 4125: 4123: 4118: 4116: 4113: 4111: 4110: 4105: 4101: 4099: 4096: 4094: 4090: 4087: 4084: 4081: 4078: 4076: 4073: 4071: 4068: 4066: 4063: 4061: 4058: 4056: 4053: 4051: 4048: 4047: 4043: 4036: 4032: 4028: 4027:The Big Short 4021: 4018: 4014: 4008: 4005: 3992: 3988: 3981: 3978: 3965: 3961: 3960: 3952: 3950: 3946: 3942: 3936: 3933: 3929: 3923: 3920: 3914: 3907: 3904: 3899: 3893: 3879:on 2007-09-28 3875: 3868: 3862: 3859: 3854: 3847: 3844: 3839: 3835: 3831: 3830:Working Paper 3824: 3821: 3816: 3812: 3808: 3807:Working Paper 3801: 3798: 3793: 3789: 3785: 3784:Working Paper 3778: 3775: 3770: 3766: 3762: 3761:Working Paper 3755: 3752: 3748: 3744: 3740: 3734: 3731: 3727: 3722: 3719: 3714: 3708: 3704: 3697: 3694: 3690: 3684: 3681: 3677: 3672: 3669: 3665: 3660: 3657: 3653: 3648: 3645: 3640: 3638:9781429965774 3634: 3630: 3629: 3621: 3618: 3614: 3610: 3604: 3601: 3597: 3593: 3588: 3585: 3580: 3573: 3569: 3563: 3560: 3556: 3551: 3548: 3543: 3536: 3530: 3527: 3522: 3518: 3511: 3508: 3502: 3499: 3494: 3490: 3486: 3479: 3477: 3473: 3468: 3462: 3448:on 2008-09-09 3444: 3437: 3431: 3428: 3415: 3411: 3405: 3402: 3389: 3385: 3379: 3376: 3364: 3360: 3354: 3351: 3347:. 2007-10-30. 3346: 3345:The Economist 3342: 3336: 3333: 3322: 3318: 3311: 3308: 3304: 3300: 3294: 3291: 3287:. 2007-07-18. 3286: 3282: 3276: 3273: 3269: 3264: 3261: 3256: 3252: 3248: 3240: 3237: 3232: 3231:The Economist 3228: 3222: 3219: 3215: 3214:The Big Short 3209: 3206: 3202: 3201:The Big Short 3196: 3194: 3190: 3186: 3181: 3178: 3174: 3173: 3172:The Big Short 3167: 3164: 3160: 3155: 3153: 3149: 3138:on 2010-04-10 3137: 3133: 3127: 3124: 3120: 3114: 3111: 3107: 3102: 3099: 3095: 3090: 3087: 3083: 3077: 3075: 3071: 3067: 3061: 3058: 3054: 3048: 3046: 3042: 3038: 3033: 3030: 3026: 3021: 3018: 3014: 3007: 3004: 3000: 2994: 2991: 2987: 2980: 2977: 2973: 2967: 2964: 2960: 2954: 2952: 2948: 2944: 2939: 2936: 2931: 2924: 2917: 2914: 2903:on 2009-03-03 2902: 2898: 2892: 2889: 2885: 2873: 2869: 2863: 2860: 2856: 2855:The Big Short 2852: 2847: 2845: 2843: 2839: 2835: 2834:The Big Short 2830: 2827: 2823: 2822:The Big Short 2817: 2814: 2810: 2806: 2803: 2797: 2794: 2789:, p.71) says: 2788: 2787:Michael Lewis 2784: 2783: 2782:The Big Short 2776: 2773: 2769: 2763: 2760: 2756: 2749: 2746: 2737: 2732: 2725: 2722: 2711:on 2016-11-21 2710: 2706: 2700: 2697: 2693: 2689: 2688: 2682: 2679: 2667: 2660: 2657: 2652: 2646: 2641: 2640: 2631: 2629: 2627: 2623: 2619: 2613: 2610: 2605: 2601: 2597: 2593: 2592: 2587: 2581: 2579: 2577: 2575: 2571: 2568: 2564: 2561: 2555: 2553: 2549: 2545: 2539: 2536: 2532: 2526: 2524: 2520: 2515: 2513:9781429965774 2509: 2505: 2504: 2496: 2493: 2489: 2483: 2481: 2477: 2473: 2467: 2465: 2463: 2459: 2454: 2448: 2444: 2443: 2435: 2433: 2429: 2425: 2420: 2417: 2413: 2408: 2406: 2404: 2402: 2398: 2385: 2381: 2374: 2371: 2365: 2362: 2356: 2353: 2347: 2344: 2332: 2326: 2323: 2319: 2315: 2312: 2307: 2304: 2300: 2296: 2290: 2287: 2279: 2272: 2266: 2263: 2259: 2254: 2251: 2245: 2242: 2237: 2235:9781846142574 2231: 2227: 2220: 2217: 2213: 2208: 2206: 2202: 2198: 2193: 2191: 2189: 2187: 2185: 2181: 2177: 2173: 2172: 2166: 2163: 2159: 2153: 2150: 2146: 2140: 2138: 2134: 2121: 2117: 2110: 2107: 2102: 2098: 2094: 2093:Working Paper 2087: 2085: 2081: 2073: 2066: 2063: 2050: 2046: 2039: 2036: 2028: 2021: 2018: 2014: 2008: 2005: 2001: 1999: 1986: 1982: 1962: 1956: 1935: 1929: 1925: 1917: 1914: 1908: 1902: 1899: 1897: 1894: 1892: 1889: 1888: 1887: 1884: 1882: 1881:Synthetic CDO 1879: 1877: 1874: 1872: 1869: 1867: 1864: 1861: 1858: 1855: 1852: 1849: 1846: 1844: 1841: 1839: 1836: 1835: 1831: 1829: 1827: 1823: 1822: 1821:The Big Short 1813: 1811: 1804: 1802: 1798: 1791: 1786: 1783: 1781: 1778: 1775: 1771: 1768: 1766: 1763: 1761: 1758: 1756: 1753: 1750: 1747: 1745: 1742: 1740: 1739:Deutsche Bank 1737: 1735: 1732: 1729: 1726: 1723: 1719: 1716: 1715: 1714: 1707: 1704: 1699: 1695: 1691: 1687: 1683: 1679: 1672: 1670: 1668: 1664: 1663:Deutsche Bank 1660: 1656: 1652: 1651:Merrill Lynch 1648: 1644: 1641:According to 1639: 1635: 1633: 1628: 1624: 1622: 1618: 1610: 1608: 1604: 1602: 1598: 1594: 1590: 1586: 1582: 1578: 1574: 1570: 1562: 1560: 1558: 1550: 1545: 1542: 1539: 1536: 1533: 1531: 1528: 1526: 1523: 1520: 1516: 1512: 1508: 1505: 1504: 1503: 1497: 1492: 1488: 1485: 1482: 1479: 1476: 1473: 1470: 1467: 1466: 1465: 1464: 1457: 1453: 1450: 1446: 1443: 1439: 1436: 1433: 1430: 1429: 1428: 1427: 1420: 1418: 1414: 1410: 1403: 1398: 1394: 1390: 1386: 1381: 1378: 1377: 1373: 1368: 1365: 1364: 1359: 1356: 1351: 1347: 1342: 1341: 1339: 1335: 1331: 1327: 1324: 1321: 1317: 1313: 1309: 1306: 1305: 1301: 1300: 1296: 1292: 1289: 1286: 1283: 1282: 1278: 1277: 1272: 1269: 1266: 1263: 1262: 1258: 1257: 1256: 1250: 1248: 1244: 1240: 1236: 1234: 1228: 1220: 1216: 1213: 1209: 1205: 1201: 1197: 1196: 1195: 1193: 1189: 1185: 1181: 1173: 1168: 1166: 1162: 1160: 1156: 1150: 1146: 1141: 1137: 1135: 1130: 1127: 1121: 1116: 1113: 1111: 1106: 1102: 1099: 1095: 1093: 1089: 1085: 1077: 1075: 1072: 1068: 1065: 1060: 1056: 1055:Merrill Lynch 1051: 1049: 1043: 1041: 1037: 1033: 1029: 1025: 1024:Merrill Lynch 1021: 1016: 1014: 1009: 1008:Michael Lewis 1005: 1001: 997: 996:down payments 992: 984: 979: 972: 967: 963: 959: 958:synthetic CDO 955: 951: 948: 945: 941: 936: 933: 929: 925: 921: 916: 913: 910: 905: 904: 903: 900: 898: 893: 888: 883: 881: 873: 871: 868: 864: 862: 855: 851: 845: 836: 828: 820: 813: 808: 801: 796: 792: 788: 785: 781: 777: 773: 769: 766: 763: 759: 755: 752: 749: 745: 741: 738: 737: 733: 731: 727: 724: 720: 715: 713: 709: 705: 701: 697: 693: 692:Lewis Ranieri 689: 685: 680: 678: 674: 670: 665: 662:In 1974, the 660: 658: 654: 650: 646: 638: 633: 631: 629: 625: 621: 615: 613: 609: 605: 601: 596: 594: 590: 586: 581: 579: 575: 571: 568: 564: 560: 548: 543: 541: 536: 534: 529: 528: 526: 525: 520: 517: 515: 512: 510: 507: 505: 502: 500: 497: 495: 492: 490: 487: 485: 482: 480: 477: 475: 472: 468: 465: 463: 460: 458: 455: 453: 450: 448: 445: 443: 440: 438: 435: 433: 430: 428: 425: 423: 420: 419: 418: 415: 413: 410: 408: 405: 403: 402:Eco-investing 400: 398: 395: 393: 390: 388: 385: 383: 380: 378: 377:Asset pricing 375: 373: 370: 368: 365: 363: 360: 359: 358: 357: 354:Related areas 352: 347: 344: 342: 339: 337: 334: 333: 332: 331: 328: 324: 318: 315: 313: 310: 309: 304: 301: 299: 296: 295: 293: 292: 289: 285: 280: 277: 275: 272: 270: 267: 265: 262: 260: 257: 255: 252: 250: 247: 245: 242: 240: 237: 236: 230: 229:Exchange rate 227: 225: 221: 220: 218: 209: 206: 204: 201: 199: 195: 194: 192: 188: 187: 184:Other markets 182: 177: 176:Watered stock 174: 172: 169: 167: 164: 162: 159: 157: 154: 152: 149: 147: 144: 142: 139: 137: 134: 133: 132: 131: 128: 124: 119: 115: 113: 110: 108: 105: 103: 100: 98: 95: 93: 90: 88: 85: 84: 83: 82: 79: 75: 70: 67: 63: 60: 58: 57:Public market 55: 54: 53: 52: 48: 44: 43: 40: 36: 32: 31: 19: 5504: 5406:Forward rate 5317:Total return 5205:Real options 5108:Ratio spread 5088:Naked option 5048:Debit spread 4879:Fixed income 4821:Strike price 4676: 4540:Institutions 4498:Bond options 4472: 4442:Yield spread 4334:Lottery bond 4264:Accrual bond 4190:Fixed income 4121: 4107: 4034: 4026: 4020: 4007: 3995:. Retrieved 3990: 3980: 3968:. Retrieved 3964:the original 3958: 3940: 3935: 3927: 3922: 3912: 3906: 3881:. Retrieved 3874:the original 3861: 3855:: 1220–1226. 3852: 3846: 3829: 3823: 3806: 3800: 3783: 3777: 3760: 3754: 3746: 3742: 3738: 3733: 3725: 3721: 3702: 3696: 3688: 3683: 3671: 3659: 3651: 3647: 3627: 3620: 3612: 3603: 3595: 3587: 3578: 3562: 3550: 3541: 3529: 3520: 3510: 3501: 3493:the original 3488: 3450:. Retrieved 3443:the original 3430: 3418:. Retrieved 3413: 3404: 3392:. Retrieved 3387: 3378: 3367:. Retrieved 3365:. 2007-11-05 3362: 3353: 3344: 3335: 3324:. Retrieved 3320: 3310: 3293: 3284: 3275: 3267: 3263: 3255:the original 3250: 3239: 3230: 3221: 3213: 3208: 3200: 3184: 3180: 3171: 3166: 3140:. Retrieved 3136:the original 3126: 3118: 3113: 3105: 3101: 3089: 3081: 3060: 3052: 3036: 3032: 3024: 3020: 3012: 3006: 2998: 2993: 2985: 2979: 2971: 2966: 2958: 2942: 2938: 2929: 2916: 2905:. Retrieved 2901:the original 2891: 2883: 2876:. Retrieved 2871: 2862: 2854: 2833: 2829: 2821: 2816: 2796: 2780: 2775: 2767: 2762: 2754: 2748: 2724: 2713:. Retrieved 2709:the original 2699: 2691: 2686: 2681: 2670:. Retrieved 2659: 2643:. FT Press. 2638: 2612: 2590: 2543: 2538: 2530: 2502: 2495: 2487: 2471: 2441: 2423: 2419: 2411: 2388:. Retrieved 2383: 2373: 2364: 2355: 2346: 2335:. Retrieved 2325: 2306: 2289: 2278:the original 2265: 2253: 2244: 2225: 2219: 2211: 2196: 2175: 2169: 2165: 2157: 2152: 2144: 2124:. Retrieved 2119: 2109: 2092: 2065: 2053:. Retrieved 2048: 2038: 2020: 2012: 2007: 1996: 1989:. Retrieved 1985:the original 1968:. Retrieved 1954: 1941:. Retrieved 1927: 1921: 1916: 1820: 1817: 1808: 1799: 1795: 1744:Equity Trust 1711: 1696: 1692: 1688: 1684: 1680: 1676: 1647:Bear Stearns 1640: 1636: 1629: 1625: 1614: 1605: 1593:pension fund 1566: 1554: 1509:securities ( 1501: 1462: 1461: 1442:fixed income 1425: 1424: 1415: 1411: 1407: 1372:delta-hedged 1357: 1338:credit event 1325: 1307: 1290: 1284: 1270: 1264: 1254: 1245: 1241: 1237: 1229: 1225: 1177: 1163: 1151: 1147: 1143: 1139: 1131: 1123: 1118: 1114: 1107: 1103: 1100: 1096: 1081: 1073: 1069: 1052: 1048:Bear Stearns 1044: 1017: 988: 901: 894: 890: 885: 877: 869: 865: 860: 857: 786: 767: 760:such as the 753: 739: 728: 716: 704:First Boston 681: 661: 642: 616: 597: 593:default risk 582: 562: 558: 556: 504:Market trend 479:Greenwashing 336:Participants 141:Growth stock 136:Common stock 127:Stock market 97:Fixed income 65: 5652:Bond market 5337:Zero Coupon 5267:Correlation 5215:Vanna–Volga 5073:Iron condor 4859:Bond option 4437:Yield curve 4397:Dirty price 4372:Clean price 4248:Global bond 4216:Senior debt 4206:Agency bond 4169:Bond market 4122:The Warning 3970:October 21, 3745:approach. ( 3303:write-downs 1792:Accountants 1780:Wells Fargo 1760:Sanne Trust 1728:BNP Paribas 1617:underwriter 1611:Underwriter 1577:unit trusts 1575:companies, 1573:mutual fund 1537:(REIT) debt 1481:CDO-Squared 1444:securities. 1395:(CDPC) and 1358:Hybrid CDOs 795:David X. Li 653:Freddie Mac 608:CDO-Squared 499:Market risk 312:Spot market 269:Reinsurance 264:Real estate 254:Mutual fund 191:Derivatives 161:Stockbroker 78:Bond market 5646:Categories 5611:Tax policy 5327:Volatility 5237:Amortising 5078:Jelly roll 5013:Box spread 5008:Backspread 5000:Strategies 4836:Volatility 4831:the Greeks 4796:Expiration 3883:2007-06-29 3452:2008-03-22 3369:2010-04-30 3326:2010-04-30 3203:, p. 94-7. 3142:2017-10-05 3064:see also: 2907:2009-02-23 2878:8 February 2715:2013-07-10 2672:2013-01-03 2604:transcript 2337:2008-10-05 2301:of Boston. 2126:31 January 2055:31 January 1978:See also: 1909:References 1824:, CDOs of 1701:See also: 1595:managers, 1251:Structures 1192:cash flows 1188:collateral 1155:Mark Zandi 966:hedge fund 952:, such as 944:Joe Nocera 928:ExxonMobil 848:See also: 776:Mark Zandi 744:securitize 700:Larry Fink 669:Fannie Mae 645:Ginnie Mae 639:Beginnings 585:"tranches" 567:structured 341:Regulation 69:Securities 5302:Inflation 5252:Commodity 5210:Trinomial 5145:Bachelier 5137:Valuation 5018:Butterfly 4952:Commodore 4801:Moneyness 4377:Convexity 4185:Debenture 3786:: 12–13. 3285:Bloomberg 3084:, p. 124. 2974:, p. 127. 2970:see also 2114:Azad, C. 2043:Azad, C. 1805:Attorneys 1722:JP Morgan 1659:Citigroup 1563:Investors 1491:CDO cubed 1387:, and/or 1308:Cash CDOs 1204:portfolio 1078:Criticism 1059:Citigroup 1020:Citigroup 983:principal 932:Microsoft 723:corporate 677:redlining 598:Separate 442:corporate 417:Financial 239:Commodity 5441:Slippage 5371:Contango 5355:Forwards 5322:Variance 5282:Dividend 5277:Currency 5190:Margrabe 5185:Lattices 5164:equation 5150:Binomial 5098:Strangle 5093:Straddle 4990:Swaption 4972:Lookback 4957:Compound 4899:Warrants 4874:European 4854:American 4846:Vanillas 4811:Pin risk 4791:Exercise 4452:Z-spread 4407:I-spread 4402:Duration 4089:Archived 3892:cite web 3570:(2005). 3461:cite web 3363:BBC News 2805:Archived 2563:Archived 2314:Archived 1832:See also 1774:Wachovia 1734:Citibank 1655:Wachovia 1404:Taxation 810:Source: 783:ratings. 712:tranches 620:BBB or A 467:services 457:personal 452:forecast 422:analysis 346:Clearing 298:Forwards 224:Currency 62:Exchange 5360:Futures 4980:Rainbow 4947:Cliquet 4942:Chooser 4922:Barrier 4909:Exotics 4771:Options 4628:Tranche 4561:(SIFMA) 3997:16 July 3943:, 1026. 3930:, 1023. 3838:2511541 3815:2511541 3792:2511541 3769:2511541 3521:Fortune 3489:Reuters 3420:May 24, 3394:May 24, 3251:Reuters 2390:11 July 2178:, p.127 2101:2511541 1991:13 July 1970:13 July 1943:13 July 1770:US Bank 1174:Concept 696:Salomon 474:Fintech 437:betting 427:analyst 327:Trading 303:Options 5421:Margin 5287:Equity 5180:Heston 5083:Ladder 5033:Condor 5028:Collar 4985:Spread 4932:Binary 4927:Basket 4555:(ICMA) 4549:(CMSA) 4382:Coupon 4284:Consol 3836: 3832:: 19. 3813: 3809:: 13. 3790: 3767: 3763:: 42. 3709: 3635: 2647: 2510: 2449: 2232: 2174:, aka 2099: 2095:: 17. 1998:loans. 1665:, and 1208:assets 915:Supply 698:) and 589:coupon 462:public 259:Option 64: 5292:Forex 5247:Basis 5242:Asset 5229:Swaps 5155:Black 5058:Fence 4917:Asian 4779:Terms 4703:(CFO) 4697:(CLO) 4691:(CBO) 4685:(CMO) 4679:(CDO) 4673:(CDS) 4662:(MBS) 4656:(ABS) 3877:(PDF) 3870:(PDF) 3575:(PDF) 3538:(PDF) 3446:(PDF) 3439:(PDF) 2926:(PDF) 2739:(PDF) 2731:Alt-A 2281:(PDF) 2274:(PDF) 2075:(PDF) 2030:(PDF) 1964:(PDF) 1937:(PDF) 1862:(CLO) 1856:(CFO) 1850:(CMO) 1487:CDO^n 1421:Types 1350:LIBOR 1219:bonds 1036:Ambac 973:Crash 447:crime 432:asset 317:Swaps 249:Money 156:Stock 5126:Bull 5122:Bear 4864:Call 4180:Bond 3999:2013 3972:2012 3898:link 3834:SSRN 3811:SSRN 3788:SSRN 3765:SSRN 3707:ISBN 3633:ISBN 3579:NBER 3467:link 3422:2010 3396:2010 2880:2014 2645:ISBN 2508:ISBN 2447:ISBN 2392:2013 2230:ISBN 2128:2018 2097:SSRN 2057:2018 1993:2013 1972:2013 1945:2013 1755:HSBC 1615:The 1057:and 1040:MBIA 1026:and 998:and 956:and 942:and 852:and 387:Bull 4894:Put 4128:PBS 3414:BBC 3388:CNN 3321:CNN 2616:of 2600:CPM 2596:NPR 1955:ABS 1318:or 1120:... 1088:IMF 1032:AIG 1028:UBS 964:or 930:or 614:". 563:CDO 412:ESG 244:ETF 5648:: 5124:, 4884:FX 4106:, 3989:. 3948:^ 3894:}} 3890:{{ 3594:, 3577:. 3540:. 3519:. 3487:. 3475:^ 3463:}} 3459:{{ 3412:. 3386:. 3361:. 3343:. 3319:. 3283:. 3249:. 3229:. 3192:^ 3151:^ 3073:^ 3044:^ 2950:^ 2928:. 2882:. 2870:. 2841:^ 2785:, 2743:). 2625:^ 2602:. 2598:. 2588:. 2573:^ 2551:^ 2522:^ 2479:^ 2461:^ 2431:^ 2400:^ 2382:. 2297:, 2204:^ 2183:^ 2136:^ 2118:. 2083:^ 2047:. 1995:. 1724:), 1661:, 1657:, 1653:, 1649:, 1591:, 1587:, 1583:, 1579:, 1571:, 1517:, 1314:, 1198:A 1112:. 1042:. 1038:, 1034:, 1022:, 789:– 630:. 557:A 5166:) 5162:( 5128:) 5120:( 4746:e 4739:t 4732:v 4594:e 4587:t 4580:v 4161:e 4154:t 4147:v 4124:" 4120:" 4001:. 3974:. 3915:. 3900:) 3886:. 3840:. 3817:. 3794:. 3771:. 3715:. 3678:. 3666:. 3641:. 3523:. 3469:) 3455:. 3424:. 3398:. 3372:. 3329:. 3216:. 3145:. 3096:. 3068:. 2910:. 2857:. 2811:. 2741:. 2718:. 2675:. 2653:. 2620:. 2606:. 2516:. 2455:. 2394:. 2340:. 2320:. 2260:. 2238:. 2130:. 2103:. 2077:. 2059:. 2032:. 1974:. 1949:. 1947:. 1521:) 1451:. 1011:" 946:. 702:( 694:( 618:( 561:( 546:e 539:t 532:v 231:) 222:( 210:) 196:( 66:· 20:)

Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.

Knowledge

Collateralized debt obligation

Index