JPMORGAN CDO 2001 HAND BOOK.pdf

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1、NewYorkJ.P.MorganSecuritiesInc.May29,2001GlobalStructuredFinanceResearchDouglasLucas(1-212)834-5535douglas.j.lucas@chase.comGlobalStructuredFinanceResearchwww.morganmarkets.comCDOHandbookCONTENTSOverviewOverview....................1GlobalCDOissuancehasaveraged$137billionperyearforthelastth

2、reeyears.Introduction...................2Inthecontextofasset-backedsecurities(ABS),thisfigureisaboutone-halfofAssets,Tranches,Purposes,CreditpublicandprivateU.S.issuance.Thissustainedlevelofactivityisremarkable,Structures....................4TypicalStructures..............8giventhatannualv

3、olumeneverexceeded$4billionuntil1996.WeestimateWhyDoCDOsExistandWhyDooutstandingCDOvolumeat$500billion.ThecurrentstatusofCDOsisduetoInvestorsBuyThem?...........11theacceptanceoftheproductbyinvestorsandcreditriskhedgers.MarketValueCreditStructure....15CashFlowCreditStructure......18Thisrepo

4、rtisacomprehensiveintroductiontoCDOs.Itaddresses:SyntheticCDOs..............24PartiestoaCDO..............27thestructuralcomponentsofCDOs;LegalConsiderations...........31AccountingConsiderations......37typicalCDOs;TaxConsiderations............40whyCDOsexist;GlossaryandNotes............42Rat

5、ingAgencyPublications......49thecashflowandmarketvaluecreditstructures;AssetManagersandSellers......50syntheticCDOs;CHRISTOPHERFLANAGANtheassetmanagerandotherpartiestoaCDO;Head,GlobalStructuredFinanceResearchlegal,accounting,andtaxconsiderations;CDORESEARCHCDOterminology.DouglasLucas(1-212

6、)834-5535douglas.j.lucas@chase.comChart1ThomasSam(1-212)648-6794CDOIssuancesam_thomas@jpmorgan.com(US$billions)ASSET-BACKEDRESEARCH$160RyanAsato(1-212)834-5760$140ryan.asato@chase.comLindaFeinne(1-212)648-2580$120feinne_l@jpmorgan.com$100ChristopherFlanagan(1-212)834-5520christopher.t.flan

7、agan@chase.com$80CarmenGellineau(1-212)648-3837$60gellineau_carmen@jpmorgan.comTingKo(1-212)834-5629$40ting.ko@chase.com$20AmySze(1-212)648-6769sze_amy@jpmorgan.com$0DmitryYakimchuk(1-212)648-6781yakimchuk_dmitry@jpmorgan.com19871988198919901991199219931994199