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1、CHAPTERTHIRTYCASH-COLLATERALIZEDDEBTOBLIGATIONSLAURIES.GOODMAN,PH.D.ManagingDirectorCo-HeadofGlobalFixedIncomeUBSFRANKJ.FABOZZI,PH.D.,CFA,CPAFrederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversityDOUGLASJ.LUCASDirector,HeadofCDOResearchUBSAcollateralizeddebtobligatio
2、n(CDO)isanasset-backedsecurity(ABS)backedbyadiversifiedpoolofoneormoreofthefollowingtypesofdebtobli-gations:investment-gradeandhigh-yieldcorporatebonds,emergingmarketbonds,residentialmortgage-backedsecurities(RMBS),commercialmortgage-backedsecurities(CMBS),asset-backedsecurities(ABS)
3、,realestateinvest-menttrusts(REIT)debt,bankloans,special-situationloansanddistresseddebt,orotherCDOs.Whentheunderlyingpoolofdebtobligationsconsistsofbond-typeinstruments,aCDOisreferredtoasa“collateralizedbondobliga-tion”(CBO).TheseCDOsareclassifiedascorporatebond–backedCDOs,emergingm
4、arket–backedCDOs,andstructuredfinance–backedCDOs.ThecollateralforthelatterincludesRMBS,CMBS,ABS,andREITdebt.Whentheunderlyingpoolofdebtobligationsisbankloans,aCDOisreferredtoasa“collateralizedloanobligation”(CLO).InthischapterweexplainthebasicCDOstructure,thetypesofCDOs,therisksassoc
5、iatedwithinvestinginCDOs,andthegeneralprinciplesforcreatingaportfolioofCDOs.OurfocusisononetypeofCDO:cashCDOs.Chapter31coversanothertypeofCDO:syntheticCDOs.669Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.670PART3SecuritiesEXHIBIT30
6、–1CDOFamilyTreeCDOCashCDOSyntheticCDOBalancesheet–Balancesheet–Arbitrage-drivenArbitrage-drivendrivendrivenCash-flowCDOMarket-valueCDOCash-flowCDOFAMILYOFCDOSTheCDOfamilyisshowninExhibit30–1.WhileeachCDOshownintheexhibitwillbediscussedinmoredetailbelow,wewillprovideanoverviewhere.Th
7、efirstdistinctionintheCDOfamilyisbetweencashCDOsandsynthet-icCDOs.AcashCDOisbackedbyapoolofcash-marketdebtinstruments.TheseweretheoriginaltypesofCDOsissued.AsyntheticCDOisaCDOwheretheinvestorhaseconomicexposuretoapoolofdebtinstruments,butthisexposureisrealizedviacredit-derivativeinst
8、rumentsratherthanth
