Академический Документы
Профессиональный Документы
Культура Документы
Portfolio 1,000
Return 2.30%
Conventional Synthetic
Tranche Rating Notional Percentage Spread Notional
SS - 750
A AAA 770 77.0% 0.45% 110
B AA 140 14.0% 1.00% 50
C BBB 50 5.0% 3.00% 50
Equity 40
Equity Spread 12.22%
Percentage Spread
75.0% 0.15%
11.0% 0.45%
5.0% 1.00%
5.0% 3.00%
0.362%
23,000,000
3,475,200
12,000,000
7,524,800
18.81%
CDO Overcollateralisation Effects
131% 64 134%
107% 16 108%
102% 4 102%
2
86
Standard & Poor's Rated Overcollateralisation (ROC) Benchmark
Assets :
Senior & Subordinated Loans 300
Minimum Weighted Recovery 35%
AAA Default Rate (Scenario) 36%
BBB Default Rate (Scenario) 24%
Liabilities :
Class A (AAA) 240
Class B (BBB) 36
Prefs (U/R) 24
Total 300
Tranches :
Notes Rating Amount %
Senior Facility AA 400 40%
Senior Notes AA 200 20%
Senior Subordinated A 120 12%
Subordinated BBB 80 8%
Equity NR 200 20%
Total 1000 100%
AA Tranche
MV % Advance Rate
Bank loans MV >90% 180 18% 90%
Investment Grade Corporate Bonds 70 7% 88%
Bank Loans BB- MV 70-80% 500 50% 75%
Bank loans CCC+ 100 10% 60%
Equity 150 15% 50%
Total 1000 100%
Total Senior Debt Face Value
Borrowing Amount Surplus
Overcollateralisation
A Tranche
MV % Advance Rate
Bank loans MV >90% 180 18% 91%
Investment Grade Corporate Bonds 70 7% 91%
Bank Loans BB- MV 70-80% 500 50% 85%
Bank loans CCC+ 100 10% 72%
Equity 150 15% 71%
Total 1000 100%
Total Senior Debt Plus Senior Sub.
Borrowing Amount Surplus
Overcollateralisation
BBB Tranche
MV % Advance Rate
Bank loans MV >90% 180 18% 93%
Investment Grade Corporate Bonds 70 7% 94%
Bank Loans BB- MV 70-80% 500 50% 87%
Bank loans CCC+ 100 10% 79%
Equity 150 15% 78%
Total 1000 100%
Total Debt
Borrowing Amount Surplus
Overcollateralisation
eralisation and Minimum Net Worth
Advance Rates :
AAA AA A
Cash 100% 100% 100%
Govt Secs 2-10 Year 95% 95% 95%
Bank loans MV >90% 86% 90% 91%
Investment Grade Corp Bonds. 85% 88% 91%
Bank Loans MV 80-90% BB- 73% 81% 87%
Bank Loans MV 70-80% BB- 69% 75% 85%
Bank Loans CCC+ 52% 60% 72%
Investment Grade CB's 60% 70% 80%
Non investment Grade CB's 52% 64% 76%
Equity 40% 50% 71%