Credit Derivatives
« Previous EntriesCollateralized Mortgage Obligation (CMO)
Sunday, October 2nd, 2011A note or bond or tranches of notes and/or bonds that an SPV (q.v.) issues, in order to raise money to buy mortgage loans that serve as collateral for the note(s). Application: The CMO gets the bonds off the balance sheet of the CMO’s creator, thus eliminating credit exposure, in return for cash, and allows the [...]
Collateralized Loan Obligation (CLO)
Thursday, September 29th, 2011A note or bond or tranches of notes and/or bonds that an SPV (q.v.) issues, in order to raise money to buy loans that serve as collateral for the SPV obligations. Application: The CLO gets the loans and attendant exposure off the balance sheet of the SPV’s creator, in return for cash, and allows the creator [...]
Collateralized Bond Obligation (CBO)
Tuesday, September 27th, 2011A note or bond or tranches of notes and/or bonds that an SPV (q.v.) issues, in order to raise money to buy bonds that serve as collateral for the SPV obligations. Application: The CBO gets the bonds off the balance sheet of the SPV’s creator, in return for cash, and allows the creator to structure collateral [...]
Chase Secured Loan Trust Note (CLST)
Sunday, September 25th, 2011Chase Bank’s preferred vehicle for transferring a large amount of diverse credit risk into an SPV.
Bond Insurance
Friday, September 23rd, 2011An insurance contract that promises the bondholder a payment (maybe not payment in full) in case the debtor defaults.
Bond Guarantee
Thursday, September 22nd, 2011A contract that puts the guarantor in place of the debtor, in case of debtor’s default. Thus, a guarantee seems to promise payment in full of the bond’s interest and principal and is like bond insurance (q.v.) that pays off enough to make the borrower whole. Of course, we have to ask, “Who guarantees the [...]
BISTRO
Wednesday, September 21st, 2011Definition: An acronym for either of the following, depending on who’s talking and who might be listening. 1. Broad Index Secured Trust Offering. J.P.Morgan’s preferred vehicle for transferring a significant amount of diverse credit risk to an SPV. 2. BIS Total Rip Off. An alternative definition of unknown meaning.
Asset Swap
Tuesday, September 20th, 2011The purchase of a fixed rate instrument, plus a position of paying fixed and receiving floating in an interest rate swap of the same maturity. A dealer ordinarily arranges both the sale and the swap. Example: An investor who wants to buy Freddie Mac debt with a floating coupon might buy Freddie Mac’s fixed rate debt [...]
ISDA verteidigt Kreditderivate
Saturday, December 19th, 2009– Der Vorwurf vieler Kritiker lautet: Mit CDS-Kontrakten werden Unternehmen bewusst in die Pleite getrieben, weil die Derivatehändler mehr verdienen bei einer gelungenen Restrukturierung. Diese Behauptung wurde aufgestellt beim Autobauer General Motors (GM), ist aber heute noch populär. Goldman Sachs treibe die US-Truckinggesellschaft YRC Worldwide mit Kreditderivaten an den Rand der Pleite, warf James Hoffa, [...]
Total Return Swap (TRS)
Tuesday, September 22nd, 2009Bei einem Total Return Swap leitet der Total Return Payer (Sicherungsnehmer) an den Total Return Receiver (Sicherungsgeber) den “Total Return“ aus dem dem TRS zugrundeliegenden Referenzaktivums weiter und erhält dafür vom Sicherungsgeber eine Swapprämie. Der Total Return setzt sich aus den aus dem Referenzaktivum resultierenden Zinszahlungen sowie einmaligen oder regelmäßigen Ausgleichszahlungen auf die Kursunterschiede des [...]
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