Research

Updated April 2008 for 2008q1

The Association and Thomson Financial have worked to produce global CDO issuance data, which the Association will publish on a quarterly basis.

CDO issuance is broken down as follows:

Structure - Cash Flow/Hybrid v. Synthetic-funded v. Market Value

Cash flow CDOs are structured to pay off liabilities with the interest and principal payments (cash flows) of their collateral. Hybrid deals utilize the funding structures of both cash and synthetic CDOs.
Synthetic CDOs sell credit protection via credit default swaps (CDS) rather than purchase cash assets. Synthetic CDOs use credit default swaps (CDS) to synthetically replicate a cash flow CDO. Funded tranches require the deposit of cash to an SPV at the inception of the deal to collateralize portions of the SPV's potential swap obligations in the transaction; losss result in principal writedowns of the issued notes.
Market value CDOs are structured to support liabilities through the value of collateral

Purpose - Arbitrage v. Balance Sheet

Arbitrage CDOs attempt to capture the mismatch between the yields of assets (CDO collateral) and the financing costs of the generally higher rated liabilities (CDO tranches).
Balance sheet CDOs remove assets or the risk of assets off the balance sheet of the originator. Balance sheet CDOs may be cash or synthetic. In cash deals they are used to move assets off of a balance sheet (frequently to reduce regulatory capital requirements, among other reasons, similar to traditional ABS securitizations). In synthetic deals, the risk is moved off balance sheet by the originator 's purchasing protection from the SPV through CDS.

Term - Long term v. Short term

Long term tranches are defined as tranches with maturities of greater than 18 months.
Short term tranches are defined as tranches with maturities of less than 18 months.

Underlying Collateral

Investment grade loans are defined as loans with ratings at or above Baa3 from Moody's or BBB- from S&P.
High Yield Loans are defined for the purposes of this exercise as transactions of borrowers with senior unsecured debt ratings at financial close below Baa3 from Moody's or BBB- from S&P.
Investment grade bonds are defined as bonds with ratings equal to or above above Baa3 from Moody's or BBB- from S&P.
High Yield Bonds are defined as bonds with ratings below Baa3 from Moody's or BBB- from S&P.
Structured Finance collateral includes assets such as RMBS, CMBS, CMOs, ABS, CDOs, CDS, and other securitized/structured products.
If a CDO has 51% or more of a single collateral type, it goes into that bucket, otherwise it goes into 'Mixed Collateral'.
Other Swaps are non-CDS which are collateral for a transaction.
'Other' includes collateral such as funds, insurance receivables, cash, and assets that are not captured by the other categories shown above.

Currency

Aggregate issuance is broken out by currency of issuance: US Dollar, Euro, Yen, Pounds Sterling, and Other

This data will be updated shortly after the end of each quarter. Please contact Chris Killian at 212.313.1126 or Sean Davy at 212.313.1118 for more information.