Synthetic CDOs

A trick of the credit tail

Leveraged super-senior (LSS) trades represent a mechanism for packaging senior credit risk. Many LSS structures have been issued to date and yet there seems to be no formal pricing approach. In this article, Jon Gregory discusses the valuation of LSS…

Nightmare on North St

Amid countless other subprime-related lawsuits, a showdown is currently taking place between HSH Nordbank and UBS over a stricken collateralised debt obligation, named North Street. The case raises questions about practices employed at banks and across…

I will survive

Jon Gregory and Jean-Paul Laurent apply an analytical conditional dependence framework to the valuation of default baskets and synthetic CDO tranches, matching Monte Carlo results for pricing and showing significant improvement in the calculation of…

Singapore’s UOBAM manages third synthetic CDO

Singapore’s UOB Asset Management (UOBAM) has once again moved into the synthetic collateralised debt obligation (CDO) market, managing its third transaction deal in eight months. This time, Goldman Sachs is the co-arranger of the transaction with UOB,…

Westpac launches CDO of CDOs

Australian bank Westpac has closed a $1.25 billion synthetic collateralised debt obligation (CDO) backed by a pool of structured finance transactions. The deal, arranged by JP Morgan Chase, is thought to be the first such structure issued in Asia-Pacific.

JP Morgan Chase markets CDO with equity puts in Asia

JP Morgan Chase has begun marketing synthetic collateralised debt obligations (CDOs) with embedded equity put options to a small number of investors in Asia-Pacific. This type of structure is aimed at sidestepping the sometimes-thorny issue of…