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- W2049855870 abstract "The term “hybrid” refers to CDO assets being comprised of both ABS credit default swaps (CDS) and asset-backed securities (ABS) cash bonds. This article reviews the advantages of the hybrid ABS CDO structure: increased access to collateral, more diversified portfolios, shorter collateral ramp-up periods, diminishment of available funds cap risk, flexibility to switch from cash to synthetic assets to take advantage of negative or positive basis, and cheap super-senior credit protection. The article then reviews four cash flow challenges faced by structurers of hybrid ABS CDOs. First, hybrid CDOs make CDS protection payments by drawing upon their reserve funds and super senior tranches. Second, during the reinvestment phase of a CDO, CDS amortization can be reinvested in new CDS or used to free up the reserve fund or the unfunded super-senior tranche to allow the purchase of cash ABS. During the CDO9s amortization period, ABCDS amortization can be used to amortize the unfunded super-senior tranche or free up the reserve fund to amortize the CDO9s cash liabilities. Third, cash asset amortization is first available for unpaid expenses and deferred interest on CDO liabilities. During the reinvestment period, if cash amortization is not used to purchase new cash assets, it must first be used to pay down the funded super-senior tranche and then to increase the reserve fund. Either use allows the CDO to sell additional CDS protection. Finally, in trading CDS, the CDO manager has to choose among termination, assignment, and offset. Offset is more commonly available, but carries with it operational burdens and prepayment or extension risk. <b>TOPICS:</b>Asset-backed securities, credit default swaps, credit risk management" @default.
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- W2049855870 date "2006-10-31" @default.
- W2049855870 modified "2023-09-25" @default.
- W2049855870 title "Hybrid Assets in an ABS CDO" @default.
- W2049855870 doi "https://doi.org/10.3905/jsf.2006.661440" @default.
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