CDO squared

A CDO in which the underlying asset pool contains tranches of other CDOs.

CDO Squared

Slang; a collateralized debt obligation collateralized by other collateralized debt obligations rather than directly by debt. A CDO squared may have less risk than a regular CDO, as it has more underlying debts.

References in periodicals archive ?

The really complex products like CDO squared, which has such a remote link from the asset that you can't tell when it is defaulting, can't happen in Islamic finance because debt cannot qualify as an asset," said Dubai-based law firm Clifford Chance head of capital markets Debashis Dey.

Credit crisis may boost Islamic banks

The CDO squared bonds are made up of middle or mezzanine tranches of the CDO asset-backed securities and are also sold in tranches," Dinallo said.

Bond bind: Dinallo cites CDO's, securitization testimony to congress

No master level CDO squared tranches would suffer losses in the 40% recovery stress; however, master level credit enhancement levels would erode or cross subordination mechanisms would begin to absorb losses in 45 tranches of CDO squareds.

Fitch: CDO Ratings Currently Reflect Potential CIT Loss

An analysis of the current CDO valuation approaches, such as the One-Factor Gaussian Copula Model, Copula extensions, Levy processes, Markov Models, as well as CDO squared and CPDO valuation.

The Definitive Guide to CDOs

Tigris 2007-1 is a cash flow SF CDO squared (CDO of CDOs) that closed on March 15, 2007 and is managed by Harding Advisory LLC.

Fitch Downgrades $642MM from Tigris CDO 2007-1, Ltd/LLC

Fitch rates four CDO squared transactions that use fixed recovery rates for the reference assets.

Fitch: Effect of Fannie & Freddie Credit Event on CDOs Likely To Be Muted

Awasthi ran the CDO Squared platform on the structuring side at Citigroup, where he specialized in complex cash/synthetic transactions across the bank debt and structured credit space.

Broadpoint Expands Mortgage and Asset Backed Division, Broadpoint DESCAP

The impairments and loss reserves are expressed on a net present value basis and are expected to be paid out over the next four years for direct and multi-sector CDO squared exposures, and up to 30 to 40 years for the Company's insured multi-sector collateralized debt obligations ("CDOs").

MBIA Inc. Reports First Quarter 2008 Financial Results

The four CDOs include a CDO squared (closed), a domestic collateralized loan obligation ("CLO") (priced), a European CLO (priced) and a mezzanine ABS CDO (priced).

ACA Capital Expected To Add Approximately $2.8 Billion in Assets Under Management During the 2nd Quarter

It was also lauded for innovation, with such deals as the fully synthetic CDO squared Visage transaction and the Westways series, which contained an innovative use of convexity trades with little or no credit risk within the CDO structure.

TCW Named CDO Manager of the Year

Fitch modelled the risk of the unwind features using its default VECTOR tool as for a CDO squared transaction, with each annual unwind trigger being input as a separate inner CDO with the relevant loss level and maturity.

Fitch Expect to Rate STARTS Series 2005-VIII-15, -16 and -17 'AAA'

3; questions 9-14 are questions relating to CDO squared transactions; and questions 15-17 are troubleshooting questions.