• 00:00 1.
    Lecture 8擔保債權憑證Collateralized Debt Obligation
  • 03:00 2.
    BASICS
  • 06:20 3.
    CDO Issuance and Outstanding
  • 07:21 4.
    BASICS
  • 08:00 5.
    BASICS
  • 14:37 6.
    CDO 分類
  • 15:57 7.
    CDO依動機分類
  • 16:20 8.
    依信用架構分類
  • 17:20 9.
    依風險暴露方式分類
  • 18:09 10.
    Slide 10
  • 18:16 11.
    Slide 11
  • 18:19 12.
    CBO/CLO/CDO發行架構
  • 22:24 13.
    CBO/CLO/CDO發行架構
  • 23:08 14.
    CBO/CLO/CDO風險
  • 23:10 15.
    CBO/CLO/CDO發行架構
  • 23:11 16.
    CBO/CLO/CDO風險
  • 23:12 17.
    CBO/CLO/CDO發行架構
  • 25:26 18.
    CBO/CLO/CDO風險
  • 30:32 19.
    CBO/CLO/CDO信評重點
  • 35:02 20.
    評等重點(A)
  • 37:49 21.
    評等重點(B)
  • 40:21 22.
    Slide 18
  • 40:32 23.
    C) 壓力測試:現金流量型
  • 44:04 24.
    C) 壓力測試:現金流量型
  • 44:15 25.
    C) 壓力測試:現金流量型
  • 44:21 26.
    Fitch stress default rate (%)(Midpoint stress default rates for corporate bonds. Loan default rate would be slightly lower)
  • 44:22 27.
    C) 壓力測試:現金流量型
  • 45:09 28.
    Fitch stress default rate (%)(Midpoint stress default rates for corporate bonds. Loan default rate would be slightly lower)
  • 46:39 29.
    Slide 23
  • 46:49 30.
    Fitch stress default rate (%)(Midpoint stress default rates for corporate bonds. Loan default rate would be slightly lower)
  • 49:01 31.
    Slide 23
  • 49:02 32.
    Fitch stress default rate (%)
  • 49:03 33.
    Slide 23
  • 49:04 34.
    Fitch stress default rate (%)(Midpoint stress default rates for corporate bonds. Loan default rate would be slightly lower)
  • 51:06 35.
    Slide 23
  • 51:18 36.
    Fitch stress default rate (%)
  • 54:30 37.
    Fitch Recovery Assumptions (%)
  • 56:19 38.
    Front Loaded Stress Test
  • 56:35 39.
    Backed Loaded Stress Test
  • 56:40 40.
    Front Loaded Stress Test
  • 56:57 41.
    Fitch Recovery Assumptions (%)
  • 56:58 42.
    Fitch stress default rate (%)
  • 57:02 43.
    Slide 23
  • 57:03 44.
    Fitch stress default rate (%)(Midpoint stress default rates for corporate bonds. Loan default rate would be slightly lower)
  • 58:08 45.
    Slide 23
  • 58:09 46.
    Fitch stress default rate (%)
  • 58:10 47.
    Fitch Recovery Assumptions (%)
  • 58:11 48.
    Front Loaded Stress Test
  • 59:51 49.
    Backed Loaded Stress Test
  • 1:00:09 50.
    Front Loaded Stress Test
  • 1:00:09 51.
    Fitch Recovery Assumptions (%)
  • 1:00:10 52.
    Fitch stress default rate (%)
  • 1:00:12 53.
    Fitch Recovery Assumptions (%)
  • 1:00:13 54.
    Front Loaded Stress Test
  • 1:00:13 55.
    Backed Loaded Stress Test
  • 1:00:16 56.
    Front Loaded Stress Test
  • 1:00:16 57.
    Fitch Recovery Assumptions (%)
  • 1:00:17 58.
    Fitch stress default rate (%)
  • 1:01:30 59.
    Fitch Recovery Assumptions (%)
  • 1:01:31 60.
    Front Loaded Stress Test
  • 1:01:32 61.
    Backed Loaded Stress Test
  • 1:02:12 62.
    Interest Coverage Test
  • 1:04:58 63.
    C) 壓力測試:市場價值型
  • 1:05:18 64.
    C) 壓力測試:市場價值型
  • 1:06:46 65.
    Over-Collateralization Test
  • 1:06:52 66.
    Fitch Advance Rates
  • 1:07:31 67.
    How to Construct MV CDO
  • 1:07:33 68.
    Fitch Advance Rates
  • 1:08:15 69.
    How to Construct MV CDO
  • 1:08:17 70.
    Fitch Advance Rates
  • 1:10:47 71.
    How to Construct MV CDO
  • 1:11:51 72.
    Fitch Advance Rates
  • 1:11:56 73.
    How to Construct MV CDO
  • 1:12:08 74.
    Fitch Advance Rates
  • 1:12:28 75.
    How to Construct MV CDO
  • 1:12:32 76.
    Fitch Advance Rates
  • 1:12:45 77.
    Over-Collateralization Test
  • 1:12:47 78.
    Fitch Advance Rates
  • 1:12:47 79.
    How to Construct MV CDO
  • 1:13:17 80.
    Fitch Advance Rates
  • 1:13:17 81.
    Over-Collateralization Test
  • 1:13:18 82.
    Fitch Advance Rates
  • 1:13:31 83.
    How to Construct MV CDO
  • 1:13:58 84.
    How To Construct MV CDO
  • 1:14:00 85.
    How to Construct MV CDO
  • 1:14:25 86.
    How To Construct MV CDO
  • 1:14:25 87.
    Minimum Net Worth Test AND Mark to market Requirement
  • 1:14:26 88.
    How To Construct MV CDO
  • 1:14:27 89.
    How to Construct MV CDO
  • 1:16:03 90.
    How To Construct MV CDO
  • 1:16:23 91.
    How to Construct MV CDO
  • 1:17:21 92.
    How To Construct MV CDO
  • 1:17:58 93.
    How to Construct MV CDO
  • 1:18:19 94.
    How To Construct MV CDO
  • 1:18:59 95.
    How to Construct MV CDO
  • 1:19:12 96.
    How To Construct MV CDO
  • 1:19:56 97.
    How to Construct MV CDO
  • 1:20:03 98.
    How To Construct MV CDO
  • 1:20:15 99.
    How to Construct MV CDO
  • 1:20:18 100.
    How To Construct MV CDO
  • 1:20:51 101.
    Minimum Net Worth Test AND Mark to market Requirement
  • 1:21:46 102.
    How To Construct MV CDO
  • 1:22:29 103.
    Minimum Net Worth Test AND Mark to market Requirement
  • 1:22:41 104.
    How To Construct MV CDO
  • 1:22:54 105.
    How to Construct MV CDO
  • 1:22:57 106.
    How To Construct MV CDO
  • 1:23:15 107.
    Minimum Net Worth Test AND Mark to market Requirement
  • 1:24:01 108.
    Slide 35
  • 1:24:02 109.
    Minimum Net Worth Test AND Mark to market Requirement
  • 1:24:21 110.
    How To Construct MV CDO
  • 1:24:28 111.
    How to Construct MV CDO
  • 1:25:31 112.
    How To Construct MV CDO
  • 1:25:32 113.
    Minimum Net Worth Test AND Mark to market Requirement
  • 1:25:45 114.
    How To Construct MV CDO
  • 1:25:54 115.
    Minimum Net Worth Test AND Mark to market Requirement
  • 1:25:56 116.
    Slide 35
  • 1:29:07 117.
    群益證券債券資產證券化計畫摘要
  • 1:29:12 118.
    群益證券債券資產證券化(CBO)特點
  • 1:29:17 119.
    參與機構
  • 1:29:19 120.
    CBO證券化架構概述
  • 1:30:14 121.
    資產池還款資金流架構
  • 1:30:25 122.
    信託終止事由發生前之分配
  • 1:31:18 123.
    信用增強方式
  • 1:31:25 124.
    受益證券預計發行條件
  • 1:31:36 125.
    標的債券發行條件－93工銀貸一
  • 1:31:45 126.
    標的債券產業分布
  • 1:31:47 127.
    標的債券信用評等分布
  • 1:31:48 128.
    標的債券產業分布
  • 1:31:49 129.
    標的債券發行條件－93工銀貸一
  • 1:31:54 130.
    受益證券預計發行條件
  • 1:31:56 131.
    信用增強方式
  • 1:31:58 132.
    信託終止事由發生前之分配
  • 1:31:59 133.
    信用增強方式
  • 1:32:00 134.
    受益證券預計發行條件
  • 1:32:00 135.
    標的債券發行條件－93工銀貸一
  • 1:32:14 136.
    標的債券產業分布
  • 1:32:30 137.
    標的債券信用評等分布
  • 1:32:32 138.
    Synthetic CDO
  • 1:37:02 139.
    信用違約交換契約(credit default swap)
  • 1:38:06 140.
    CDS: Credit Event
  • 1:39:36 141.
    CDS: Credit Event
  • 1:39:59 142.
    CDS: Credit Event
  • 1:40:05 143.
    CDS: Credit Event
  • 1:40:07 144.
    Slide 53
  • 1:40:09 145.
    Slide 54
  • 1:40:11 146.
    Synthetic CDO
  • 1:40:28 147.
    Credit Default Swap
  • 1:41:14 148.
    Credit Linked Notes
  • 1:41:44 149.
    Credit Default Swap
  • 1:42:23 150.
    Credit Linked Notes
  • 1:46:19 151.
    Unfunded Synthetic CDO
  • 1:46:20 152.
    Funded Synthetic CDO架構
  • 1:46:21 153.
    Unfunded Synthetic CDO
  • 1:46:21 154.
    Credit Linked Notes
  • 1:48:52 155.
    Unfunded Synthetic CDO
  • 1:48:53 156.
    Credit Linked Notes
  • 1:52:43 157.
    Unfunded Synthetic CDO
  • 1:53:56 158.
    Credit Linked Notes
  • 1:53:59 159.
    Unfunded Synthetic CDO
  • 1:54:20 160.
    Funded Synthetic CDO架構
  • 1:54:32 161.
    Unfunded Synthetic CDO
  • 1:54:33 162.
    Credit Linked Notes
  • 1:54:35 163.
    Unfunded Synthetic CDO
  • 1:54:36 164.
    Funded Synthetic CDO架構
  • 1:59:09 165.
    CDO Squared
  • 2:02:19 166.
    Hybrid CDO
  • 2:02:20 167.
    CDO Squared
  • 2:03:00 168.
    Hybrid CDO
  • 2:03:02 169.
    CDO Squared
  • 2:03:50 170.
    Hybrid CDO
  • 2:06:57 171.
    Collateralized Swap Obligations交易架構圖
  • 2:06:59 172.
    Hybrid CDO
  • 2:12:04 173.
    Collateralized Swap Obligations交易架構圖
  • 索引
  • 筆記
  • 討論
  • 全螢幕
sec-lec 8-cdo1-s21
長度: 2:13:52, 瀏覽: 869, 最近修訂: 2021-05-16
    上一篇 下一篇
    • 00:00 1.
      Lecture 8擔保債權憑證Collateralized Debt Obligation
    • 03:00 2.
      BASICS
    • 06:20 3.
      CDO Issuance and Outstanding
    • 07:21 4.
      BASICS
    • 08:00 5.
      BASICS
    • 14:37 6.
      CDO 分類
    • 15:57 7.
      CDO依動機分類
    • 16:20 8.
      依信用架構分類
    • 17:20 9.
      依風險暴露方式分類
    • 18:09 10.
      Slide 10
    • 18:16 11.
      Slide 11
    • 18:19 12.
      CBO/CLO/CDO發行架構
    • 22:24 13.
      CBO/CLO/CDO發行架構
    • 23:08 14.
      CBO/CLO/CDO風險
    • 23:10 15.
      CBO/CLO/CDO發行架構
    • 23:11 16.
      CBO/CLO/CDO風險
    • 23:12 17.
      CBO/CLO/CDO發行架構
    • 25:26 18.
      CBO/CLO/CDO風險
    • 30:32 19.
      CBO/CLO/CDO信評重點
    • 35:02 20.
      評等重點(A)
    • 37:49 21.
      評等重點(B)
    • 40:21 22.
      Slide 18
    • 40:32 23.
      C) 壓力測試:現金流量型
    • 44:04 24.
      C) 壓力測試:現金流量型
    • 44:15 25.
      C) 壓力測試:現金流量型
    • 44:21 26.
      Fitch stress default rate (%)(Midpoint stress default rates for corporate bonds. Loan default rate would be slightly lower)
    • 44:22 27.
      C) 壓力測試:現金流量型
    • 45:09 28.
      Fitch stress default rate (%)(Midpoint stress default rates for corporate bonds. Loan default rate would be slightly lower)
    • 46:39 29.
      Slide 23
    • 46:49 30.
      Fitch stress default rate (%)(Midpoint stress default rates for corporate bonds. Loan default rate would be slightly lower)
    • 49:01 31.
      Slide 23
    • 49:02 32.
      Fitch stress default rate (%)
    • 49:03 33.
      Slide 23
    • 49:04 34.
      Fitch stress default rate (%)(Midpoint stress default rates for corporate bonds. Loan default rate would be slightly lower)
    • 51:06 35.
      Slide 23
    • 51:18 36.
      Fitch stress default rate (%)
    • 54:30 37.
      Fitch Recovery Assumptions (%)
    • 56:19 38.
      Front Loaded Stress Test
    • 56:35 39.
      Backed Loaded Stress Test
    • 56:40 40.
      Front Loaded Stress Test
    • 56:57 41.
      Fitch Recovery Assumptions (%)
    • 56:58 42.
      Fitch stress default rate (%)
    • 57:02 43.
      Slide 23
    • 57:03 44.
      Fitch stress default rate (%)(Midpoint stress default rates for corporate bonds. Loan default rate would be slightly lower)
    • 58:08 45.
      Slide 23
    • 58:09 46.
      Fitch stress default rate (%)
    • 58:10 47.
      Fitch Recovery Assumptions (%)
    • 58:11 48.
      Front Loaded Stress Test
    • 59:51 49.
      Backed Loaded Stress Test
    • 1:00:09 50.
      Front Loaded Stress Test
    • 1:00:09 51.
      Fitch Recovery Assumptions (%)
    • 1:00:10 52.
      Fitch stress default rate (%)
    • 1:00:12 53.
      Fitch Recovery Assumptions (%)
    • 1:00:13 54.
      Front Loaded Stress Test
    • 1:00:13 55.
      Backed Loaded Stress Test
    • 1:00:16 56.
      Front Loaded Stress Test
    • 1:00:16 57.
      Fitch Recovery Assumptions (%)
    • 1:00:17 58.
      Fitch stress default rate (%)
    • 1:01:30 59.
      Fitch Recovery Assumptions (%)
    • 1:01:31 60.
      Front Loaded Stress Test
    • 1:01:32 61.
      Backed Loaded Stress Test
    • 1:02:12 62.
      Interest Coverage Test
    • 1:04:58 63.
      C) 壓力測試:市場價值型
    • 1:05:18 64.
      C) 壓力測試:市場價值型
    • 1:06:46 65.
      Over-Collateralization Test
    • 1:06:52 66.
      Fitch Advance Rates
    • 1:07:31 67.
      How to Construct MV CDO
    • 1:07:33 68.
      Fitch Advance Rates
    • 1:08:15 69.
      How to Construct MV CDO
    • 1:08:17 70.
      Fitch Advance Rates
    • 1:10:47 71.
      How to Construct MV CDO
    • 1:11:51 72.
      Fitch Advance Rates
    • 1:11:56 73.
      How to Construct MV CDO
    • 1:12:08 74.
      Fitch Advance Rates
    • 1:12:28 75.
      How to Construct MV CDO
    • 1:12:32 76.
      Fitch Advance Rates
    • 1:12:45 77.
      Over-Collateralization Test
    • 1:12:47 78.
      Fitch Advance Rates
    • 1:12:47 79.
      How to Construct MV CDO
    • 1:13:17 80.
      Fitch Advance Rates
    • 1:13:17 81.
      Over-Collateralization Test
    • 1:13:18 82.
      Fitch Advance Rates
    • 1:13:31 83.
      How to Construct MV CDO
    • 1:13:58 84.
      How To Construct MV CDO
    • 1:14:00 85.
      How to Construct MV CDO
    • 1:14:25 86.
      How To Construct MV CDO
    • 1:14:25 87.
      Minimum Net Worth Test AND Mark to market Requirement
    • 1:14:26 88.
      How To Construct MV CDO
    • 1:14:27 89.
      How to Construct MV CDO
    • 1:16:03 90.
      How To Construct MV CDO
    • 1:16:23 91.
      How to Construct MV CDO
    • 1:17:21 92.
      How To Construct MV CDO
    • 1:17:58 93.
      How to Construct MV CDO
    • 1:18:19 94.
      How To Construct MV CDO
    • 1:18:59 95.
      How to Construct MV CDO
    • 1:19:12 96.
      How To Construct MV CDO
    • 1:19:56 97.
      How to Construct MV CDO
    • 1:20:03 98.
      How To Construct MV CDO
    • 1:20:15 99.
      How to Construct MV CDO
    • 1:20:18 100.
      How To Construct MV CDO
    • 1:20:51 101.
      Minimum Net Worth Test AND Mark to market Requirement
    • 1:21:46 102.
      How To Construct MV CDO
    • 1:22:29 103.
      Minimum Net Worth Test AND Mark to market Requirement
    • 1:22:41 104.
      How To Construct MV CDO
    • 1:22:54 105.
      How to Construct MV CDO
    • 1:22:57 106.
      How To Construct MV CDO
    • 1:23:15 107.
      Minimum Net Worth Test AND Mark to market Requirement
    • 1:24:01 108.
      Slide 35
    • 1:24:02 109.
      Minimum Net Worth Test AND Mark to market Requirement
    • 1:24:21 110.
      How To Construct MV CDO
    • 1:24:28 111.
      How to Construct MV CDO
    • 1:25:31 112.
      How To Construct MV CDO
    • 1:25:32 113.
      Minimum Net Worth Test AND Mark to market Requirement
    • 1:25:45 114.
      How To Construct MV CDO
    • 1:25:54 115.
      Minimum Net Worth Test AND Mark to market Requirement
    • 1:25:56 116.
      Slide 35
    • 1:29:07 117.
      群益證券債券資產證券化計畫摘要
    • 1:29:12 118.
      群益證券債券資產證券化(CBO)特點
    • 1:29:17 119.
      參與機構
    • 1:29:19 120.
      CBO證券化架構概述
    • 1:30:14 121.
      資產池還款資金流架構
    • 1:30:25 122.
      信託終止事由發生前之分配
    • 1:31:18 123.
      信用增強方式
    • 1:31:25 124.
      受益證券預計發行條件
    • 1:31:36 125.
      標的債券發行條件－93工銀貸一
    • 1:31:45 126.
      標的債券產業分布
    • 1:31:47 127.
      標的債券信用評等分布
    • 1:31:48 128.
      標的債券產業分布
    • 1:31:49 129.
      標的債券發行條件－93工銀貸一
    • 1:31:54 130.
      受益證券預計發行條件
    • 1:31:56 131.
      信用增強方式
    • 1:31:58 132.
      信託終止事由發生前之分配
    • 1:31:59 133.
      信用增強方式
    • 1:32:00 134.
      受益證券預計發行條件
    • 1:32:00 135.
      標的債券發行條件－93工銀貸一
    • 1:32:14 136.
      標的債券產業分布
    • 1:32:30 137.
      標的債券信用評等分布
    • 1:32:32 138.
      Synthetic CDO
    • 1:37:02 139.
      信用違約交換契約(credit default swap)
    • 1:38:06 140.
      CDS: Credit Event
    • 1:39:36 141.
      CDS: Credit Event
    • 1:39:59 142.
      CDS: Credit Event
    • 1:40:05 143.
      CDS: Credit Event
    • 1:40:07 144.
      Slide 53
    • 1:40:09 145.
      Slide 54
    • 1:40:11 146.
      Synthetic CDO
    • 1:40:28 147.
      Credit Default Swap
    • 1:41:14 148.
      Credit Linked Notes
    • 1:41:44 149.
      Credit Default Swap
    • 1:42:23 150.
      Credit Linked Notes
    • 1:46:19 151.
      Unfunded Synthetic CDO
    • 1:46:20 152.
      Funded Synthetic CDO架構
    • 1:46:21 153.
      Unfunded Synthetic CDO
    • 1:46:21 154.
      Credit Linked Notes
    • 1:48:52 155.
      Unfunded Synthetic CDO
    • 1:48:53 156.
      Credit Linked Notes
    • 1:52:43 157.
      Unfunded Synthetic CDO
    • 1:53:56 158.
      Credit Linked Notes
    • 1:53:59 159.
      Unfunded Synthetic CDO
    • 1:54:20 160.
      Funded Synthetic CDO架構
    • 1:54:32 161.
      Unfunded Synthetic CDO
    • 1:54:33 162.
      Credit Linked Notes
    • 1:54:35 163.
      Unfunded Synthetic CDO
    • 1:54:36 164.
      Funded Synthetic CDO架構
    • 1:59:09 165.
      CDO Squared
    • 2:02:19 166.
      Hybrid CDO
    • 2:02:20 167.
      CDO Squared
    • 2:03:00 168.
      Hybrid CDO
    • 2:03:02 169.
      CDO Squared
    • 2:03:50 170.
      Hybrid CDO
    • 2:06:57 171.
      Collateralized Swap Obligations交易架構圖
    • 2:06:59 172.
      Hybrid CDO
    • 2:12:04 173.
      Collateralized Swap Obligations交易架構圖
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    2021-05-16 14:29:04
    最近修訂
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