Forums  > Basics  > Pre/Post Crisis CDOs  
     
Page 1 of 1
Display using:  

artvandelay


Total Posts: 3
Joined: Jan 2018
 
Posted: 2018-04-12 22:28
Can anyone share some information on how CDOs differ pre-post crisis? Whether it be capital requirements, size, etc. I was reading an article that Citi is increasing synthetic CDO issuance and it got me thinking.

Any information (here or links) would be most appreciated!

day1pnl


Total Posts: 43
Joined: Jun 2017
 
Posted: 2018-04-14 13:18
I wouldn't say it is a dying market (how can a market thats been dead for 10 years die?). And it could be it was on an uptick last year. But will never be anything compared to any big market like equity index futs, bunds, swaps, fx, CDOs pre-crisis, etc. Capital-wise it has changed a lot (var, irm, crm, std. approach etc., frtb). And a dealer who believe too strongly in the efficacy of delta-hedging will run some big expensive numbers these days. It's simply expensive to warehouse on the books. Size-wise a normal dealer run works in 25x25mm these days for CDX HY mezz. which is not a lot. For bespoke one-off bank CLO deals notionals are typically several billions.

artvandelay


Total Posts: 3
Joined: Jan 2018
 
Posted: 2018-04-16 15:23
Thanks for the response day1pnl, very interesting!
Previous Thread :: Next Thread 
Page 1 of 1