By Sivan Mahadevan, Peter Polanskyj, Vishwanath Tirupattur, Pinar Onur, Andrew Sheets
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Additional resources for Morgan Stanley Structured Credit Insights, 2nd Edition, 2006
Markets have continued to trade previous series of indices albeit with somewhat less liquidity. Please see additional important disclosures at the end of this report. 41 Structured Credit Insights – Instruments, Valuation and Strategies chapter 3 Standardized Payment and Maturity Dates Just like the single name default swaps, the cash flow dates of indices are also standardized – the 20th of March, June, September, and December of every year. Market participants have also standardized maturity dates to the four standard payment dates of the maturity year.
The SPV sells protection on the collateral pool of assets to the sponsoring financial institution or other market participants and receives a premium for the risk being assumed. The credit risk so acquired is distributed to investors of different tranches who receive a portion of the premium depending upon the amount of credit risk assumed by each tranche. When a credit event occurs with respect to any asset in the collateral pool, the SPV pays the protection buyer an amount linked to the loss incurred on the asset.
To motivate a discussion of how synthetic CDOs work, we revisit the basic mechanics of a credit default swap (Exhibit 3). Recall that a CDS is akin to an insurance policy that protects the buyer of protection against the loss of principal in an underlying asset when a credit event occurs. The protection buyer pays a premium, typically on a quarterly basis to the protection seller until a credit event occurs or the contract matures, which ever is earlier. The underlying asset is defined by a reference obligation, which informs the scope of the protection.