Page 181 - 次貸風暴下的省思－解開CDS及CDO密碼

AP Thickness DP Size otal T
$4,000M CDO14.25%M 6.25% $80
$4,000M CDO24.25%M 6.25% $80
$4,000M CDO35.25%M 7.25% $80
$4,000M CDO45.25%M 7.25% $80

$4,000M CDO57.25%M 9.25% $80
$4,000M CDO67.25%M 9.25% $80

% of Amount CDO1 CDO2 CDO3 CDO4 CDO5CDO6
15.50% 1.25% 2.50% 0.00% Banks 17.75% 16.50%
5.00% 7.50% 7.50% 6.50% Insurance 8.75%9.75%

8.75% 3.75% 3.75% 6.25% Electric 9.75%8.75%
Diversified Finan Serv 8.25% 8.75% 9.00% 6.25% 2.50%7.50%
2.50% 6.25% 8.75% 5.00% Food 5.00%6.50%
Auto Manufacturers 2.25% 1.25% 0.00% 1.25% 2.50%5.00%
1.00%
7.50% 1 7.50% 7.50% elecommunications T 7.50%4.75%
2.25% 1.25% 6.25% 2.50% Oil&Gas 3.75%2.50%
Commercial Services 2.50% 3.75% 1.25% 0.00% 0.00%2.50%
3.75% 3.75% 2.50% 1.25% Chemicals 4.00%2.50%
1.25% 0.00% 2.50% 1.25% Aerospace/Defense 2.50%2.50%
3.25% 0.00% 1.25% 3.25% Computers 0.00%2.50%
Forest Products&Paper 0.00% 3.75% 1.25% 0.00% 2.50%2.50%

1.25% 1.25% 1.25% 0.00% Sovereign 1.25%2.50%
5.00% 8.75% 3.50% 1.25% 1 Retail 5.25%1.25%
5.25% 3.75% 3.75% 8.75% Media 3.5%1.25%
Auto Parts&Equipment 3.75% 0.00% 2.50% 1.25% 1.25%1.25%

1.25% 3.75% 5.25% 3.50% Agriculture 1.25%1.25%

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