Evaluating CDO Equity Tranches

Laurie S. Goodman; Phillip Millman

doi:10.3905/jai.2001.319020

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Evaluating CDO Equity Tranches

Laurie S. Goodman and Phillip Millman

The Journal of Alternative Investments Winter 2001, 4 (3) 47-54; DOI: https://doi.org/10.3905/jai.2001.319020

Laurie S. Goodman

A managing director at UBS Warburg and head of the Mortgage Strategy Group in New York City.

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For correspondence: laurie.goodman@ubsw.com

Phillip Millman

An associate director at UBS Warburg and a member of the Mortgage Strategy Group.

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Abstract

CDOs have grown to be an important part of the asset-backed securities market, accounting for some 15% of new issuance. In this article we look at where CDO equity cash flows come from and how to evaluate them. We then do a brief review of relative attractiveness of equity cash flows backed by different collateral.

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The Journal of Alternative Investments

Vol. 4, Issue 3

Winter 2001

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Evaluating CDO Equity Tranches