Collateralized Debt Obligations Ontology
type: Ontology
abstract: Collateralized debt obligations are tranched debt instruments based on pools of debt instruments, and those pools may have different management styles and objectives. Generally includes an equity tranche. This ontology also covers CDO squared.
license: Copyright (c) 2015-2026 EDM Association dba EDM Council, Inc. Copyright (c) 2015-2025 Object Management Group, Inc. Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the 'Software'), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions: The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software. THE SOFTWARE IS PROVIDED 'AS IS', WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. See https://opensource.org/licenses/MIT.
imports: FunctionalEntities
imports: CreditDefaultSwaps
imports: FinancialInstruments
imports: FinancialProductsAndServices
imports: CurrencyAmount
imports: Contracts
imports: BusinessDates
imports: FinancialDates
imports: Objectives
imports: Ownership
imports: AnnotationVocabulary
imports: Loans
imports: AssetBackedSecurities
imports: Bonds
imports: DebtInstruments
imports: MortgageBackedSecurities
imports: PoolBackedSecurities
imports: SyntheticCDOs
imports: Funds
imports: Pools
imports: Collections
imports: ContextualDesignators
imports: Documents
imports: Organizations
imports: PartiesAndSituations
imports: RolesAndCompositions
version IRI: CollateralizedDebtObligations
has maturity level: Provisional
copyright: Copyright (c) 2015-2025 Object Management Group, Inc.
copyright: Copyright (c) 2015-2026 EDM Association dba EDM Council, Inc.

a b s c d o deal
type: Class
subclass of: c d o deal
subclass of: Restriction
  on property: comprises
  some values from: Class
    union of: c d o pool
    union of: cash a b s pool
definition: An issue of Asset Backed Security CDO notes.

a b s c d o instrument
type: Class
subclass of: cash c d o tranche
definition: CDO where the underlying asset pool is ABS.

agency c m o
type: Class
subclass of: DebtOffering
subclass of: Restriction
  on property: has tranche type
  some values from: tranche type
subclass of: Restriction
  on property: provides prepayment support
  some values from: agency c m o
subclass of: Restriction
  on property: comprises
  some values from: AgencyMBSPool
editorial note: Definition for the property 'has tranche type' which is now a restriction: The type of tranche for the CMO. Many different structures are used in practice, including stable PAC bonds or risky IOs and POs. There are floaters and inverse floaters. There are also Z-bonds, which are analogous to zero-coupon bonds.

agency i o tranche
type: Class
subclass of: agency c m o
disjoint with: agency p o tranche

agency jump tranche
type: Class
subclass of: agency c m o
subclass of: Restriction
  on property: specifies trigger
  some values from: jump z trigger event
definition: A tranche where if there is some sort of trigger event reached then the holders of the tranche will begin to receive payments.

agency jump z tranche
type: Class
subclass of: agency jump tranche
subclass of: agency z tranche
definition: A Jump Z tranche is like a Z tranche but if there is some sort of trigger event reached then the holders of the Jump Z tranche will begin to receive payments. Regular non-Sticky Jump Z tranches maintain their changed status only while the trigger event is in effect, and revert to their old payment status once the trigger event has passed.

agency p o tranche
type: Class
subclass of: agency c m o
definition: Principal Only tranche. This tranche will only pay principal.

agency regular jump z
type: Class
subclass of: agency jump z tranche
subclass of: Restriction
  on property: reverts on
  some values from: jump z trigger event reversal
definition: Regular non-Sticky Jump Z tranches maintain their changed status only while the trigger event is in effect, and revert to their old payment status once the trigger event has passed.

agency sticky jump z
type: Class
subclass of: agency jump z tranche
definition: "Sticky" Jump Z tranches maintain the payment priority of a Jump Z tranche until they are retired.

agency z tranche
type: Class
subclass of: agency c m o
definition: A tranche that does not receive payments while other tranches remain.

arbitrage c d o
type: Class
subclass of: c d o deal
subclass of: Restriction
  on property: has c d o origination objective
  some values from: arbitrage cdo objective
definition: Arbitrage CDO/CLO/CBO - the reference assets are bought by a firm or conduit or SPV (Special Purpose Vehicle) with a view to repackage them and sell them on as the structured product.
editorial note: Arbitrage deals are motivated by the opportunity to add value by repackaging collateral into tranches. This is the same motivation for most CMOs. In finance, the law of one price suggests that the securities of a CDO should have the same market value as its underlying collateral. In practice, this is often not the case. Accordingly, a CDO can represent a theoretical arbitrage. april 28 note: Does this have meaning for Cash CDO? Are these always? Arbitrage is there to exploit market inefficiencies. Would there not be some arbitrage exploited in the CDO. The definition here implies cash CDO only. not cler to reviewers what the ditinctio nis and whether these are mutually excluive. On eview is that the arb CDO has cash inflorws different to cash outflows, e.g. 9.5% v 9% with the 50bp taken as fees. So that might be Arb CDO. There is another type we hav emissed: like an arb CDO where there is instead a spread between in/out as above, you have instead a MArket Value CDO, where its base don the market value of the deal. Not clear how you are supposed to realized that value. you are supposed to realize the xxxx of securities .Seen both referred to. So is arb a risk management tool.

arbitrage cdo objective
type: Class
subclass of: c d o origination objective
definition: The objective is arbitrage, whereby the motivation is to add value by repackaging assets into tranches.

balance sheet c d o
type: Class
subclass of: c d o deal
subclass of: Restriction
  on property: has c d o origination objective
  some values from: balance sheet c d o objective
definition: Balance Sheet CDO/CLO/CBO - the reference assets for the SDO portfolio are taken from a company/firm's balance sheet.
editorial note: With a balance sheet deal, the sponsoring organization is a bank or other institution that holds - or anticipates acquiring - loans or debt that it wants to remove from its balance sheet. Similar to a traditional ABS, the CDO is a vehicle for it to do so. Balance Sheet CDO = Funded CDO. This is about whether or not ther is actual borrowing or lending underpinning the CDO. Does this have meaning in the context of synthetic CDO? It has meaning in the context of a sythetic CDO because you can constructt hat from a unifirm funding and use the CDSs to break up and creat the manyt risks. Derive the funds from a uniform source using CDSs. So that would be on Balance Sheet CDO. April 28 notes does Balance sheet CDPO have any meaning fo rCash =CDO? No. cash CDOs would have to have a balance sheet impact, so this distinction between Balance sheet and Arbittrrage only has meaning for Synthetics.

balance sheet c d o objective
type: Class
subclass of: c d o origination objective
definition: The objective is that the CDO is created to move assets off the originator balance sheet.

c d o cashflow treatment structure
type: Class
subclass of: Strategy
definition: The way in which cash flows are handled in a CDO.

c d o deal
type: Class
subclass of: DebtOffering
subclass of: Restriction
  on property: hasMember
  some values from: c d o portfolio
subclass of: Restriction
  on property: hasMember
  some values from: mezzanine c d o tranche
subclass of: Restriction
  on property: hasMember
  some values from: senior c d o tranche
subclass of: Restriction
  on property: hasMember
  some values from: subordinated c d o equity
subclass of: Restriction
  on property: hasMember
  some values from: super senior c d o tranche
subclass of: Restriction
  on property: appliesTo
  some values from: collateralized debt obligation
subclass of: Restriction
  on property: isManagedBy
  some values from: c d o portfolio manager
definition: An Issue of a set of CDO tranches as part of an offering to the market.
explanatory note: Multiple tranches of securities are issued by the CDO issue (usually referred to simply as the CDO), offering investors various maturity and credit risk characteristics. Note that it is in the sense of CDO as an issue that one might say that a CDO "has tranches". The CDO as an individual instrument (labelled CDO in this model) does not have tranches but is itself a member of one or another tranche.

c d o management style
type: Class
subclass of: Strategy
definition: The manner in which reference assets are managed during the life of a CDO.

c d o origination objective
type: Class
subclass of: Objective
definition: The origin or motivation behind a CDO issue.

c d o pool
type: Class
subclass of: DebtPool
definition: A pool of CDO securities. The underlying of the CDO Squared is a pool of CDO instruments.

c d o portfolio
type: Class
subclass of: Portfolio
subclass of: Restriction
  on property: hasMember
  some values from: m b s instrument slice
subclass of: Restriction
  on property: isManagedBy
  some values from: c d o portfolio manager
definition: A portfolio in which the reference assets of the CDO are held.

c d o portfolio manager
type: Class
subclass of: PartyRole
subclass of: Restriction
  on property: manages
  some values from: c d o portfolio
definition: The portfolio manager for a managed CDO or arbitrage CDO (also called an asset manager). This assumes that the role is the same in both cases.

c d o squared deal
type: Class
subclass of: c d o deal
subclass of: Restriction
  on property: comprises
  some values from: c d o pool
definition: An issue of CDO Squared notes.

c d o squared instrument
type: Class
subclass of: collateralized debt obligation
definition: CDOs where the underlying asset pool is CDOs.

CDOTrancheSenioritySelection
type: Class
definition: The seniority of a tranche of a CDO issue.

c m o deal
type: Class
subclass of: DebtOffering
definition: An issue of Collateralized mortgaged Obligations.

cash a b s pool
type: Class
subclass of: DebtPool
definition: A pool investment consisting of a collection of cash ABS instruments.

cash c d o
type: Class
subclass of: c d o deal
subclass of: Restriction
  on property: issues
  some values from: cash c d o tranche
disjoint with: SyntheticCDO
definition: A CDO which has an uderlying portfolio of assets which are held by the issuer.

cash c d o tranche
type: Class
subclass of: collateralized debt obligation
subclass of: Tranche
subclass of: Restriction
  on property: isPartOf
  some values from: DebtPool
disjoint with: AssetBackedSecurity
disjoint with: SyntheticCDOTranche

cashflow c d o
type: Class
subclass of: c d o deal
subclass of: Restriction
  on property: structure
  some values from: cashflow structure
disjoint with: market value c d o
definition: A cash-flow CDO is analogous to a CMO. Cash flows from collateral are used to pay principal and interest to investors. If such cash flows prove inadequate, principal and interest is paid to tranches according to seniority. At any point in time, all immediate obligations to a given tranch are met before any payments are made to less senior tranches.
explanatory note: There are some cases where "triggers" can come into effect to cause the payments to be distributed in other ways. For example, if the CDO fails its senior overcollateralization (OC) trigger, it may cause extra cash to be diverted to the senior tranches' principal in order to bring the deal back into compliance with the OC test.

cashflow structure
type: Class
subclass of: c d o cashflow treatment structure
definition: The source of funds for the CDO is cashflow. this means that cash flows from collateral are used to pay principal and interest to investors.

collateralized bond obligation
type: Class
subclass of: cash c d o tranche
subclass of: Restriction
  on property: refersTo
  some values from: BondPool
disjoint with: agency c m o
disjoint with: collateralized loan obligation offering
definition: structured debt security that has investment-grade bonds as its underlying assets backed by the receivables on high-yield or junk bonds
abbreviation: CBO
explanatory note: A multitranche debt structure similar in some respects to a collateralized mortgage obligation (CMO) structure. Typically low-rated bonds rather than mortgages serve as the collateral. The organization creating and promoting the structure usually holds the underlying equity and may also collect a fee. Junk bonds are typically not investment grade, but because they pool several types of credit quality bonds together, they offer enough diversification to be "investment grade." For example high yield [emerging market] CBO which consists of a portfolio of different high yield [emerging market] bonds. Investopedia: Similar in structure to a collateralized mortgage obligation (CMO), but different in that CBOs represent different levels of credit risk, not different maturities. Defoinition Origin:Investopedia

collateralized debt obligation
type: Class
subclass of: StructuredFinanceInstrument
subclass of: Restriction
  on property: isSubordinatedTo
  on class: collateralized debt obligation
  max qualified cardinality: 1
definition: structured finance constructed from a portfolio of fixed income assets including corporate loans and mortgage backed securities. A special purpose vehicle (SPV) issues notes to investors in order to raise funds that are invested in a portfolio of those fixed income assets, held by the SPV as collateral for the notes. Further notes: Collateralized Debt Obligation, for example, ABS CDO which consists of a portfolio of different ABS bonds, and the payments to the holders of these trust certificates are derived from the cash flows of the ABS bonds. This CDO instrument is part of a CDO issue, consisting of individual CDO instruments of a given seniority. Often referred to as tranches and slices (Investopedia). Investopedia: Similar in structure to a collateralized mortgage obligation (CMO) or collateralized bond obligation (CBO), CDOs are unique in that they represent different types of debt and credit risk. In the case of CDOs, these different types of debt are often referred to as 'tranches' or 'slices'. Each slice has a different maturity and risk associated with it. The higher the risk, the more the CDO pays. Further details: Collateralized Debt obligations are securitized interests in pools of - generally non-mortgage - assets. Assets - called collateral - usually comprise loans or debt instruments. A CDO may be called a collateralized loan obligation (CLO) or collateralized bond obligation (CBO) if it holds only loans or bonds, respectively. Investors bear the credit risk of the collateral. Multiple tranches of securities are issued by the CDO, offering investors various maturity and credit risk characteristics.
abbreviation: CDO

collateralized loan obligation offering
type: Class
subclass of: DebtOffering
subclass of: Restriction
  on property: refersTo
  some values from: loan pool
disjoint with: agency c m o
abbreviation: CLO offering

floater tranche
type: Class
subclass of: tranched m b s instrument
subclass of: Restriction
  on property: hasRecurrenceInterval
  some values from: DayOfMonth
definition: A floater tranche is a tranche that is keyed to an index and a spread.
explanatory note: For example, 3 month LIBOR +50 -- meaning that the coupon would be whatever the 3 month LIBOR is plus 50 basis points. This is not a continuously updated number, rather it resets at specified intervals.

hybrid c d o
type: Class
subclass of: c d o deal
subclass of: Restriction
  on property: appliesTo
  all values from: Class
    union of: cash c d o tranche
    union of: SyntheticCDOTranche
definition: A CDO which combines features both of the cash and synthetic CDO. This is a CDO with tranches of cash and tranches of synthetic underlying assets. Further notes: So for example an issiue of $550 million may have $500 million in an asset pool and an additional $50 million created via a synthetic asset.

i oette
type: Class
subclass of: agency i o tranche
definition: REVIEW: Is this a kind of IO Tranche.

inverse floater tranche
type: Class
subclass of: floater tranche
disjoint with: regular floater tranche
disjoint with: super floater tranche

jump z trigger event
type: Class
subclass of: trigger event
definition: The event which triggers the Jump Z
explanatory note: If this trigger event is reached then the holders of the Jump Z tranche will begin to receive payments. Regular non-Sticky Jump Z tranches maintain their changed status only while the trigger event is in effect, and revert to their old payment status once the trigger event has passed. The event may be a market event or an event relating to the deal.

jump z trigger event reversal
type: Class
subclass of: trigger event
subclass of: Restriction
  on property: specifies reverse trigger
  some values from: jump z trigger event
definition: The reversal of the event which triggers the Jump Z

loan pool
type: Class
subclass of: DebtPool
subclass of: Restriction
  on property: hasMember
  some values from: Loan
definition: debt pool whose consituents are loans

m b s instrument slice
type: Class
subclass of: Portfolio
subclass of: Restriction
  on property: refersTo
  some values from: Class
    union of: m b s tranche note
    union of: PassThroughMBSInstrumentNote
definition: A holding of an individual slice or slices of a tranche.
explanatory note: These may be held in different notes, with different denominations. Tranche slice in this sense is only relevant in the context of something like a CDO or analogous things such as CBO.

m b s tranche note
type: Class
subclass of: PromissoryNote
definition: An individual note of a tranche.
explanatory note: A Tranche is made up of e.g. $500m in notes and so on. These may be in different notes, with different denominations. Analytics that would apply to the Tranche would by implication apply to each slice of the tranche.

managed c d o
type: Class
subclass of: c d o deal
subclass of: Restriction
  on property: management style
  some values from: managed management style
subclass of: Restriction
  on property: hasMember
  some values from: m b s instrument slice
subclass of: Restriction
  on property: hasMember
  some values from: managed c d o portfolio
disjoint with: static c d o
definition: A CDO where the reference assets are bought (the portfolio is ramped up) and then the CDO manager may alter the portfolio as they see fit.

managed c d o portfolio
type: Class
subclass of: c d o portfolio
definition: A portfolio where the reference assets of the CDO are bought (the portfolio is ramped up) and then the CDO manager may alter the portfolio as they see fit.

managed management style
type: Class
subclass of: c d o management style

market value c d o
type: Class
subclass of: c d o deal
subclass of: Restriction
  on property: structure
  some values from: market value structure

market value structure
type: Class
subclass of: c d o cashflow treatment structure

mezzanine c d o tranche
type: Class
subclass of: collateralized debt obligation
subclass of: Restriction
  on property: rated at issue
  some values from: tranche rating at issue
definition: The tranche between senior and subordinated. Mezzanine tranches of a CDO issue are typically rated B to BBB.
explanatory note: If there are defaults or the CDO's collateral otherwise underperforms, scheduled payments to mezzanine tranches take precedence over those to subordinated/equity tranches.

mezzanine m b s tranche
type: Class
subclass of: tranched m b s instrument
subclass of: Restriction
  on property: senior to
  some values from: subordinated m b s tranche
definition: Specific kinds of tranche are modeled for example and investigation only and have been removed from the diagrams. These will be removed from the final model.

non agency i o tranche
type: Class
subclass of: tranched m b s instrument
definition: Interest Only tranche, meaning that this tranche will only pay interest.

non agency jump tranche
type: Class
subclass of: tranched m b s instrument
subclass of: Restriction
  on property: specifies trigger
  some values from: jump z trigger event
definition: A tranche where if there is some sort of trigger event reached then the holders of the tranche will begin to receive payments.

non agency jump z tranche
type: Class
subclass of: non agency jump tranche
subclass of: non agency z tranche
definition: A Jump Z tranche is like a Z tranche but if there is some sort of trigger event reached then the holders of the Jump Z tranche will begin to receive payments. Regular non-Sticky Jump Z tranches maintain their changed status only while the trigger event is in effect, and revert to their old payment status once the trigger event has passed.

non agency p o tranche
type: Class
subclass of: tranched m b s instrument
definition: Principal Only tranche. This tranche will only pay principal.

non agency regular jump z tranche
type: Class
subclass of: non agency jump z tranche
subclass of: Restriction
  on property: reverts
  some values from: jump z trigger event reversal
definition: Regular non-Sticky Jump Z tranches maintain their changed status only while the trigger event is in effect, and revert to their old payment status once the trigger event has passed.

non agency sticky jump z tranche
type: Class
subclass of: non agency jump z tranche
definition: "Sticky" Jump Z tranches maintain the payment priority of a Jump Z tranche until they are retired.

non agency z tranche
type: Class
subclass of: tranched m b s instrument
definition: A tranche that does not receive payments while other tranches remain.
editorial note: These tranches are credited for interest that would have been received and that interest is accrued to the Z tranche. Once all other tranches have been paid, the holders of the Z tranche receive payments. Types of Z Tranche: A Jump Z tranche is like a Z tranche but if there is some sort of trigger event reached then the holders of the Jump Z tranche will begin to receive payments. "Sticky" Jump Z tranches maintain this payment priority until they are retired, while regular, non-Sticky Jump Z tranches maintain their changed status only while the trigger event is in effect, and revert to their old payment status once the trigger event has passed. Review note: These are currently separate entries - they should be entries for types of Z Tranche. Add new list and move these to there.

p a c-1 class
type: Class
subclass of: planned amortization class bond
subclass of: Restriction
  on property: takes prepayment after
  all values from: p a c-2 class
definition: Planned Amortization Class tranche. PAC-1 is the most senior Planned Amortization Class tranche.
explanatory note: Principal payment must follow a certain schedule. These tranches have priority over the other tranches in the deal, which are then referred to as the support or companion tranches.

p a c-2 class
type: Class
subclass of: planned amortization class bond
subclass of: Restriction
  on property: takes prepayment after
  all values from: p a c-3 class
definition: Planned Amortization Class tranche. PAC-2 refers to a support tranche that is given a scheduled payment structure like a PAC bond.
explanatory note: Principal payment must follow a certain schedule. These tranches have priority over the other tranches in the deal, which are then referred to as the support or companion tranches. For example, let's say you have a deal with a PAC tranche and a support tranche (i.e., a tranche that is a support tranche and is therefore subordinate to the PAC tranche) that has a scheduled payment structure like you did with the PAC bond. That support bond then is called the PAC-2 bond. If you continue, and create another support tranche that also has scheduled payments, that would become the PAC-3 bond.

p a c-3 class
type: Class
subclass of: planned amortization class bond
definition: Planned Amortization Class tranche. Additional support tranche with scheduled payments.
explanatory note: Principal payment must follow a certain schedule. These tranches have priority over the other tranches in the deal, which are then referred to as the support or companion tranches. See PAC-2 for explanation. If you continue, and create another support tranche that also has scheduled payments, that would become the PAC-3 bond.

p a c- z tranche
type: Class
subclass of: agency z tranche
subclass of: planned amortization class bond
definition: Planned Amortization Class tranche which is also a Z tranche, that is Definition needed.
editorial note: Assume this is a PAC tranche that is a Z Tranche.

p a c p o tranche
type: Class
subclass of: agency p o tranche
subclass of: planned amortization class bond
definition: Planned Amortization Class principal only tranche.

p a c tranche amortization schedule
type: Class
subclass of: RedemptionSchedule

planned amortization class bond
type: Class
subclass of: agency c m o
subclass of: Restriction
  on property: provides prepayment support for
  all values from: planned amortization class bond
subclass of: Restriction
  on property: supported by
  all values from: planned amortization class bond
subclass of: Restriction
  on property: specifies
  some values from: p a c tranche amortization schedule
definition: Planned Amortization Class tranche.This is a tranche where the principal payment must follow a certain schedule.
explanatory note: These tranches have priority over the other tranches in the deal, which are then referred to as the support or companion tranches. There are usually several PAC tranches created. PAC-1, PAC-2, PAC-3 -- this requires some more explanation. PAC-2 refers to a support tranche that is given a scheduled payment structure like a PAC bond. For example, let's say you have a deal with a PAC tranche and a support tranche (i.e., a tranche that is a support tranche and is therefore subordinate to the PAC tranche) that has a scheduled payment structure like you did with the PAC bond. That support bond then is called the PAC-2 bond. If you continue, and create another support tranche that also has scheduled payments, that would become the PAC-3 bond. Prospectus will cover each class. Prospectus is at the level of an issue.

regular floater tranche
type: Class
subclass of: floater tranche
disjoint with: super floater tranche
definition: A floater tranche is a tranche that is keyed to an index and a spread. The spread is added to the index.
explanatory note: For example, 3 month LIBOR +50 -- meaning that the coupon would be whatever the 3 month LIBOR is plus 50 basis points. This is not a continuously updated number, rather it resets at specified intervals.

residual tranche
type: Class
subclass of: tranched m b s instrument
definition: Unknown Further notes: Verify whether Residual Tranche and Support Tranche are meant to be in the same list of types as PAC etc. i.e. can a tranche not be PAC and Residual? this looks suspicioulsy like two semantics.

senior c d o tranche
type: Class
subclass of: collateralized debt obligation
subclass of: Tranche
subclass of: Restriction
  on property: rated at issue
  some values from: tranche rating at issue
definition: The most senior tranche of the CDO issue. Typically rated A to AAA. If there are defaults or the CDO's collateral otherwise underperforms, scheduled payments to senior tranches take precedence over those of mezzanine tranches.

senior m b s tranche
type: Class
subclass of: tranched m b s instrument
subclass of: Restriction
  on property: senior to
  some values from: mezzanine m b s tranche
definition: Specific kinds of tranche are modeled for example and investigation only and have been removed from the diagrams. These will be removed from the final model.

static c d o
type: Class
subclass of: c d o deal
subclass of: Restriction
  on property: management style
  some values from: static management style
definition: A CDO where collateral is fixed through the life of the CDO. The reference assets are bought and then are kept untouched for the term of the product.
explanatory note: Investors can assess the various tranches of the CDO with full knowledge of what the collateral will be. The primary risk they face is credit risk. A deal that starts off managed can become static if the performance is too poor. Also, some deals are static but allow managers to sell out poorly performing assets subject to certain conditions, but do not allow purchase of new assets, so are semi-static.

static c d o portfolio
type: Class
subclass of: c d o portfolio
definition: A portfolio where collateral of the CDO is fixed through the life of the CDO. The reference assets are bought and then are kept untouched for the term of the product.
editorial note: There are cases where badly performing assets may be sold off. These are not modeled at present and it's possible that a third type of CDO may be indicated where the portfolio manager has certain capabilities.

static management style
type: Class
subclass of: c d o management style

subordinated c d o equity
type: Class
subclass of: Security
definition: The subordinated (also known as equity) CDO tranche is the most junior tranche in the CDO issue. If there are defaults or the CDO's collateral otherwise underperforms, scheduled payments to senior and mezzanine tranches take precedence over those to subordinated/equity tranches.
explanatory note: This is not a tranche of the debt in the CDO but an equity interest in the pool of underlying. There is a very bottom piece, not a tranche, but rather called the preferred shares (or just pref shares, or equity) that is the very bottom most layer in a CDO and is also referred to as the "first loss piece" since, like equity in a corporation, losses are incurred here before any of the actual bond holders take losses. This isn't a tranche

subordinated m b s tranche
type: Class
subclass of: tranched m b s instrument
definition: Specific kinds of tranche are modeled for example and investigation only and have been removed from the diagrams. These will be removed from the final model.

super floater tranche
type: Class
subclass of: floater tranche

super p o tranche
type: Class
subclass of: agency p o tranche
definition: Principal Only tranche. This tranche will only pay principal. Not clear how this is distinct from generic PO.

super senior c d o tranche
type: Class
subclass of: collateralized debt obligation
definition: A tranche at the very top of a CDO Issue.

support tranche
type: Class
subclass of: Restriction
  on property: isPlayedBy
  some values from: p a c-2 class
definition: A tranche which provides payment support to a PAC Tranche.
explanatory note: PAC tranches have priority over the other tranches in the deal, which are then referred to as the support or companion tranches.

t a c tranche
type: Class
subclass of: agency c m o
subclass of: tranched m b s instrument
subclass of: Restriction
  on property: specifies
  some values from: t a c tranche amortization schedule
definition: Targeted Amortization Class. This is related to a PAC tranche and has a payment schedule geared towards a specified prepayment speed (called the pricing speed). Agency CMO
editorial note: The main difference between TAC and PAC is that the PAC schedule remains under a certain prepayment range (such as 50-150 PSA) while the TAC tranche is geared from the outset at a specified prepayment speed (such as 150 PSA). Math note: Originally specified in PSAin the examples. What is PSA? Review how we have modeled "Payment Speed" as a concept.

t a c tranche amortization schedule
type: Class
subclass of: RedemptionSchedule

tranche rating at issue
type: Class
definition: The rating at issue of a tranche of a security. Note this is under review
editorial note: In the case of CDOs, senior and mezzanine tranches of a CDO issue are typically rated, with the former receiving ratings of A to AAA and the latter receiving ratings of B to BBB. The ratings reflect both the credit quality of underlying collateral as well as how much protection a given tranch is afforded by tranches that are subordinate to it. Review note: Remove this it's no different from an instrument.

tranche type
type: Class
definition: the type of tranche in a tranched MBS security

tranched m b s deal
type: Class
subclass of: DebtOffering
subclass of: Restriction
  on property: is also
  some values from: PrivateLabelMBSDeal

tranched m b s deal prospectus
type: Class
subclass of: MortgageBackedSecurityOfferingProspectus

tranched m b s instrument
type: Class
subclass of: MortgageBackedSecurity
subclass of: Restriction
  on property: cashflow precedence
  all values from: tranched m b s instrument
subclass of: Restriction
  on property: provides credit support to
  all values from: tranched m b s instrument
subclass of: Restriction
  on property: hasNote
  some values from: m b s tranche note

trigger event
type: Class
definition: Any event where some value passes some threashold. Or some other type of business event. This is not restricted to "trigger" in the sense of a value passing a threshold. Can also be an seen such as a CDO manager going into bankruptcy.

true p s objective
type: Class
subclass of: c d o origination objective

cashflow precedence
type: ObjectProperty
domain: tranched m b s instrument
range: tranched m b s instrument
inverse of: provides credit support to

confers ownership of
type: ObjectProperty
domain: subordinated c d o equity

denomination
type: ObjectProperty
domain: m b s tranche note
range: MonetaryAmount
definition: The currency amount in which the Note is denominated, for example $500 notes.

has c d o origination objective
type: ObjectProperty
domain: c d o deal
range: c d o origination objective

has tranche type
type: ObjectProperty
domain: StructuredFinanceInstrument
range: tranche type

is also
type: ObjectProperty
domain: tranched m b s deal
range: PrivateLabelMBSDeal

is cash
type: DatatypeProperty
domain: collateralized debt obligation
range: boolean
definition: Whether the CDO has an underlying pool of real assets. If yes, the CDO has an underlying pool of real assets. If no, the CDO has a synthetic pool of underlying assets.

is cash
type: DatatypeProperty
domain: cash c d o tranche
range: boolean
definition: Whether the CDO has an underlying pool of real assets. This is yes: the CDO has an underlying pool of real assets,

issues
type: ObjectProperty
domain: cash c d o
range: cash c d o tranche

has deal management style
type: ObjectProperty
domain: collateralized debt obligation
range: c d o management style
definition: Whether the CDO is static or managed. This refers to whether or not the CDO manager may make changes to the reference portfolio during the life of the security. Further notes: If it is static, collateral is fixed through the life of the CDO. The reference assets are bought and then are kept untouched for the term of the product.If it is managed, the reference assets are bought (the portfolio is ramped up) and then the CDO manager may alter the portfolio as they see fit.

management style
type: ObjectProperty
domain: c d o deal
range: c d o management style
definition: A CDO where the reference assets are bought (the portfolio is ramped up) and then the CDO manager may alter the portfolio as they see fit.

has origination objective
type: ObjectProperty
domain: collateralized debt obligation
range: c d o origination objective

provides credit support to
type: ObjectProperty
sub property of: isSubordinatedTo
domain: tranched m b s instrument
range: tranched m b s instrument

provides prepayment support
type: ObjectProperty
domain: agency c m o
range: agency c m o

provides prepayment support for
type: ObjectProperty
sub property of: provides prepayment support
domain: planned amortization class bond
range: planned amortization class bond
inverse of: supported by

rated at issue
type: ObjectProperty
domain: mezzanine c d o tranche
range: tranche rating at issue

rated at issue
type: ObjectProperty
domain: senior c d o tranche
range: tranche rating at issue

reverts
type: ObjectProperty
domain: non agency regular jump z tranche
range: jump z trigger event reversal

reverts on
type: ObjectProperty
domain: agency regular jump z
range: jump z trigger event reversal

senior to
type: ObjectProperty
sub property of: cashflow precedence
domain: mezzanine m b s tranche
domain: senior m b s tranche
range: mezzanine m b s tranche
range: subordinated m b s tranche
definition: Specific kinds of tranche are modeled for example and investigation only and have been removed from the diagrams. These will be removed from the final model.

seniority
type: ObjectProperty
domain: collateralized debt obligation
range: CDOTrancheSenioritySelection
definition: The seniority which defines this tranche. This is the precedence order for scheduled payments. Further notes: Tranches are categorized as senior, mezzanine, and subordinated/equity, according to their degree of credit risk. If there are defaults or the CDO's collateral otherwise underperforms, scheduled payments to senior tranches take precedence over those of mezzanine tranches, and scheduled payments to mezzanine tranches take precedence over those to subordinated/equity tranches. Senior and mezzanine tranches are typically rated, with the former receiving ratings of A to AAA and the latter receiving ratings of B to BBB. The ratings reflect both the credit quality of underlying collateral as well as how much protection a given tranch is afforded by tranches that are subordinate to it.

seniority
type: DatatypeProperty
domain: mezzanine c d o tranche
definition: The seniority which defines this tranche. This is the precedence order for scheduled payments. This is Mezzanine, meaning the tranche between senior and subordinated.

seniority
type: DatatypeProperty
domain: senior c d o tranche
definition: The seniority which defines this tranche. This is the precedence order for scheduled payments. This is defined as Senior, i.e. this is the most senior tranche of the CDO issue.

seniority
type: DatatypeProperty
domain: subordinated c d o equity
definition: The seniority which defines this tranche. This is the precedence order for scheduled payments. This is subordinated (also known as equity) and is the most junior tranche in the CDO issue.

seniority
type: DatatypeProperty
domain: super senior c d o tranche
definition: The seniority which defines this tranche. This is the precedence order for scheduled payments. This is defined as Senior, i.e. this is the most senior tranche of the CDO issue.

specifies
type: ObjectProperty
domain: planned amortization class bond
range: p a c tranche amortization schedule

specifies
type: ObjectProperty
domain: t a c tranche
range: t a c tranche amortization schedule

specifies reverse trigger
type: ObjectProperty
domain: jump z trigger event reversal
range: jump z trigger event

specifies trigger
type: ObjectProperty
domain: agency jump tranche
domain: non agency jump tranche
range: jump z trigger event
definition: The event which, when it takes place, causes the Jump Z holders to begin receiving payments.

has structure type
type: ObjectProperty
domain: collateralized debt obligation
range: c d o cashflow treatment structure
definition: The source of funds for the CDO. This is either cashflow or market value.

structure
type: ObjectProperty
domain: c d o deal
range: c d o cashflow treatment structure
definition: The source of funds for the CDO is market value. This means that principal and interest payments to investors come from both collateral cash flows as well as sales of collateral.

supported by
type: ObjectProperty
domain: planned amortization class bond
range: planned amortization class bond

takes prepayment after
type: ObjectProperty
sub property of: supported by
domain: p a c-1 class
range: p a c-2 class

takes prepayment after
type: ObjectProperty
sub property of: supported by
domain: p a c-2 class
range: p a c-3 class