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A bespoke portfolio is a table of reference securities. A bespoke portfolio may serve as the reference portfolio for a synthetic CDO arranged by an investment bank and selected by a particular investor〔Structured Credit Insights: Instruments, Valuation and Strategies. Morgan Stanley, April 2006, Second Edition〕 or for that investor by an investment manager. The list of reference securities making up a portfolio is one of the primary drivers of the investment outcome of a synthetic CDO.〔Structured Products and Related Credit Derivatives - A Comprehensive Guide for Investors. pp254-255. Lancaster Schultz Fabozzi. John Wiley & Sons, Inc. - Chichester, 2008〕 Because the portfolio is not that of a corporate credit index like the CDX or iTraxx, the mean default probabilities of the reference securities, their distribution of default probabilities, their default correlations and the recovery amounts upon default can vary greatly. In principle, the investor chooses the reference securities and decides on the "attachment" and "detachment" points〔Merrill Lynch Credit Derivatives Handbook 2006 - Volume 2, page 4. Merrill Lynch, 14 February 2006〕 (that is, the amount of losses that occur before the investor suffers its first dollar of loss; and the upper limit beyond which the investor suffers no further losses). In reality, the arranger demands a good deal of input into the selection of the reference portfolio. Most arrangers manage their risks by buying and selling protection on single-name CDS or on the CDX indexes and therefore they usually avoid taking positions in CDS that cannot readily be traded.〔 Bespoke portfolios can have very different default correlation characteristics from credit indices with similar distributions of riskiness. Bespoke portfolios almost invariably have numbers of reference securities similar to those of the major credit indices - 100 to 125 reference securities - but bespoke portfolios can include reference securities that have highly correlated default probabilities, either because they are issued by different subsidiaries of the same parent company, because they include closely related but separate companies, or because the bespoke portfolios include much higher concentrations in single industries than occurs in credit indices.〔Merrill Lynch Credit Derivatives Handbook 2006 - Volume 2, page 14. Merrill Lynch, 14 February 2006〕 Determining the fair default correlations for a bespoke portfolio can be very difficult. The chart on the right shows that differences in correlation can greatly change the probability distribution of defaults and thus change the fair value of any given CDO tranche linked to a particular portfolio. Initially, bespoke portfolios referenced in most synthetic CDOs were static, meaning that the list of reference securities would change only because of default, because of a succession event, or because of the disappearance of a reference security or its issuer. From 2004 onwards, managed transactions were also issued. Managed bespoke portfolios are those where a third party investment manager is appointed to select the bespoke portfolio but also to buy and sell the underlying reference securities to exploit trading opportunities or avoid credit losses.〔 A synthetic CDO can be structured as a swap between an investor and an arranger, in which case the investor does not need to fund the purchase of the synthetic CDO notes. The majority of bespoke portfolio linked CDOs, however, are embedded into credit-linked notes that are purchased by the investor.〔 ==Market size== The overall volume of CDOs on bespoke portfolios rose rapidly in the early 2000s. In 1999, synthetic CDO issuance in total was less than $10 billion. 2005 issuance of bespoke portfolio tranches was cited by Rajan, McDermott and Roy as $294 billion.〔The Structured Credit Handbook. Arvind Rajan, Glen McDermott, Ratul Roy. John Wiley & Sons Inc. - Chichester, 2007. p. 6 ()〕 CDO tranches linked to bespoke portfolios continued to trade after the financial crisis of 2007–08 but in considerably reduced amounts.〔"Crossing Barriers". European Credit Views, 9 June 2010. Credit Suisse.〕 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Bespoke portfolio (CDO)」の詳細全文を読む スポンサード リンク
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