CDO squareds have disappeared from the market and been replaced by leveraged super senior transactions. The structures represented between 50%-60% of all synthetic structures rated by Standard & Poor's before May, but following the U.S. auto downgrades and subsequent correlation pricing problems, this fell to zero within a month. Walter Gontarek, managing director and head of global credit products at RBC Capital Markets in London, said investors migrated away from the mezzanine part of the capital structure to find value in super senior tranches.
CDO Squareds Vanish, Eclipsed By LSS
