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Available funds caps are a common feature of European commercial mortgage-backed securities transactions.
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The US commercial real estate collateralised debt obligations (CRE CDO) market is well established, issuing since 1999, a total of around $30 billion.
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Common market best practice for pricing off-the-run or bespoke collateralized debt obligation tranches involves mapping implied base correlation surfaces calibrated from actively traded tranches such as those on the CDX or iTraxx.
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The volume of securitized secondary financing for second liens has more than quadrupled since 2001.
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Last week's Learning Curve introduced the gamma model as a replacement to the base correlation approach.
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The standard market model for pricing collateralized debt obligations is base correlation, but it suffers from known problems.
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Throughout 2006, Moody's Investors Service has seen demand for ratings of previously non-rated transactions in the Portuguese structured finance market.
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Given the current state of the U.S. auto industry and manufacturer rating downgrades that have occurred throughout 2006, it is no surprise that the impact of an auto manufacturer bankruptcy on the performance of U.S. auto ABS transactions continues to pervade investor thoughts.
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Leveraged super senior transactions provide protection on a super senior tranche.