“Nearly all CDOs of ABSs originated in 2006 and 2007 are in deep trouble,” said Ratul Roy, head of structured credit strategy at Citi in New York. Continual tranche downgrades among mezzanine CDOs of ABSs, he added, were in turn putting more high-grade CDOs of ABSs at risk.
High-grade deals, by defi
The week on Risk.net, October 6-12, 2017Receive this by email
- Quantile, TriOptima face off in cleared swaps compression battle
- SGX, HKEX expect to be among first wave of Mifid II equivalence
- Leaked EU doc could shield legacy swaps from clearing grab
- ABS set for revival under US Treasury’s liquidity buffer plans
- Quants stymied by lack of alternative risk premia flows data