CDO growth depends on super-senior risk protection

The future growth in managed synthetic collateralised debt obligation (CDO) deal-flow is dependent on the willingness of counterparties to sell super-senior risk protection to CDOs, says Jeff Huffman, a London-based executive director in Goldman Sachs’ credit derivatives group.

Speaking last month at Risk’s Credit Risk Summit 2002 Europe, Huffman said the superior economics of managed synthetic versus cash CDOs are largely due to super-senior risk – typically equivalent to between 80% and 90% of

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