Managed deals could be next, but market's potential is expected to be limited
Active deals seen as “the next step” after last year’s revival of static CDOs
EU stress tests showed €34.5 billion notional legacy book
European banks and pension funds are seeking redress over CPDO ratings, and claims against issuers of other structured credit products could follow
Don’t say we didn’t warn you
Ruling in North Street deal could set new benchmark for CDO litigation, lawyer argues
Risk awards 2011
Leveraged super-senior (LSS) trades represent a mechanism for packaging senior credit risk. Many LSS structures have been issued to date and yet there seems to be no formal pricing approach. In this article, Jon Gregory discusses the valuation of LSS…
Amid countless other subprime-related lawsuits, a showdown is currently taking place between HSH Nordbank and UBS over a stricken collateralised debt obligation, named North Street. The case raises questions about practices employed at banks and across…
The issuance of arbitrage synthetic and cash collateralised debt obligations (CDOs) in Japan is set to remain at a standstill due to tight credit spreads, according to a report published by Moody’s Investors Service.
By Sean C Keenan, Jorge R Sobehart and Terry L Benzschawel
Valuation and risk analysis of synthetic collateralised debt obligations: a copula function approach
By David X Li and Jure Skarabot
By Alexander Batchvarov, Jenna Collins and William Davies
By Robert Reoch
French bank BNP Paribas has launched an Australian dollar-denominated synthetic collateralised debt obligation (CDO) in an effort to appeal to Australia’s institutional investor base.
Jon Gregory and Jean-Paul Laurent apply an analytical conditional dependence framework to the valuation of default baskets and synthetic CDO tranches, matching Monte Carlo results for pricing and showing significant improvement in the calculation of…
Singapore’s UOB Asset Management (UOBAM) has once again moved into the synthetic collateralised debt obligation (CDO) market, managing its third transaction deal in eight months. This time, Goldman Sachs is the co-arranger of the transaction with UOB,…
Japan’s Sumitomo Mitsui Banking Corporation (SMBC) is preparing to launch its second balance sheet synthetic collateralised loan obligation on March 24, ahead of the fiscal year end, with a ¥1 trillion ($8.35 billion) transaction.
French bank BNP Paribas is on the verge of closing a ¥140 billion ($1.19 billion) managed synthetic collateralised debt obligation (CDO) with Japanese asset management firm Daiichi Life-IBJ Asset Management (DIAM). Expected to close in mid-February, the…
Japan’s synthetic collateralised debt obligation (CDO) market is likely to continue to boom in 2003, according to a report published this week by credit rating agency Moody’s Investors Service.