If there are 4 tranches (Tranche A being the highest priority trance and Tranche D being the lowest), and I would like to purchase one tranche to split into PO and IO strip because I believe prepayments will increase, which tranche should I buy?
Regarding AIM: Describe a waterfall structure in securitization (Malz, Chapter 9 Structured Credit risk)
On page 34 of our notes could you kindly explain how the principal of 85 for senior tranche and principal of 10 for the mezzanine tranche in the example were calculated please...
I'm having trouble reconciling the effect of an increase in default correlation between the Meissner and Malz readings. To me they sound like they are saying the opposite of each other, so I must be missing something.
Meissner figure 1.7 shows for the equity tranche as default correlation...
In Chapter 1 of Meissner, he says regarding the financial crisis "The equity tranche spread increased sharply". Is this the spread between the equity trance and its next superior tranche or the most superior tranche?
AIMs: Define and describe how default sensitivities for tranches are measured. Summarize some of the different types of risks that play a role in structured products. Identify the motivations for using structured credit products.
315.1. According to Malz, "The default01 measures the...
Is the CDO's SPE the CDS protection seller of the unfunded portion of the reference portfolio corresponding to the Super-senior tranche? I am asking because accoring to your sceencast, it seems the protection seller is a different entity.. The Super-senior tranche is one of the CDO...