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The really complex products like CDO squared, which has such a remote link from the asset that you can't tell when it is defaulting, can't happen in Islamic finance because debt cannot qualify as an asset," said Dubai-based law firm Clifford Chance head of capital markets Debashis Dey.
The CDO squared bonds are made up of middle or mezzanine tranches of the CDO asset-backed securities and are also sold in tranches," Dinallo said.
No master level CDO squared tranches would suffer losses in the 40% recovery stress; however, master level credit enhancement levels would erode or cross subordination mechanisms would begin to absorb losses in 45 tranches of CDO squareds.
An analysis of the current CDO valuation approaches, such as the One-Factor Gaussian Copula Model, Copula extensions, Levy processes, Markov Models, as well as CDO squared and CPDO valuation.
Tigris 2007-1 is a cash flow SF CDO squared (CDO of CDOs) that closed on March 15, 2007 and is managed by Harding Advisory LLC.
Fitch rates four CDO squared transactions that use fixed recovery rates for the reference assets.
Awasthi ran the CDO Squared platform on the structuring side at Citigroup, where he specialized in complex cash/synthetic transactions across the bank debt and structured credit space.
The impairments and loss reserves are expressed on a net present value basis and are expected to be paid out over the next four years for direct and multi-sector CDO squared exposures, and up to 30 to 40 years for the Company's insured multi-sector collateralized debt obligations ("CDOs").
The four CDOs include a CDO squared (closed), a domestic collateralized loan obligation ("CLO") (priced), a European CLO (priced) and a mezzanine ABS CDO (priced).
It was also lauded for innovation, with such deals as the fully synthetic CDO squared Visage transaction and the Westways series, which contained an innovative use of convexity trades with little or no credit risk within the CDO structure.
Fitch modelled the risk of the unwind features using its default VECTOR tool as for a CDO squared transaction, with each annual unwind trigger being input as a separate inner CDO with the relevant loss level and maturity.
3; questions 9-14 are questions relating to CDO squared transactions; and questions 15-17 are troubleshooting questions.
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