Be it via evaluated or contributed pricing services, cash CDOs are seen as the “big problem” when it comes to getting accurate price quotes in the securitization market. Synthetic CDO tranches can be priced on a correlation basis but cash CDOs are a far more tricky proposition. “If cash CDOs are actively managed and the collateral is constantly changing it is very difficult to accurately value them,” observed Ian Blance of FT Interactive Data at a recent European Securitisation Forum seminar on the topic. “If there is one asset out there that only has one price available it will be a cash CDO.”
One of the problems is that deals in the...
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