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Not liquidity. Solvency.
|
83
comments (83 topical, 0 editorial, 0 hidden)
Re: Not liquidity. Solvency.
(
4.00 / 5
)
Typical senior tranches go to the 82% watermark. At least, that's the attachment point for which base correlation is quoted. So AAA feels the pain at 18% default rate. Hence the freeze: we are almost there.
Pierre
by
Pierre
on
Mon Dec 17th, 2007 at 10:21:43 AM EST
[
Parent
]
But an important point is that ...
(
none / 1
)
... AAA starts to feel sore before it feels real hurt, because the quality of a tranch declines as the original junk tranches are zeroed out.
Utsukushikereba sore de ii
by
BruceMcF
(
agila61 at netscape dot net
)
on
Tue Dec 18th, 2007 at 06:01:19 PM EST
[
Parent
]
Not liquidity. Solvency.
|
83
comments (83 topical, 0 editorial, 0 hidden)
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