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Points upfront - Valuation Issues
Monday, March 30, 2009
A market veteran who is advising investors on valuation issues notes a sizeable number of CSOs include in the reference portfolio the bank that arranged the deal. In other deals, the same monoline appears in the reference portfolio as well as providing the gic collateral. This, says the source, is unlikely to have been a conscious attempt to load up on monoline risk, but simply reflects the fact that no party spent a great deal of time scrutinising the reference portfolio.
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CFlux secondary
CLO index levels:
| Index | 21 May |
|
| CFlux USD AAA | ↑ | 96.2 |
| CFlux USD AA | ↑ |
88.3 |
| CFlux USD A | ↓ | 84.1 |
| CFlux USD BBB | ↓ | 75.3 |
| CFlux USD BB | ↓ |
74.1 |
| CFlux USD EQ | ↑ | 77.5 |
