wilslm

Spanishesk nailed it. I would remember though that credit tranching (having certain bonds absorb the first defaults) is different from pre-payment tranching described above. Many MBS & ABS structures have both credit and pre-payment tranching, with parts of the strcuture absorbing the first pre-payments and different parts of the structure absorbing the first defaults.



Edited 1 time(s). Last edit at Monday, May 23, 2011 at 08:26PM by ftwcfa.