RESEARCH
TALF 101
June 26, 2009
This white paper briefly explains what the TALF program is and why it was started. It outlines the changes it has undergone since inception, and analyzes the program’s impact on the market. It concludes that the TALF program has been successful as ABS issuance has restarted, and ABS and CMBS spreads have narrowed from the peaks of earlier this year. It leaves us with some doubt as to the future of CMBS within TALF and suggests that RMBS may not be added to the program after all.
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SPOTLIGHT
The Opportunity in Senior CLO Notes
June 26, 2009
In this research note, we explore the opportunity in senior CLO notes through a series of questions ■ What are CLOs and how do they work? ■ What makes AAA investors senior? ■ How wide are CLO spreads and why? ■ What have the rating agencies done? ■ How does credit deterioration affect CLO paper? ■ If default rates spike, how will it impact AAA paper? ■ How does AAA CLO paper compare with other AAA securitized paper?
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