Published November 30, 2022 | Version v1
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MezzMezzMezz Trade Model

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Description

The MezzMezzMezz trade model is a synthetic Collateral Debt Obligation (CDO) structure in which the collateral pool is composed of tranches issued under MezzOfMezz or Caribou structures. Each participating MezzOfMezz tranche is a CDO mezz tranche defined by a threshold and a principal. Several such MezzOfMezz tranches are aggregated and tranched into MezzMezzMezz tranches. Within the existing modelling framework the model is implemented by adding a layer of CDO structure to the MezzOfMezz model.

Notes

https://ia601404.us.archive.org/25/items/bondBootstrapping/bondBootstrapping.pdf

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MezzMezzMezz.pdf

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