Market graphic - A consensus for valuation input assumptions
Money managers' expectations for the 12-month performance of underlying loans behind European RMBS are showing signs of improvement, says Peter Jones
The second quarterly Consensus Survey of European structured finance market participants reveals marked improvements to their key predictions for the performance of European RMBS loans. Nevertheless, the results highlight a central problem for the structured finance market, a problem highlighted by the G20, the financial industry, regulators and auditors alike: the difficulty and disparity around the creation of input assumptions for the valuation of illiquid legacy asset-backed and mortgage
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