Details: VSOP Fund

VSOP consists of long and short positions on 50 tranches from a variety of issuers and servicers. The deals come from a range of vintages going back before 2000 but most from 2006 or 2007. There is a high concentration of Class A tranches for both longs and shorts. Total target portfolio size is $1,771,953,025, with the highest concentration in a single deal being 16% of the total. We are refining our concentration limits before finalizing the fund size and composition.

VSOP Fund : PIT Ranking

Trackback from your site.

Leave a comment

theSpectrum

Smiley face

Latest Post:

Automatic Synthesis of Tri-Diagonal Markov Transition Matrices: A Failure of the Inverse Ferron-Frobenius AlgorithmABSTRACT: Sylvain Raynes experimented with a method developed by Goya and Boyarski (1993) to standardize the synthesis of conditional Markov transition matrices for deal entry in our automated re-rating system, ABSTRAK®. In the analytical literature, the reverse-engineering of a Markov matrix from its spectral-radius eigenvector is referred to as the Inverse Perron-Frobenius Problem. Our analysts do this synthesis manually, so a successful outcome […]

Click for all posts

Ann Rutledge on China

Smiley face

Latest Post:

美国专家:看好中国债券市场证券化的前景http://v.ifeng.com/news/finance/201510/01facbfc-a841-4187-bfd0-054f9e73b779.shtml

Click for all posts

R&R微博