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Issue 24 - January 31st

  • Rumour has it...

      • The Cary trade

        Working for a rise

        There was a time when sophistication or, indeed, being sophisticated was regarded as something reall...

  • Data

  • News

      • Next generation CPDOs on the blocks

        Variety of new deals in the pipeline, but ratings issues are causing delays

        A plethora of new rated CPDO structures are currently being prepped – ABN AMRO, Barclays Capital, C...

      • In search of the new

        Japanese investors looking at a range of new structured credit products

        Market participants in Tokyo report continuing growth in the number and range of new entrants to th...

      • Option volatility jumps

        Credit option implied volatility is on the increase, spread vol could follow

        Short-dated option implied volatility in Europe has risen strongly over the past month. Meanwhile,...

      • PPA CLOs rocked by insolvencies

        Two more deals put on rating watch negative

        Tranches from two German profit participation agreement (PPA) SME CLOs – FORCE 2005-1 and StaGe Mez...

  • Talking Point

      • Tiering takes hold

        CLO managers accept pricing differential

        Intense competition and an ever-booming market is leading to a hierarchy in the pricing of CLO mana...

  • The Structured Credit Interview

      • Expanding horizons

        James Rothman, senior managing director - structured credit at ACA Capital, answers SCI's questions

        James Rothman Q: When, how and why did your firm become involv...

  • Job Swaps

  • News Round-up

      • Fortis' Delacroix CPPI nears launch

        A round up of this week's structured credit news

        Fortis' Delacroix CPPI nears launch Fortis Investments will soon close marketing on its Delacroix...

  • Research Notes

      • Trading ideas - flying south

        Dave Klein, research analyst at Credit Derivatives Research, looks at a positive-carry short positio...

        When we have a fundamental outlook on a credit, we prefer to put on positive-carry, duration-neutra...

      • Synthetic ABS Nuances

        Mark Adelson and Edward Santevecchi of Nomura Securities International's US structured finance resea...

        The term "synthetic ABS" refers to credit default swaps (CDS) on ABS. Users of synthetic ABS – like...


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