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Issue 39 - May 16th

  • Rumour has it...

      • First among amendments

        Churnham and Burnham... not

        When the founding fathers went to fine-tune the US constitution and formalise certain rights, includ...

  • Data

  • News

      • CDS skew UK RMBS

        Derivatives pricing misleading cash market?

        Spreads in the primary UK non-conforming (NC) RMBS market have pushed dramatically wider in the past...

      • Long-short evolution

        Manager builds programme of new synthetic CDO strategies

        Washington Square Investment Management (WSqIM) is in the process of rolling out a series of innova...

      • CRE CDOs attract non-CMBS investors

        CDO-focused buyers may settle for less specific issuance, but European asset class expected to grow

        As Citi and Lehman Brothers announced the preliminary details of the fifth European CRE CDO, analys...

      • Everquest IPO planned

        Details emerge of Bear and Stone Tower permanent capital vehicle

        Bear Stearns Asset Management and Stone Tower Debt Advisors filed papers with the US SEC to initiat...

      • Structured credit hedge funds stay steady

        Latest index figures indicate a quiet March for the sector

        Both gross and net monthly returns for March 2007 shown in the Palomar Structured Credit Hedge Fund...

  • Talking Point

      • Troubling times

        Sub-prime contagion may be contained, but investors expect further volatility

        The US housing market's turmoil and how it will affect the wider financial markets is a concern. Th...

  • Job Swaps

      • Bearelly heads to Zais

        The latest company and people moves

        Bearelly heads to ZaisSridhar Bearelly, global head of CDO syndication at Lehman Brothers is unders...

  • News Round-up

  • Research Notes

      • Trading ideas - shareholder FrienDly

        Dave Klein, research analyst at Credit Derivatives Research, looks at a negative basis trade on Fede...

        Basis trades are often seen as the bread and butter of many credit traders. The systemic rise and f...

      • Dynamic portfolio insurance - part 2

        In this second of a three part series, DPI strategy is discussed by Alessandro Muci, Domenico Picone...

        This section introduces our base case DPI strategy. Following a brief description of a generic DPI...


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