Issue 41 - May 30th
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Rumour has it...
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Cultural shift
The best of times, the worst of times
Back in the day, ABC Bank (yes, that august institution, once again) was a great place to work. It o...
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Data
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CDR Liquid Index data as at 28 May 2007
Source: Credit Derivatives Research
Index Values &a...
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News
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Spanish synthetic surge?
New CDO could be the beginning of a trend
Lehman Brothers and Bankinter have begun marketing Castellana Finance, the debut Spanish synthetic...
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LCDX expectations emerge
Index and its tranches could become CLO manager benchmark
As enthusiastic early trading of LCDX remains, dealers have this week continued discussions over sta...
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Leveraged super seniors return
A number of LSS deals are expected to hit the market - among them is a first for the product type
Dealers report seeing some indications of super senior activity making a come back since last Wedne...
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Talking Point
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New frontiers
More Canadian fund managers to enter the CDS market and utilise new strategies
The investor base for Canadian credit derivatives is set to rise as more fund managers look to ente...
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Job Swaps
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Morgan Stanley adds to loans
The latest company and people moves
Morgan Stanley adds to loans Robert Lepone, head of European distressed and leveraged credit tradi...
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News Round-up
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BlackRock launches innovative Valleriite
A round up of this week's structured credit news
BlackRock launches innovative Valleriite Arranger Merrill Lynch International and co-lead manager...
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Research Notes
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Trading ideas - c'est la VIE
Dave Klein, research analyst at Credit Derivatives Research, looks at a negative basis trade on Veol...
Basis trades are often seen as the bread and butter of many credit traders. The systemic rise and f...
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Synthetic CDOs: made to measure - part 1
A two part guide to valuing bespoke and non-standard tranches by Richard Huddart and Domenico Picone...
When pricing a CDO tranche, default correlation is, of course, a key input. Whilst the expected los...
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