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Issue 58 - October 3rd

  • Data

  • News

      • CLO slew

        Balance sheet deals ease warehouse risk

        Seven US CLOs priced during September for a volume of US$6.9bn, five of them – all leveraged loan t...

      • Super-senior supply

        ABS exposure on offer via bespoke correlation trades

        A developing supply of ABS super-senior paper – a feature more commonly associated with the corpora...

      • Relative value trade

        High implied correlation between CLO equity and LCDX tranches

        As details of LCDX standardised tranches are clarified ahead of next week's launch, relative value...

      • Cat bond bounce?

        New US legislation could drive issuance volumes

        Proposed legislation that would help US states to manage their catastrophe risk and facilitate the...

      • Structured credit hedge funds continue slide

        Latest index figures show a further drop in returns, but not for all sub-strategies

        Both gross and net monthly returns for August 2007 in the Palomar Structured Credit Hedge Fund (SC H...

  • Job Swaps

      • All is not loss

        The latest company and people moves

        All is not lossWith banks ranging from Citi to UBS reporting significant structured credit losses i...

  • News Round-up

  • Research Notes

      • Trading ideas - big MAC

        Dave Klein, research analyst at Credit Derivatives Research, looks at a curve steepener trade on SLM...

        When we hold a deteriorating fundamental outlook on a name, the positive carry curve steepener is o...

      • To square, or not to square?

        The stability of CLO-squared tranches is discussed by JP Morgan's structured credit strategy team

        It may be somewhat surprising to consider CLO-squareds (CLO2s) in the current market environment wh...

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