Issue 58 - October 3rd
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Data
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CDR Liquid Index data as at 2 October 2007
Source: Credit Derivatives Research
Index Values Value ...
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News
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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...
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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...
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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...
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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...
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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...
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Job Swaps
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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...
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News Round-up
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Taiwanese CBO hit by Westways downgrade
A round up of this week's structured credit news
Taiwanese CBO hit by Westways downgradeFitch Ratings has downgraded the ratings of the Class C bond...
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Research Notes
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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...
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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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