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Issue 62 - October 31st

  • Data

  • News

      • Crisis, which crisis?

        Lack of certainty over whether 'summer shock' has morphed into full-blown crisis

        Now that CDO event-of-default notices have begun to appear as a result of rating agency downgrades,...

      • Long/short opportunities

        Revitalised interest in credit CPPI could lead to new underlyings

        With many long portfolios having suffered significantly over the summer, a recognition of the need...

      • Deeper and deeper

        Expiring ARM teaser rates to drive ABX delinquencies

        It is estimated that the isolated effect of expiring hybrid adjustable-rate mortgage (ARM) teaser r...

      • OC tests under pressure

        Interest shortfalls widely expected as CDO downgrades continue

        Overcollateralisation tests are increasingly coming under pressure as the rating agency CDO downgra...

  • Job Swaps

      • ABS CDO team cut

        The latest company and people moves

        ABS CDO team cut Following on from its 17 October announcement of poor results, JP Morgan said tha...

  • News Round-up

  • Research Notes

      • Trading ideas: Texan callables elate honchos

        John Hunt, research analyst at Credit Derivatives Research, looks at a negative basis trade referenc...

        As might be expected from a multi-billion LBO offering amid deteriorating credit markets, the TXU b...

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