Issue 62 - October 31st
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Data
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CDR Liquid Index data as at 29 October 2007
Source: Credit Derivatives Research
Index Values Value Week...
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News
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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,...
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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...
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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...
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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...
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Structured credit hedge funds edge up
Latest index figures show small reversal
Both gross and net monthly returns for September 2007 in the Palomar Structured Credit Hedge Fund (S...
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Job Swaps
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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...
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News Round-up
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Further SF CDOs placed on negative watch
A round up of this week's structured credit news
Further SF CDOs placed on negative watch Following a comprehensive global review of the 431 Fitch-...
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Research Notes
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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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