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Issue 77 - February 27th

  • Data

  • News

      • Manager alpha

        Rising defaults to kick-start CDO manager tiering

        As the level of defaults continues to rise, the viability of CDO managers and their ability to outp...

      • Monoline momentum

        Relief in the short term, but concerns remain

        The market breathed a collective sigh of relief after S&P affirmed MBIA and Ambac's ratings, an...

      • CFoFO for Natixis

        Hedge fund pool-backed deal begins marketing

        Natixis is marketing a small but unusual collateralised fund obligation. The €46.7m Syracuse Fundin...

      • Correlation quandary

        Extracting value in a range-bound environment

        Weakening fundamentals are expected to maintain default correlation at its current highs until the...

  • Talking Point

      • Reframing the issue

        Whether the market can rethink its approach to the complexity of credit derivatives is discussed by ...

        Since the sub-prime summer of 2007, the credit market has posed a number of challenges. The impact...

  • Job Swaps

      • Manager hires CDO head

        The latest company and people moves

        Manager hires CDO head Michael Herzig, formerly head of CDO distribution in the US for Deutsche Ba...

  • News Round-up

      • Action taken on 23 SIVs ...

        A round up of this week's structured credit news

        Action taken on 23 SIVs ...S&P has assigned one new senior SIV rating, lowered four senior and...

  • Research Notes

      • Counterparty risk in credit derivatives - part 1

        In the first of a two-part series on credit derivative counterparty risk, mitigation techniques are ...

        Counterparty risk is the risk taken on by each party in an OTC contract that the other will not ful...

      • Trading ideas: something's gotta give

        Dave Klein, senior research analyst at Credit Derivatives Research, looks at a pairs trade on CDX IG...

        There has been much talk about the credit-equity disconnect recently. Commentators wonder how the c...


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