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Issue 78 - March 5th

  • Data


  • News

      • Liquidation sale

        ABX illiquidity underlined

        The liquidation of the Peloton ABS Fund last week renewed concerns over the growing illiquidity in...

      • Single name revolution

        Positive basis boosts CDS trading

        As technical drivers become increasingly divorced from fundamentals, buying protection on (preferab...

      • Stop-loss in sight?

        Concern grows over structured credit unwind

        As the investment grade CDS indices continue to widen in the absence of any new adverse credit info...

      • Asia to outperform

        Basel 2 to drive growth in structured credit

        The domestic structured credit markets in some Asian countries have remained resilient to the credi...


  • Job Swaps

      • ICG expands credit team

        The latest company and people moves

        ICG expands credit team Intermediate Capital Group (ICG) has appointed Jeff Boswell and Simon Peatf...


  • News Round-up

      • LevX 2 draws closer

        A round-up of this week's structured credit news

        LevX 2 draws closer A dealer call yesterday, 4 March, has confirmed that Series 2 of LevX – the Eu...


  • Research Notes

      • Counterparty risk in credit derivatives - part 2

        In the second of a two-part series on credit derivatives counterparty risk, Barclays Capital's quant...

        Expected losses due to correlated defaults Since they were introduced, credit derivatives have bec...

      • Trading ideas: stealing aces

        Byron Douglass, senior research analyst at Credit Derivatives Research, looks at a pairs trade on Un...

        From the metals & mining industry, the multi-factor credit indicator (MFCI) model came across t...



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