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Issue 81 - March 26th

  • Data

  • News

      • The right to vote

        Lawsuit highlights potential future drivers for ABS CDO recoveries

        Merrill Lynch's lawsuit against XLCA over the termination of certain CDS contracts highlights the l...

      • Rating-implied RelVal

        New pricing model identifies opportunities in shifting risk premiums

        Historical CDS index risk premiums based on S&P assumptions are considerably higher than they w...

      • Liquidity boost?

        Mixed response to Fed's unprecedented easing

        Unprecedented easing by the US Federal Reserve last week led some analysts to call the bottom of th...

      • Backstop tactics

        Bear Stearns bail-out could support market liquidity

        The US Federal Reserve this week adopted an unusual approach to public crisis management by essenti...

  • Job Swaps

      • Credit and people markets decouple

        The latest company and people moves

        Credit and people markets decouple Unlike the market itself, the small number of banks that are st...

  • News Round-up

      • EOD haircuts analysed

        A round up of this week's structured credit news

        EOD haircuts analysedEvents of default (EODs) among US ABS CDOs have been increasing in recent mont...

  • Research Notes

      • The new and improved LevX

        The different types of trades that can be implemented using the new LevX index are discussed by Mahe...

        The introduction of the new LevX is a further evolution in the derivatisation of loan markets. Give...

      • Trading ideas: home unimprovers

        Tim Backshall, chief credit derivatives strategist at Credit Derivatives Research, looks at a pairs ...

        With spreads galloping tighter across much of investment grade land (more technically than fundamen...


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