24 June - Proposed changes to the Basel II Accord’s trading book regime, due in early July, will make correlation trading uneconomical unless a compromise can be found, say dealers ( Read more... )

"A word on super senior swaps ( Read more... )

Thursday, October 23, 2008 ( Read more... )

Merrill Fires Structured Debt Bankers, People Say ( Read more... )

Active Credit Portfolio Management ( Read more... )

Thursday, October 25, 2007 ( Read more... )

# Credit Crunch: Buyout firms, hedge funds see year-long credit slump, PE `back to basics` due to liquidity crunch, BoE`s Governor puts UK economy on danger watch ( Read more... )

We start with a $100 portfolio of ABS bonds which yield 7%. This is called the collateral portfolio. The collateral portfolio has a average rating of BBB. In order to fund the purchase of this portfolio, 5 different securities are sold. The amount, credit rating and interest rate of the first four are as follows.

$75 Class A, rated AAA, yields 5.51%
( Read more... )

Questions lie behind CPDO hype ( Read more... )

CDO Managers Win Back Warehouse Access
Asset Backed Alert, Harrison Scott Publications Inc. (June 8, 2007)Investment banks are once again warming to the idea of writing warehouse lines that enable CDO issuers to accumulate pools of subprime-mortgage bonds for their future deals ( Read more... )