Cover story
Escaping the fees maze
Cover Story
On thin ice
Following the near-collapse of Bear Stearns, even trades conducted with interbank dealers can no longer be considered risk-free. With so much of the derivatives market concentrated in the hands of a few dealers, what would happen if a major counterparty…
Core value
First American CoreLogic is said to be close to finalising a deal with a rating agency to provide loan level data as part of industry efforts to improve transparency and standardise information. Han-Nee Tay talks to Walter Allen, senior vice-president of…
A trade for all directions
Cover Story
Nightmare on North St
Amid countless other subprime-related lawsuits, a showdown is currently taking place between HSH Nordbank and UBS over a stricken collateralised debt obligation, named North Street. The case raises questions about practices employed at banks and across…
A clearer picture
Fraud has gone to the top of the postmortem on the US subprime debacle. To detect and prevent it, more information at the loan level is needed, and the standardisation of data would also help investors in mortgage-backed securities make better decisions,…
The case for the defence
Although the smallest of the big three agencies, Fitch Ratings is often perceived as the one that reacts fastest to market developments. Sarfraz Thind talked to Glenn Costello, co-head of US RMBS at Fitch in New York
Genius or blunder?
As more details emerge on the rogue trading scandal that caused a EUR4.9 billion loss, Société Générale appears more a victim of risk management failures than of a genius of fraud. But is this case a one-off, or are other institutions similarly…
Steward's enquiry
Hermes' David Pitt-Watson gives an owner's perspective on the troubles at UK lender Northern Rock, and details the changes he believes would prevent a repeat of the credit crunch in future. Interview by Rob Mannix
Credit deals and hybrid structured products
Cover Story
A VAR, VAR better thing?
Banks reported a surge in the number of value-at-risk exceptions during the third quarter of last year following extreme turbulence in the financial markets. Are risk models breaking down? What are banks doing to fine-tune risk management practices and…
The year ahead
From widespread house price falls and increases in foreclosures, to funding innovations and alterations in regulation, 2008 will be a year of unprecedented change and adjustment for mortgage banks. Mortgage Risk, together with a select panel of leading…
The lure of liquidity
Cover Story
What happens next?
As a steady stream of analysts and industry experts continue to issue dismal forecasts for US house price appreciation, adjustable rate mortgage resets and the broader economy as a whole, Ajay Rajadhyaksha, head of US fixed income strategy at Barclays…
Rise and fall
House price movements are set to become the dominant factor determining what US mortgage banks lend in future. Understanding house price appreciation and modelling it accurately has never been so critical. William Rhode reports
Back to basics
Collateralised debt obligation (CDO) arrangers were ambushed in August by the most dramatic shifts in credit markets since 2005, while many investors have shied away from complex products. Where does this leave the future of the CDO market? Mark Pengelly…
Doing the right thing
HBOS has been at the forefront of structuring mortgage finance deals in the European markets. During recent turmoil, the bank has twice issued covered bonds in a bid to reopen that sector. It seems that head of securitisation and covered bonds at Bank of…
BarCap Shines Brightest
European Awards
Marking to mayhem
Market ups and downs have produced a roller-coaster ride for mark-to-market valuations of structured credit. Funds have responded by suspending net asset value calculations, arguing it is impossible to fairly value assets held by them under present…
An elegant charter
Patricia Cook has taken on the role of chief business officer at Freddie Mac as the mortgage agency faces its biggest challenge for the past 15 years, and perhaps its biggest opportunity. Here she talks exclusively about Freddie's strategy in the current…
Mission critical
Few are the lucky ones in the current market turmoil. But good fortune and good foresight mean Freddie Mac is less vulnerable than private-label peers. The subprime mess might even present a valuable opportunity for the US mortgage agency. By Rob Mannix
Sharia contravention
Cover story
Quants' tail of woe
Liquidations of large quantitative equity portfolios prompted widespread misfiring of hitherto robust quant models. Historically unusual returns volatility and multi-billion-dollar mark-to-market losses ensued. Leading hedge fund managers talk to Jayne…
Mapping out a market
The Australian government will introducea nationwide cap-and-trade emissionstrading scheme by 2011. RoderickBruce examines this emerging market