Securitisation
A balancing act
Off-Balance-Sheet Vehicles
Valuing hard-to-value assets
In this Class Notes article, Charles Smithson considers some of the lessons learned from the recent credit crisis. In particular, he reflects on the difficulties faced by many institutions in valuing illiquid structured finance instruments, and makes…
Breaking down
Correlation
Bank monoline exposures creep up in second quarter
Second-quarter results yielded further markdowns at major dealers due to the increasing counterparty risk posed by monoline insurers.
FSA suffers ratings blow as Ambac regroups
Standard & Poor's has announced a negative outlook for the AAA rating of Financial Security Assurance (FSA), the New York-based monoline insurance company that is part of the Dexia Group.
Complexity and hidden risk caused the crash, says BIS
The Bank for International Settlements (BIS) blames the credit crisis on a failure to understand the risks involved in complex credit risk transfer structures set up earlier this decade, in a report published this month.
Merrill Lynch startles market with end-of-day news on losses
Merrill Lynch waited until trading had closed in New York yesterday to announce quarterly losses of $4.7 billion, including $9.1 billion writedowns on its structured product, monoline and mortgage exposures.
Cheyne assets disappoint in rescue auction
The auction of the first portion of assets in SIV Portfolio, formerly known as Cheyne Finance, took place this week, but the assets sold at just 44% of par value - well below analyst predictions.
Second review on Athilon rating
Moody's yesterday placed the AAA counterparty rating of credit derivatives product company (CDPC) Athilon Capital on watch for downgrade.
New lobby group to defend securitisation markets
As pressure for reform in the securitisation market grows, three regional industry lobbying groups - the American Securitisation Forum (ASF), the European Securitisation Forum (ESF) and the Securities Industry and Futures Markets Association (Sifma) -…
ABS new issuance increases 158%
Asset-backed securities (ABS) issuance for the second quarter has increased 158% compared with the first quarter, according to London-based data provider Xtrakter.
Cheyne auction reflects harsh reality for SIVs
An expected restructuring of the assets of defunct structured investment vehicle (SIV) Cheyne Finance later this month underlines the harsh reality faced by many investors in the vehicles, who are likely to get little or none of their money back.
Back in Black
New York-based asset manager BlackRock's buying up of distressed mortgage portfolios - most notably its purchase of UBS's portfolio of subprime and other non-agency securities totalling approximately $22 billion - has been making headlines. What does it…
Nigel Sillis
The director of fixed-income and currency research at Baring Asset Management talks to Matthew Attwood about bubbles, credit risk and mushroom picking
Hedges clipped
Fund-linked derivatives
A tough year
Institutional Investor Rankings 2008