Infrastructure
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
Hedging for the duration
As spreads to be earned on other fixed income products have declined, mortgages have become more attractive but investors should know what risks are hedged and why. Mark Raaberg considers the main risk dynamics of hedging mortgages and why duration is a…
A time of strife
Interest rate markets traded as if every day was a big news day during August. Mark Walker of RBS Global Banking & Markets looks back at swap movements and volatility spikes and asks what those meant for mortgage lenders
The true cost of no-cost mortgages
Banks offering no-cost mortgages have been accused of hiding the real cost of the loan from borrowers. But as Andrew Kalotay and Jinghua Qian explain, lenders can also run into problems if they fail to calculate correctly the prepayment behaviour of…
Market Graphic - Return-smoothing
Hedge funds that trade illiquid securities are more likely to smooth their returns, especially when the securities concerned are ABS or MBS, according to recent research
Protected from the subprime chaos
The Latin American region has suffered its fair share of financial difficulties - most of them self-inflicted - but a period of economic stability and rebuilding has left many LatAm countries well equipped to withstand the fallout from the recent…
First Pacific Advisors - The waiting game pays off
Betting against the markets takes a steady nerve, but for Robert Rodriguez and Thomas Atteberry, investment managers at West Coast house First Pacific Advisors, the strategy has paid off - and how. Dalia Fahmy talks to the two men who run this year's…
Tim Fletcher
Insufficient data is at the root of the credit market's ruined summer, Baseline Capital's sales and marketing director tells Matthew Attwood
Back to Basics
We take you back to the credit basics to review everything you thought you already knew but were too afraid to ask ... Mark Beeston, president of trade affirmation platform T-Zero, looks at novations
Q&A - Rohan Douglas
The founder and CEO of Quantifi, the structured credit modelling and risk analysis firm, talks about the effects of the summer's volatility on the structured finance market, in particular how existing models have fared against the turmoil
US investment banks reveal their missing millions
Losses caused by the summer's credit crisis were not as bad as feared at four of the biggest US banks, according to recent quarterly results announcements
It's a cruel, cruel summer
This period of monetary tightening has ended with a pop - just like all the recent ones
The psychology of it all
The events of the summer have ravaged investor confidence in high yield and leveraged loans. Tim Hall at Calyon looks at the effect of the credit meltdown on three constituencies of the market: investors, issuers and underwriters
Putting a price on subprime assets
Structured credit investors nursing losses from subprime-infected assets want better valuation models for illiquid securities such as MBS. But as Stewart Eisenhart reports, such solutions will be tricky to design and costly to implement
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