Credit markets
VAR: risk mitigant or amplifier?
Value-at-risk
CDS confirmation backlog
Trade processing
Asian payoff
Cover story
First subprime lawsuit settled by Merrill
In the first major legal settlement over subprime losses, Merrill Lynch has agreed to compensate the city of Springfield, Massachusetts $13.9 million after accepting that the bank invested city funds in collateralised debt obligations (CDOs) underwritten…
Counterparty risk and CCDSs under correlation
Hybrid Products
Structured stagnation
Editor's letter
MBIA announces $2.3 billion Q4 writedown
The situation in the troubled bond insurance sector has worsened, with the announcement of a $2.3 billion fourth-quarter writedown by New York monoline, MBIA.
S&P makes further mass RMBS downgrades
Standard & Poor’s has downgraded 6,389 residential mortgage-backed securities (RMBS) supported by subprime collateral and has placed 1,953 collateralised debt obligations (CDOs) of asset-backed securities on credit watch, in a dire assessment of the…
UBS startles market with $14 billion writedown
UBS revealed this morning that it had taken even more damage from the US subprime debacle than it expected, with writedowns totalling $14 billion.
BarCap releases Quant credit strategy indexes
Barclays Capital has launched a new range of credit derivatives strategy indexes.
$6bn in Q4 writedowns at Bank of America and Wachovia
Bank of America and Wachovia, the second and fourth biggest banks in the US by assets under management, have posted large writedowns for the fourth quarter of 2007 as depreciating mortgage-backed securities (MBS) continue to punish banks’ bottom lines.
Agencies rethink market risk rating methods
The three largest global rating agencies are reconsidering their approach to rating structures exposed to fluctuations in market value, with potentially unpalatable results for holders and arrangers of various structured credit products.
Citigroup downgraded after monumental losses
Citigroup saw its credit ratings docked today after announcing fourth-quarter losses of $9.83 billion, driven by subprime writedowns totalling $17.4 billion.
BNP Paribas rejigs CLO team, bolsters CDOs
BNP Paribas is understood to be reviewing its collateralised debt obligation (CDO) activities, with a particular focus on the cash side of the business.
The drive for convertibles
Hedge funds are exploring opportunities in convertible arbitrage, a trade that appeared to have gone out of fashion permanently back in 2005. With the promise of lucrative returns having put this strategy firmly back on the map, investors now need to be…
Banks intensify SIV firefighting efforts
Banks are scrambling to revive flagging structured investment vehicles amid downgrades and souring market values. Is there a case to answer for the rating agencies?
Talking point - 2008 outlook
Talkingpoint