Reviving RMBS

The UK RMBS market was once the biggest in Europe: issuance of EUR132.5 billion in 2007 accounted for 51% of all European deals. But with only one issue in the year to date and ballooning secondary spreads, the market is in a parlous state. Market practitioners have spent much of 2008 engaged in soul-searching to find a way to restore confidence, restart issuance and, potentially, resume mortgage lending, which is running at roughly half the rate of a year ago.

Many observers hoped that a report

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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