Marking to mayhem


Credit markets have suffered a complete reversal of fortunes over the course of 2007. During the first half of the year, steadily decreasing spreads made residential mortgage-backed securities (RMBSs) and collateralised debt obligations referenced to asset-backed securities (CDOs of ABSs) look like a great bet. Credit funds piled into these potentially illiquid and long-dated assets, seeking outsized returns.

Since July, many of them have come to rue these investment decisions. Rising

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