Invest Skeptically

Markit provides authoritative quotes for standardized structured finance and credit indices used in the credit derivatives markets. As these represent the cost of buying/selling credit default swap (CDS) protection against a basket of credits they can be a useful data point in evaluating the level of fear in the marketplace. As 2007 has [...]

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FT Alphaville presented some scary charts showing that even older vintage (2004/2005) subprime RMBS have experienced noteworthy foreclosures and delinquencies. A commenter on naked capitalism (who covered the FT Alphaville piece) points out that the high loss severity ratio of 35% stated in the article (and attributed to CreditSights) is influenced by the [...]

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Last weekend (Nov. 17, 2007) the Globe and Mail published a good summary of the Canadian ABCP story called, The ABCP black box explodes, by Boyd Erman, Jacquie McNish, Tara Perkins and Heather Scoffield.
The reporters correctly point out that the main “trigger” behind the Canadian ABCP conduit crisis was that “investors were beginning to panic [...]

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Over the last few weeks there has been intense media coverage of U.S. subprime mortgages (still), the securitization of such (still), Canadian ABCP programs (that’s new), and demands for new regulation (gasp). After much Googling and newspaper-flipping here are some of my comments.
U.S. Subprime Mortgages
I specify U.S. subprime mortgages because the Canadian [...]

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Recently, the media have been talking about CDOs (or Collateralized Debt Obligations) in a manner that makes me wonder if the sky isn’t falling. Fabrice Taylor wrote a piece called, The ABCs of CDOs. Can you spell RISKY? (The Globe and Mail, June 27, 2007) and warns, “there will be shocks, both in [...]

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