| Credit Derivatives Research will not be publishing July 3rd - 6th. Publications will resume on Monday, July 7th. |
 | LATEST IDEAS & STRATEGY |
|
MARKET STRATEGY (7/2/2008)
The credit and equity markets continued to slide this week, reaching levels not seen since March. Early June’s talk of light at the end of the tunnel has segued into discussion of cliffs and recessions vs.
...MARKET STRATEGY (7/2/2008)
Tail risk is becoming a serious concern for the CDX IG 9 Index. It has two credits at the tipping point of default. European investment grade credits tell a different story — one where tail risk is quite
...TRADING IDEA (7/1/2008)
Homebuilder credits have significantly outperformed their equity peers over the past three months with many trading at or close to six month tights. In the case of DHI and LEN, these swings have been very
...MARKET STRATEGY (6/30/2008)
This week we continue our weekly Directional Credit Strategy report with coverage of the Energy, Utilities, Technology, and Telecom sectors from the Investment Grade market. We recommend selling protection on
...MARKET STRATEGY (6/27/2008)
The severity of the recent monoline downgrade impacted the correlation market. Up to the June 19th downgrade by Moody’s, CDX equity implied correlation was up 4% on the month hovering near 41%. Once the
...MARKET STRATEGY (6/26/2008)
The credit and equity markets shook off the summer doldrums this week in dramatic fashion. We still find more individual companies with CDS trading tight of fair value but view the two markets as fairly
...TRADING IDEA (6/25/2008)
We return to the CDX IG/CDX HY decompression trade today. IG and HY compressed as spreads blew out over the past year. With lending standards tightening, liquidity drying up, and the economic outlook
...TRADING IDEA (6/25/2008)
As spreads have gapped wider over the past couple weeks, we like to put on beta-neutral trades rather than take outright bets. Today’s trade is a High Yield basket trade taken directly from our MFCI model. The
...MARKET STRATEGY (6/23/2008)
This week we continue our weekly Directional Credit Strategy report with coverage of the High Yield market. We recommend buying CDS protection on Tyson Foods and buying Windstream Corp’s 8 5/8s of 2016 bond.
...TRADING IDEA (6/20/2008)
Hershey Foods' present situation does not look good. Commodity costs are rising, squeezing Hershey's margins. Its leverage has increased right into the depths of the credit crisis. The situation could be
...
