Saturday, Jan 19, 2008
Feb 22 2007 Article: Pre AMBAC / MBIA downgrades
Bloomberg: Subprime Mortgage Derivatives Extend Drop on Moody's Reviews
Whoopsie!
``Liquidity has taken a hit as market participants wait for the dust to settle,'' Christopher Flanagan, an analyst at New York-based JPMorgan, wrote in a Feb. 20 report. CDOs buy loans, bonds and derivatives, and resell the cash flows in new bonds, some of which have higher credit ratings.Yield premiums on high-rated subprime mortgage bonds are little changed. An ABX index linked to credit swaps on AAA bonds has fallen 0.3 percent since its started trading on Jan. 19.``There's so much credit protection in those securities it just takes a very, very stressed environment to impact their credit profile,'' said Scott Kirby, a portfolio manager at Minneapolis-based Riversource Investments LLC, which manages about $100 billion in fixed-income assets. ``We're not there yet''.
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