Indexes
JP Morgan may boost capital for equity-linked FX trading model
Larry Kantor, global head of FX strategy at JP Morgan Chase, said the bank was mulling whether to put more proprietary capital behind a trading model that measures FX risk appetite using cues from the equities market, called the Liquidity, Credit and…
Insurance sector: moral hazard
Credit of the month
As good as gold
Commodities
First-class post
Stefano Calderano, head of retail products at BancoPosta, Poste Italiane’s financial services arm, has bankers throwing their balance sheets at his feet
Pensions’ credit crisis
The markets’ swoon isn’t the only problem plaguing pension plans, according to credit derivatives dealers. They are also dangerously exposed to their own corporate sponsors. Navroz Patel reports on recent efforts to convince pensions to hedge this risk
FSA releases details of landmark market manipulation legal judgement
The UK's Financial Services Authority (FSA) has released details of a legal judgement that repudiates a novel human rights defence attempted by an ex-JP Morgan equity derivatives trader accused of market manipulation.
Japan Credit Market Update: Fujitsu and bank spreads hit in tighter general market
The cost of credit protection was higher on Japanese banks and some electronics names this week, amid a more stabilised market.
Japan Credit Market Update: Spreads rise on weak stocks and rating downgrades
The cost of credit protection on Japanese companies continued to rise this week, as weakness in the stock market prompted many players to hedge their credit exposure.
Japan Credit Market Update: Spreads widen on global equity nervousness
Japan’s credit default swap spreads widened across the board by about 20 basis points this week amid global equity nervousness, because of more corporate concerns, and a generally bearish market.
European banks report decline in equity derivatives volumes
Despite another surge in implied volatility this month, the European equity derivatives business has seen a decline in volumes in 2002, say dealers. Implied volatility on the FTSE reached a high of 39.5% this month, compared with the average daily figure…
Japan Credit Market Update: Spreads track US and Europe wider
Japanese credit default swap spreads were wider this week, tracking the trends in the US and Europe in a generally bear market, traders said.
Deutsche Bank launches US mortgage total return swap
Deutsche Bank is offering a total return swap product based on its US Mortgage TBA index. The index is calculated using the 30 most liquid mortgage-backed securities (MBS) offered by US government-sponsored mortgage finance agencies Fannie Mae, Freddie…
UK investor fears seem overdone, regulator says
It is right that regulators look hard at the UK’s regulatory regime to see whether improvements are needed to prevent a fraudulent attempt to inflate corporate earnings for personal gain, the UK’s chief financial regulator said today.
MSCI hedge fund index offers 10% better return than equities
Morgan Stanley Capital International (MSCI), the provider of benchmark indexes for financial institutions, has released the first performance data for its newly established family of hedge fund indexes. The results were compiled from back-dated data…
Implied volatility surge sees the return of institutional hedging
Short-term implied option volatility has shot up during the past month due to falling equity markets, which has led to increased institutional hedging, according to a report published this week by Goldman Sachs.
MSCI launches hedge fund indexes
Morgan Stanley Capital International (MSCI), a provider of benchmark financial indexes, has launched a family of hedge fund indexes today following a two-and-a-half year development process. The new group includes more than 90 indexes calculated on a…
Esops: time to hedge?
With share prices depressed, now seems a good time for companies with large employee stock option plans to hedge them. Why aren’t corporate treasurers acting?
The evolving art of pricing cliquets
Cliquet options are widely traded and embedded in many retail structured products. But they are hard to value and some dealers claim their rivals are mis-pricing them. Navroz Patel reports on the debate and some initiatives that may help
Japan Credit Market Update: Spreads track equities on WorldCom fears
The cost of default protection on Japanese credits stabilised on Friday after Wednesday’s sharp widening caused by a $3.8 billion accounting scandal at US telecommunications group WorldCom, volatile equity markets and the steady strengthening of the yen…
ABN Amro, Eureka Hedge Advisors to launch Asian hedge fund index
ABN Amro and Eureka Hedge Advisors, a hedge fund research and advisory service based in Hong Kong and Singapore, have launched a benchmark index for Asian hedge funds. The service is aimed at providing investors and fund managers with a means to compare…
Corporate focus on credit risk management
Sponsor’s statement
Called to account
FRS17
Adding to the pile
New products