Open for business

In December, Deutsche Bank, ABN Amro and Citigroup, working with credit default swap (CDS) index provider iBoxx, announced the development of a credit futures contract linked to a basket of CDSs. It’s another example of the credit derivatives market becoming more transparent, which of course can only be good for the industry. CDS index providers – the other big player is Trac-x, which is backed by JP Morgan Chase and Morgan Stanley – are leading the way in facilitating the mark-to-market risks for collateralised debt obligation (CDO) tranches. Risk looks at this and other CDO developments on page S4.

It has been a bumper year for the issuance of debt in the US markets by foreign companies. And now issuers and investors are re-thinking Yankee bonds. The current state of the US debt issuance market is examined on page S9.

West LB’s Benedict Roth looks at the pricing of collateralised lending risk on page S12. Most bank lending is collateralised in some way, but the quantification of their risk profiles is not as commonplace as one might think. Roth argues that popular credit risk models