Credit markets
BNP closes its first self-managed CDO tranche in Asia
French bank BNP Paribas has closed its first self-managed synthetic CDO transaction in Asia, a first-loss equity tranche that allows the investor to substitute credits in the underlying portfolio.
Speakers voice synthetic credit and capital structure arbitrage fears
A number of speakers at Risk ’s Credit Risk Summit USA 2003 voiced concerns about investments in credit derivatives and capital structure arbitrage yesterday. Sivan Mahdevan, an analyst in Morgan Stanley’s credit derivatives research group, when opening…
CP3 comments: Any last words?
The comments elicited by the Basel Committee's third consultative paper (CP3) show just how little consensus exists between regulators and banks on the Basel II capital Accord. Dwight Cass highlights some of the telling comments.
Japanese arbitrage CDO issuance to remain at standstill
The issuance of arbitrage synthetic and cash collateralised debt obligations (CDOs) in Japan is set to remain at a standstill due to tight credit spreads, according to a report published by Moody’s Investors Service.
iBoxx launches tradable CDO tranches
Bond and credit default swaps index company iBoxx has launched a series of tradable instruments linked to single tranches of one of its credit default swap (CDS) indexes.
JP Morgan Chase prepares first syndicated synthetic CDO
JP Morgan Chase has taken a leaf out of the bond and loan markets by putting together the first syndicated synthetic collateralised debt obligation (CDO).
HSBC closes $380 million synthetic balance sheet securitisation
HSBC has closed a HK$3 billion ($380 million) synthetic balance sheet securitisation transaction backed by its taxi and public light bus hire purchase agreements. It is the first synthetic transaction backed by such asset classes in Asia.
Banks should standardise CDS indexes, says credit derivatives panel
Investment banks should be pushing for standardisation in credit default swaps (CDS) indexes, agreed a panel of credit derivatives experts at Risk ’s Credit Risk Summit Europe 2003 in London.
Independent third-party to take over Trac-x imminently
JP Morgan and Morgan Stanley are in the final stages of negotiations to hand over their credit derivatives index product Trac-x to an independent third-party. The move will happen “within a matter of days”, Andrew Palmer, head of credit derivatives…
'A good deal for regulators and banks'
Paul Kupiec's article in the August issue of Risk – Does CP3 get it right? – raised a number of concerns about the application of Basel II to retail portfolios.
S&P updates its CDO Evaluator
Rating agency Standard & Poor’s (S&P) has released the latest version of its CDO [collateralised debt obligation] Evaluator system, which is used by CDO structurers to evaluate the credit risk of their products.
New Isda credit derivatives chair warns against complacency
Derek Smith, head of US credit derivatives trading at Goldman Sachs and the new North American chair for the International Swaps and Derivatives Association's credit derivatives market practice committee, believes market participants need to beware of…
Time-series pioneers share Nobel Prize for Economics
Recipients’ work on the analysis of time-series data has provided powerful mathematical tools for research in derivatives pricing, risk management and economics
First Taiwanese offshore primary CBO in doubt
The attempt to offer the first offshore primary Taiwanese collateralised bond obligation (CBO) appears to be in serious jeopardy, with credit rating agency Standard & Poor’s (S&P) withdrawing its preliminary rating on a tranche of notes.
World Cup finals catastrophe-linked bond launched
Fédération Internationale de Football Association (Fifa), football’s world governing body, has launched a catastrophe-linked bond to protect itself against financial losses that would result if the 2006 World Cup finals were to be cancelled.
Credit in context
Systems
Capital structure arbitrageurs build a following
Trading strategies
Any last words?
CP3 comments
Utilities: stoking the flames
Credit of the month
Taxing times
Eurobonds