Credit markets
Single-tranche synthetics drive CDO volumes
Collateral debt obligation issuance was up 24% in the first six months of 2003 despite the credit derivatives market’s unusually tight spreads due to a flood of bespoke single-tranche synthetics, according to CDO analysts at Lehman Brothers.
All in Accord
South Africa's banks are taking Basel II seriously. Clive Davidson discovers what they are doing to prepare for its implementation, and how they are meeting the many challenges of the new capital accord.
JP Morgan Chase and Morgan Stanley launch Trac-x Japan CDS index
US investment houses JP Morgan Chase and Morgan Stanley are merging their Japanese credit derivatives indexes Janice and MSJ-CDS, respectively, into Trac-x Japan, a new tradable index that tracks the 50 most liquid Japanese credit default swaps (CDS).
Daiwa Securities SMBC launches managed synthetic CDO
Tokyo-based Daiwa Securities SMBC has launched its first managed synthetic collateralised debt obligation (CDO). The deal is worth ¥5.4 billion and is referenced to a portfolio of 100 Japanese credits.
Standard & Poor's enters portfolio risk modelling
Standard & Poor's (S&P) Risk Solutions has launched a portfolio risk tracker model. The model covers both credit and market risk, which should allow banks to calculate their economic capital and perform risk assessments across the full range of risks…
Job moves
People
Energy firms turn to credit derivatives market
More energy companies are likely to start purchasing credit derivatives as a way of mitigating counterparty credit risk, analysts said at a conference in New York this week. This is partly because spreads on single-name credit default swaps (CDS) of…
Moody's claims documentation affects recovery values
Recovery values assigned to a single reference entity in credit derivatives contracts are inconsistent, partly due to a lack of standardised valuation documents, according to Moody’s Investors Service.
Citi contemplating US credit derivatives index
Citigroup is contemplating launching a US credit derivatives index product, according to Doug Warren, managing director for North American credit derivatives, and intends to make a decision on this within the next two to three weeks.
Credit risk models enhance link between credit and equity prices, say BIS
The growing use of credit risk models is helping to strengthen the link between credit and equity prices, said the Bank for International Settlements (BIS).
Portfolios: prevalent but problematic
Introduction
Bear Stearns adds CDO evaluator to Pacre
Bear Stearns has added a high-yield collateralised debt obligation (CDO) pricing model to its price-adjusted credit risk evaluator (Pacre) product. The model is designed to calculate credit-adjusted spreads on individual CDO tranches.
Cracking correlation
Credit default swaps
Dashed hopes
CFOs
Staying away in droves
Credit
Diversify and conquer
Profile: General Electric
Structurally sound
Profile
The right tools
Portfolio selection
Banks exploit debt and equity tie-ups
Credit tech
Funding the future
CFOs
US autos: grinding to a halt
Credit of the month
Hitting rock bottom
Technical