Credit markets
Japan's UFJ Bank to issue synthetic CLO in March
Japan’s UFJ Bank is preparing to launch a balance sheet synthetic collateralised loan obligation (CLO) referenced to a pool of loans extended by UFJ Bank to Japanese small and medium sized companies, worth ¥1 trillion ($8.4 billion). The synthetic CLO,…
Credit spreads tighten due to CDO upsurge
Credit default swap spreads tightened this week as the continued upswing in collateralised debt obligation (CDO) issuance pulled in offers, and limited debt-issuance reduced demand for credit protection.
Risk management based on stochastic volatility
Risk management approaches that do not incorporate randomly changing volatility tend to under- or overestimate the risk, depending on current market conditions. We show how some popular stochastic volatility models in combination with the hyperbolic…
Kamakura upgrades key risk management system
Kamakura, a Honolulu-based risk management technology company, has released a new version of Kamakura Risk Manager (KRM), its integrated risk management application.
Japan credit default swaps brush off international events
Credit default swap spreads in Japan tightened across the board this week, brushing off heightened diplomatic tensions with North Korea and the threat of war in Iraq, as technical factors continued to support the Japanese market, dealers said.
Terror threats push up European credit default spreads
Credit default swap spreads for European corporates started to widen during the later part of this week. Fears of a terrorist attack in London or elsewhere, coupled with generally weak equity markets, started to reduce confidence in the market, traders…
Mark-it plans to offer data pricing service for structured credit
Mark-it Partners, a two-year-old company founded by senior bankers at Canada’s Toronto Dominion, is in advanced negotiations to set up a data pricing service for collateralised debt obligations (CDOs). If successful, this could become the first such…
European corporate credit spreads contract; retail sector sees negative basis
Credit default swap levels for the European corporate sector are tightening again, according to London-based traders. In relatively light flows, the cost of protection for industrials, retailers and utilities narrowed between 3 basis points to 10bp in…
Credit derivatives notional tops $2.3 trillion
The notional value of credit derivatives contracts now tops $2.3 trillion, according to Risk ’s third annual survey of credit derivatives dealers.
Japanese bank spreads hit on renewed equities portfolio concerns
Spreads on Japanese bank credit default swaps widened an average 10 basis points this week, sparked by renewed investor concerns about unrealised losses linked to their large equity portfolios.
Pension deficit concern sparks demand for default protection
Traders saw a marked increase in volumes for credit protection, following a credit watch alert by rating agency Standard & Poor’s (S&P) on 12 major European corporations earlier today. S&P today warned that the companies, including Sainsbury’s, Rolls…
FSA decision prompts tightening for insurers’ credit spreads
The cost of protection for the European insurance sector has tightened by up to 15bp in trading this week following a decision by UK regulator, the Financial Services Authority (FSA), to ease regulatory solvency requirements for individual life assurers.
MBIA reports $82 million unrealised loss mainly due to synthetic CDOs
New York-based monoline insurer MBIA said the largest negative impact on its income during 2002 arose from its synthetic collateralized debt obligation (CDO) investments. The majority of its total mark-to-market unrealised loss of $82 million was…
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