Credit markets
A blend of products
Monetisation
SMBC launches synthetic deal
New angles
Credit and credibility
Credit risk modellers have made giant strides, but they still have to convince regulators that they can make the world a safer place. By Matthew Crabbe
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Japan follows US in holiday mood
Trading in Japan’s credit default swap market remained subdued throughout the week, because of Thursday’s Thanksgiving holiday in the US and a general month-end slow down in activity.
Europe sees low trading volumes in credit derivatives following US holiday
Trading volumes in the European credit default swap market have dissipated towards the end of the week, following yesterday’s holiday in the US. Spreads remain tight with muted reaction to negative news on particular credits, including Munich Re’s poor…
Japanese banks raise bad loan provisions in restructuring push
Plans to clean up balance sheets at Japanese banks has had a widely muted impact on the credit market, despite concern that some banks may run a loss in the full year ending March 2003 as a result of their more drastic restructuring plans. Japan’s four…
Credit protection for troubled European financials remains stable
The cost of protection for European financials has remained relatively unchanged this week, despite a spate of downgrades and negative ratings actions. Abbey National released poor results today, but credit default swaps on the British bank held firm…
Attractive investment opportunities lie in managed synthetic CDOs, says Goldman
Managed synthetic collateralised debt obligations (CDOs) currently present an attractive long-term opportunity for investors, Goldman Sachs said in a new report this week. The CDOs, composed of credit default swaps on corporate credit, take advantage of…
Japanese banks take a breather but volatility lies around the corner
Japanese banks’ credit default swap (CDS) spreads continued their rollercoaster ride this week, with some of the spreads widening by as much as 40 basis points and tightening back by 30bp. Although Friday’s session brought some solace to Japan’s CDS…
Lehman closes $500 million Asian investment-grade arbitrage synthetic CDO
Lead manager Lehman Brothers said today it has closed a $500 million five-year Asian investment-grade arbitrage synthetic collateralised debt obligation (CDO) through special-purpose vehicles Asia IG CDO Limited and Asia IG CDO LLC. The portfolio manager…
Financial institutions ill equipped to deal with credit risk developments, says D’Silva
The changing attitudes to credit risk among banks amounts to a "cultural revolution", Adrian D'Silva, director of capital markets supervision for the Federal Reserve Bank of Chicago, told delegates at a credit risk management conference in Vienna today…
Credit protection for German financial institutions remains stable
The cost of credit protection for German financial institutions, including Deutsche Bank, Dresdner Bank and insurer Allianz, remained relatively stable today, despite negative rating outlook changes from Moody’s.
CFO boom predicted as funds gain in popularity
CFOs are on course to revolutionise the hedge industry
UFJ spreads balloon by 160bp due to nationalisation fears
The cost of credit protection on Japanese bank UFJ’s five-year senior debt rose by 160 basis points today as fears grew that the bank would be hardest hit by Japan’s planned banking restructuring.
C&W protection costs widen 200bp following restructuring talk
The cost of credit protection on debt of UK telecommunications company Cable and Wireless (C&W) has widened by more than 200 basis points since its revealed late Wednesday that it would cut 3,500 jobs, undergo a major restructuring and reassess its off…
Japan’s SMBC expects to issue synthetic CLO in early December
Japan’s Sumitomo Mitsui Banking Corporation (SMBC) is preparing to launch a synthetic balance-sheet collateralised loan obligation (CLO) referenced on ¥500 billion worth of loans extended to 1,500 Japanese small to medium-sized companies.
ING closes first arbitrage synthetic CDO
ING Financial Markets closed its first arbitrage synthetic collateralised debt obligation today. The CDO is referenced on a static portfolio of 100 credit default swaps worth $1 billion.
Loan hedgers shy away from CDS market
Despite a surge in European lending activity during the past three months, many banks have decided not to hedge their risk with credit default swaps (CDSs), according to research by Morgan Stanley.
US and European credit derivatives markets remain muted
Default protection costs continue to tighten in both the US and the European credit default swap market in line with the cash market, traders said today, adding that volumes continue to remain relatively muted, particularly in the European markets.
Client-driven credit default swaps business dries up in Japan
Trading volumes in Japanese credit default swaps were about one quarter of typical levels this week, with spreads tightening in a similar manner to that seen in Europe and the US.
Basis trade opportunities decline as default market continues to tighten
The European default swap market continued to tighten substantially across certain sectors this week, correcting the recent dislocation between cash bonds and credit default swaps (CDS).