Credit markets
JP Morgan Chase markets CDO with equity puts in Asia
JP Morgan Chase has begun marketing synthetic collateralised debt obligations (CDOs) with embedded equity put options to a small number of investors in Asia-Pacific. This type of structure is aimed at sidestepping the sometimes-thorny issue of…
HypoVereinsbank protection costs widen after poor Q3 results
Poor third-quarter results released by HypoVereinsbank on Wednesday prompted the cost of credit protection for the German banking group’s senior, five-year debt to widen 30 basis points to 140/165bp by trading mid-session today. HypoVereinsbank’s net…
Delay to Japanese bad-loan proposals stymies bank swaps trading
The decision by the Japanese government this week to delay the release of drastic proposals to tackle the country’s decade-long, non-performing loan problem, caused protection on Japanese bank debt to trade slightly wider, with bid-offer spreads…
Super-senior risk buyer’s role seen as vital in managed synthetics
The future growth in managed synthetic collateralised debt obligation (CDO) deal-flow is dependent on the willingness of counterparties to sell super-senior risk protection to CDOs, said Jeff Huffman, a London-based executive director in Goldman Sachs’…
ABB protection no longer available on a client-only basis
Credit protection on the debt of ABB is no longer available even on a client-only basis, major dealers said today.
Morgan unveils managed bespoke credit investment product
JP Morgan Chase has completed what it claims is the first of a new generation of credit derivatives investment deals.
Risk conference speakers predict more gloom for CDO buyers
The problems of the collateralised debt obligation (CDO) business have been highlighted at Risk magazine’s Credit Risk Summit 2002, which opened in London today.
Japanese CDOs hit record levels, but investors may receive raw deal
The issuance of Japanese collateralised debt obligations could hit a record ¥3 trillion ($25 billion) this year, but investors may not be receiving enough spread for the risks they face, according to a report this week by Moody’s Investors Service.
Japanese credit default swaps liquidity dries up
Trading in credit default swaps in Japan remained largely directionless this week in the absence of any significant end-client flow, and amid continued uncertainty regarding the government’s plans for the country’s ailing banks.
Cost of protection for Sears surges following poor earnings
The cost of credit protection for US retailer and financial services group Sears sharply widened 150 basis points to 400/480bp, following a negative earnings statement yesterday. Worsening problems with credit-card debt prompted Sears to report a…
BNP Paribas closes eighth Japan synthetic CDO via Serena Finance
French bank BNP Paribas has closed an arbitrage synthetic collateralised debt obligation (CDO) referenced to a portfolio of credit default swaps worth a total notional amount of ¥144 billion ($1.16 billion), according to Stéphane Delacote, the bank’s…
Equities rally brings in cost of US and European debt protection
A strong rebound in world equity markets during the early part of this week has caused the cost of credit protection on US and European institutions to markedly narrow. The contraction in credit spreads this week nearly matched the widening seen last…
Structured ratings
In the second part of Hedge Fund Review's look at the newest way to raise capital, Moody's explains its ratings process for collateralised fund obligations
Japan CDS market calms down ahead of holiday
The Japanese credit default swaps (CDS) market ended the week quietly, with wider spreads reflecting general apathy as participants prepare to take a break for the three-day weekend, dealers said.
Protection spreads on European bank debt begin to narrow
The cost of credit protection for European banks started to contract this morning following a week of unprecedented spread widening across the sector.
Economist and psychologist share Nobel Prize for Economics
Daniel Kahneman, a psychologist at Princeton University, and Vernon Smith, an economist at George Mason University in Virginia, will share this year’s Nobel Prize for Economics. Both have done pioneering research into how real-world risk preferences…
S&P highlights CDOs’ evolution from risk transfer tool to investment product
Issuers are increasingly viewing synthetic collateralised debt obligations (CDOs) as a way of creating tailored investment products, rather than simply a method for transferring an entire portfolio of credit risk, claims rating agency Standard & Poor’s.
Commerzbank credit protection costs double in a week
The cost of credit protection for Commerzbank has nearly doubled over the last week. The widening follows rumours of large credit derivatives trading losses at the German bank and a cut in its long-term credit rating from A to A- yesterday from Standard …
Equity put–credit default swap arbitrage opportunities disappearing, say US dealers
Jeremy Howard, head of US convertibles research at Deutsche Bank in New York, has said that the days of buying low-strike equity put options to hedge sales of credit default swap protection are largely gone.
Japan's SMBC prepares credit derivatives desk
Japan’s Sumitomo Mitsui Banking Corporation (SMBC), one of the country’s big four banking groups, is planning to set up a dedicated Japanese credit derivatives desk by the end of the year.
ABN Amro to release second iBoxx-linked note
ABN Amro is to issue a second credit-linked note early next week, called iBoxx 40, following the release of its iBoxx 50 credit-linked note in July. iBoxx 40 will be the first index-derived credit product issued in Swiss francs, with an initial issue…
Japanese credit spreads widen on corporate bankruptcy fears
Credit protection on Japanese corporate debt widened this week, as a number of hard-line reformers were appointed to a banking task force committee by Heizo Takenaka, the newly appointed head of the Financial Service Agency (FSA), the country’s financial…
Credit spreads for European financial debt protection widen
The cost of credit protection for European banks has widened significantly this week as negative fundamentals dominated market sentiment. Five-year credit default swaps for major European banks widened between 1 to 10 basis points for senior protection…
JP Morgan may boost capital for equity-linked FX trading model
Larry Kantor, global head of FX strategy at JP Morgan Chase, said the bank was mulling whether to put more proprietary capital behind a trading model that measures FX risk appetite using cues from the equities market, called the Liquidity, Credit and…