Credit markets
Global derivatives rankings 2002
For Risk’s 11th annual inter-dealer rankings, we have refined our categories and polled hundreds of market participants to reveal which firms are the best in the business. Introduction and rankings compilation by John Ferry, with additional research by…
Innovation fuels Italy’s securitisation boom
Tax changes and increasing corporate credit risk have prompted Italian dealers to look for new assets to securitise.
High-frequency trading: how great is the need for speed?
Just how important is speed? Risk managers and traders are weighing the value of high-frequency market data and trading technologies against their costs. Gallagher Polyn examines the debate over using high-frequency data in risk models, and profiles one…
Japanese swap spreads range-bound in limited activity
Japanese credit default swaps remained directionless this week, with spreads moving up and down within a narrow range, in what was an overall quiet trading week, dealers said.
SG launches arbitrage synthetic CDO with 100% Asian exposure
SG, the corporate and investment banking arm of Société Générale, has closed a $100 million arbitrage synthetic collateralised debt obligation (CDO), backed by a portfolio of Asian credit default swaps.
Credit liquidity at a premium as trading activity hits the August blues
Liquidity in the European and US credit derivatives markets has hit premium levels in Europe and the US this week, with trading said to have fallen to 10% of normal volumes and spreads fluctuating within a five basis point range.
BNP Paribas prepares seventh Japan synthetic CDO
French bank BNP Paribas is preparing to close its seventh Japanese synthetic arbitrage collateralised debt obligation (CDO) under its Serena Finance programme, according to a senior Tokyo-based official at the bank.
Japan’s Mizuho mandates Merrill for large synthetic CLO
Mizuho Corporate Bank has mandated Merrill Lynch for what could be Japan’s largest synthetic collateralised debt obligation (CLO), according to market sources in Tokyo.
First sale of equity tranche from residential mortgage-backed synthetic
Aareal Bank has sold the first-loss tranche of its synthetic securitisation, in what is believed to be the first residential mortgage-backed synthetic transaction where the originating bank has not retained the first-loss risk.
Japanese credit spreads continue to tighten after recent sell-off
Credit default swaps in Japan continued to narrow following a sell-off in the past week or two, although volumes remained low this week, Tokyo dealers said. Spreads on five-year debt protection for electronics sector companies tightened by as much as 30…
Credit Market Update: Buyers of protection pull back bids for European credits
Buyers of protection have pulled back their bids in the European credit default swap market this week, in response to positive market news and sentiment, coupled with greater stability on the equity markets.
Goldman pushes into burgeoning CDO securities lending market
Goldman Sachs has entered securities lending trades with a handful of collateralised debt obligations (CDOs) in the past few months, says Alex Reyfman, New York-based credit portfolio quantitative strategist at Goldman Sachs.
US credit protection narrows following Wall Street equity rally
The price of credit default swaps for major US names tightened this week following two days of equity purchasing on Wall Street.
Back to the floor
Australia’s major banks are all targeting the advanced measurement approach for calculating operational risk capital under the new Basel Accord. As such, the concept of a floor is proving irksome, writes Nick Sawyer.
Pardue resigns from Morgan to set up alternative investment house
Charles Pardue has resigned as co-head of marketing for structured finance at JP Morgan in Europe to establish Prytania Alternative Investment Management. He plans to launch Prytania in early 2003.
Basel II could reinforce economic cycles more than expected, says BIS study
BASEL – The Basel II bank capital accord could reinforce economic cycles to a greater extent than expected, according to a working paper issued today by the Bank for International Settlements (BIS), the so-called central bankers’ central bank.
Basel II could reinforce economic cycles more than expected
The Basel II bank capital accord could reinforce economic cycles to a greater extent than expected, according to a working paper issued today by the Bank for International Settlements (BIS), the so-called central bankers’ central bank.
The end game
Credit derivatives
Waiting for a boom
Weather derivatives
Back to the floor
Operational risk
A question of dollars
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