News
Moody’s highlights swap risks within European securitisations
Using fixed amortisation schedule swaps to hedge securitisations can actually increase, rather than reduce the market risk, claims Moody’s Investors Service.
FASB redefines derivatives
The Financial Accounting Standards Board (FASB) yesterday amended the definition of derivatives within its mark-to-market accounting regulation FASB 133.
iBoxx launches Xavex
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XBRL promotes transparency
Credit tech
UK's FSA to tackle operational risk
The UK’s Financial Services Authority (FSA) today launched its whistle-blowing initiative, designed to encourage financial industry workers to make disclosures about malpractice in the workplace.
AFP warns against hasty derivatives regulation
Bill Miller, chairman of the Association of Financial Professionals’ (AFP) End-Users of Derivatives Council (EUDC), is calling for restraint when considering amending US derivatives regulation following the collapse of Enron.
Swiss Re executes $40 million catastrophe risk CDO
Swiss Re Capital Markets Corporation (SRCMC) has executed what is believed to be the first ever synthetic CDO based on natural catastrophe risks. The underlying risk exposures were accessed through industry loss warranties (ILWs), for which Judith…
San Paolo plans to launch first Italian single-manager hedge fund
Obiettivo SGR, a subsidiary of Italian banking organisation San Paolo IMI, plans to become the first single-manager hedge fund launched in Italy.
Credit Markets Update: Spreads widen on US telecoms woes
The cost of credit derivatives protection rose on a number of telecoms today following the resignation yesterday of WorldCom chief executive Bernard Ebbers and a wider than expected $698 million loss in the first quarter reported by Qwest.
Nordea snares Andreasen and Bangert to boost exotics
Nordea Markets, the investment banking arm of pan-Nordic bank Nordea, has made two key hires as part of its bid to boost complex derivatives activities.
BNP boosts Asia-Pacific fixed-income derivatives team
French bank BNP Paribas has made three new hires to its Asia-Pacific interest rate derivatives trading team in Singapore.
AngloGold cuts hedging by 12%
South Africa’s largest gold producer, AngloGold, reduced its hedge book by 12% in the first quarter, as it moved to gain exposure to a rising spot price.
WorldCom spreads blow out
The cost of protection on WorldCom’s five-year debt blew out today, following the resignation of chief executive Bernard Ebbers.
ABN Amro snaps up HVB’s Seeger
Dutch bank ABN Amro has hired Kai Seeger from HypoVereinsbank as part of its step-up in credit derivatives activity under the stewardship of Arnie Groes, head of global credit derivatives.
Wall Street Systems offers rates module
Wall Street Systems has released an interest rate derivatives (IRD) module, which supports traditional analytic models as well as multiple-term structure models such as Black-Derman-Toy, Hull-White and Black-Karasinksi.
Citi and JPMC days away from FX Connect integration
The integration of Citigroup and JP Morgan Chase on State Street's FX Connect is only days away, said Simon Wilson-Taylor, managing director of Global Link.
Basel regulators hope for SME solution by mid-June
Global banking regulators are optimistic they can resolve by mid-June the vexed question of the treatment of lending to small to medium-sized enterprises (SMEs) under the proposed Basel II bank capital adequacy Accord.
GFI unveils Fenics 2002 upgrade
Interdealer broker GFI today unveiled details of enhancements to its Fenics options pricing system, which is used by an estimated 85% of global options dealers.
German securitisation volumes quadruple in Q1
The German securitisation market quadrupled in the first quarter of 2002 to end at $8.42 billion, compared with $2.16 billion in Q1 2001. This makes Germany the largest securitisation market by volume in Europe, with the UK second with $8.3 billion and…
Rates Market Update: US spreads hit four-year low
US swap spreads reached a four-and-a-half year low this week, as expectations of increased treasury issuance combined with a large amount of corporate activity brought an influx of floating rate receivers into the market. Ten-year swap spreads ended the…
Morgan Stanley arranges €4bn-plus synthetic CDO
US investment bank Morgan Stanley is arranging a €4 billion plus synthetic collateralised debt obligation (CDO) due to be managed by London-based investment boutique Cheyne Capital Management.
Euronext to launch dedicated warrants platform
Pan-European exchange Euronext is set to launch a platform dedicated exclusively to warrants, in a move designed to enhance the visibility of the market and promote trading.
Nera readies for CDO ‘notching’ investigation
New York-based economic consulting firm National Economics Research Associates (Nera) has finalised its research plan for its structured finance ratings comparability study.