Risk South Africa
Uncertain liquidity ratios
Like their counterparts elsewhere, South African banks are bracing themselves for a round of changes to Basel II rules. But it is the implications for liquidity and not capital that most concern market participants.
Minor activity
Although South Africa is a major commodity producer, activity by local investors in commodities is minor compared with other markets. While there are efforts to stimulate greater interest, these are being hampered by foreign exchange controls.
Sponsored statement: The implied volatility surface in the presence of dividends
Standard Bank quantitative analyst Roelof Sheppard shows how absolute and proportional dividend payments give rise to arbitrage constraints on the implied volatility surface
Sponsored statement: FX e-commerce – shaping the future of the FX business environment
The electronic foreign exchange (eFX) market has been growing at an exponential rate, even during these uncertain times. This surge in use can be attributed to the advantages eFX has over the traditional methods of FX trading. In this article, Absa…
Risk South Africa rankings 2009
After the failure of Lehman Brothers, the global financial crisis has finally caught up with the South African derivatives market. Against this tough backdrop, Standard Bank has topped Risk's South Africa rankings once again. By Matt Cameron, with…
Absolutely fabulous
A readiness to adapt to changed market circumstances has generated an impressive track record for Cape Town-based Alpha Macro Managers’ Absolute Alpha Fund, helping it avoid the worst of last year’s market upset. By Mark Pengelly
A ripening market
Market dynamics and the chequered history of structured investments in South Africa have recently favoured vanilla products featuring capital protection. But some local issuers are gaining traction with more sophisticated offerings. John Ferry reports
Stung by BEE
Black economic empowerment has been a big source of profits for South African banks in recent years. But market turmoil means many deals are underwater, and some market participants have likened the situation to the US subprime mortgage crisis. Mark…
Mastering the storm
The succession of credit events in September and October revealed that many investors did not know what to do in the event of a default of a counterparty. What recourse do parties have under the Isda master agreement? By Joshua Cohn and Jillian Ashley
A time for special FX
Dealers are beginning to think a lot more seriously about credit-adjusting the prices they quote on foreign exchange derivatives. How are they calculating this, and how are clients responding to the move? By John Ferry
Bonding exchanges
The Bond Exchange of South Africa has been taking tentative steps towards expansion since its demutualisation in 2007. Now, its future looks intimately intertwined with that of its former rival, the Johannesburg Stock Exchange. Mark Pengelly reports
Gambling on dividends
Dividends have caused sizeable losses for dealers and investors over the recent months, as a precipitous fall in expectations has hit structured product issuers and those who participated in dividend swaps. Mark Pengelly investigates
Reasons to be cheerful
Comment
Dead in the water?
Basel II
Rainy day funds
Exchange-traded funds (ETFs) have continued to gain traction in South Africa despite roiling markets. As a result, local ETF providers are extending their reach to new investors and asset classes - with some even looking to introduce exchange-traded…
Adapt or fail
Since October last year, ructions in South Africa's foreign exchange rate have caused offshore hedge funds to exit the market, while dealers have been reluctant to take on risk. Those that remain active have had to adapt their behaviour as a result. By…
A regulated new year
Regulators are widely expected to increase their oversight of the financial sector in the coming year, with derivatives likely to come under particular scrutiny. As part of the current series of Class Notes articles, Charles Smithson and Steve Allen…
Topsy curvy
Interest Rates
Gathering confidence
Securitisation
The blame game
Accounting
A standard of winning
Risk South Africa Rankings 2008
Under close scrutiny
Hedge fund regulation
The South African credit derivatives market - where to from here?
Sponsored statement - Absa Capital