Corporates
A dynamic program under Lévy processes for valuing corporate securities
The authors design and solve an extended structural model that accommodates arbitrary Lévy dynamics for the underlying firm’s asset value, realistic debt payment schedules, multiple seniority classes and various intangible assets.
Chinese corporates step up FX hedging after reopening
Exporters eye hedges as RMB strengthens, but negative forward points are a turn-off for some
An uphill climb to T+1 settlement
The SEC is pushing an aggressive schedule for faster settlement of equities and corporate bonds
‘Globalisation rewired’: what does it mean for investors?
After half a century of outsourcing production to developing nations, companies are changing tack – with long-term implications for investors
EC stuns corporates by scrapping Emir swaps exemption
Industry confused as to why intragroup reporting obligation needs resurrecting
Lifetime achievement award: Stephen Kealhofer
Risk Awards 2023: KMV co-founder helped usher in a new era of credit risk analysis – at banks and investors
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
ANZ defies ‘white label’ trend with algo expansion
Instead of relying on large LPs, Australian bank aims to offer six new FX algos of its own by February
PBoC deposit requirement hits FX hedging, again
Reinstated rule hikes forwards costs and dents volumes, but volatility sees corporate demand persist
European corporates scramble for alternative credit sources
Credit lines with traditional bank counterparties exhausted since dollar rally against euro
Corporates rush to hedge emerging market currency risks
Falling forward points have reduced cost of hedging further drops in Chinese renminbi
Asia moves: Senior hires at BNP Paribas, HSBC and more
Latest job news across the industry
PGIM grows sovereign-referencing CDS book in falling market
Counterparty Radar: US mutual funds cut $2bn in single-name swaps in Q2, making largest reductions in SSA trades
CVA exposures to UK corporates jump ‘hundreds of millions’
Dash for credit protection triggered a doom loop in the CDSs of cross-currency swap counterparties
Decision science: from automation to optimisation
The full benefits of investing in a digital approach to credit decisioning are yet to be unleashed, despite advancements in automation and analytics at banks
Bailed-out Uniper suffered €14bn derivatives markdown in H1
Company cut value of gas forwards contracts due to risk of reduced deliveries from Russia
StanChart tackles US-China rates divergence
Talking Heads 2022: Policy changes have upended correlations in emerging markets, says rates head Lettich
FX hedging dilemma vexes corporates as costs spiral
High volatility jacks up option prices, forcing firms to reconsider hedging activities
‘Monster’ rally shows junk index isn’t what it was
Speed of recovery reflects structural and technical changes in US high yield
EU Parliament creates multiverse of SA-CCR outcomes
Some MEPs want to ease rules further than EC draft; others want return to undiluted Basel text
Barclays confronts ‘implausible’ macro risks
Talking Heads 2022: Bank is reaping rewards of sticking with its trading businesses, says macro head Lublinsky
Pension buyouts: rock-bottom prices mask unease over risk
US insurers will digest $40bn in pension assets this year but tight pricing and an economic downturn could lead to reflux
Time to shine: corporate FX’s surprise glow-up
Corporate FX enjoys its time in the sun as currency headwinds spark corporate hedging needs
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern