Features/Derivatives
Asian thermal coal swaps trade picks up steam
The China-based API8 index has provided a risk management solution to the coal contract defaults that befell the industry last year and is gaining traction as one of the latest Asia-based commodity derivatives...
Harnessing credit and debit valuation adjustments to credit default swaps may have seemed a good idea a few years ago, but as that market shrinks, it is eroding their foundations. Laurie Carver reports...
Last summer, banks in the Japan structured products market were hit hard by moves in volatility – but some banks saw this as an opportunity to recycle risk to European pension funds
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Uridashi losses put at $500 million after Nikkei rebounds
When the Nikkei slumped last May, banks were forced to sell volatility to protect positions built up through the sale of uridashi products – leaving many with losses. A rally in the index at the end of the year inflicted further pain. In total, the...
ABN Amro CPDO panned by Australian judge for ‘deceptive and negligent’...
An extraordinary Australian court judgement shines a light on the errors and deceit that led to the granting of a triple-A rating to ABN Amro’s Surf constant proportion debt obligation in 2006
OIS discounting dilemma for the buy-side
Dealers were first to embrace the move to overnight indexed swap discounting, but other market participants are now trying to get up to speed, resulting in the creation of a range of new tools. But are buy-side firms moving fast enough? By Clive Davidson...
South Africa considers onshore mandate for OTC clearing
Like many smaller markets that have signed up to the Group of 20’s reform agenda, South Africa has no onshore clearing house for over-the-counter derivatives. The Johannesburg Stock Exchange is building one, but local banks have already started using...
Applied risk management series: OTC commodity swaps valuation, hedging...
In this article, Carlos Blanco and Michael Pierce provide an overview of swap instruments and discuss the pricing, valuation, hedging and risk management of over-the-counter commodity swaps. They also comment on the expected ramifications of new regulations...
No exit: The problems facing UBS in its fixed income retreat
UBS is shutting down large chunks of its fixed-income business – the first dealer to announce such a dramatic step – but some of its now-unwanted trades could be difficult to exit. Risk looks at the challenges involved in unwinding a capital- and...
"Deceptive and negligent": How the first CPDO got its AAA rating
An extraordinary Australian court judgement shines a light on the errors and deceit that led to the granting of an AAA rating to ABN Amro’s Surf constant proportion debt obligation in 2006. Lukas Becker reports
Using market and credit risk analytics to strengthen performance
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