Foreign exchange
Mellon introduces risk arbitrage fund
Mellon Financial Corporation, the Pittsburgh-based financial institution, has added a global merger arbitrage fund to its Mellon HBV Alternative Strategies subsidiary.The new fund will focus on investing in a diversified portfolio of global risk…
UK adjusts timetable to Basel II delays
London - UK regulators said today they would implement their plans for uniform, risk-based rules for UK-based banks, insurance companies and securities firms in several stages, instead of one or two, following delays to the Basel II bank accord.
UK says op risk paper will prepare firms for Basel II
London – Financial firms complying with the operational risk policy outlined today by UK financial regulators should be well prepared for the systems and controls needed under the Basel II bank accord and parallel European Union (EU) rules.
UK adjusts timetable to allow for Basel II delays
UK regulators said today they would implement their plans for uniform, risk-based rules for UK-based banks, insurance companies and securities firms in several stages, instead of one or two stages, following delays to the Basel II bank accord.
Market-making hedge fund ups size and mulls credit debut
London-based hedge fund Algometrics is aiming to raise a further $100 million by October 2002 for its existing equity fund and is eyeing a move into credit derivatives.
CFTC uncovers more forex fraud
The Commodity Futures Trading Commission (CFTC) last week charged two New York-based foreign currency firms and two of their senior employees with fraudulently soliciting more than $15 million for illegal off-exchange forex futures contracts.
Fitch working on new municipal CDOs in the US
Fitch Ratings is reviewing several pools composed mostly of already issued municipal securities as potential collateral for a new asset class – municipal collateralised debt obligations (CDOs). Marion Silverman, a senior director based in Fitch Ratings’…
Moody's report confirms European CDO growth
Ratings agency Moody’s Investors Service said the European collateralised debt obligation (CDO) market grew by 46% in the first half of 2002, compared with the corresponding period of last year. Moody’s rated 72 CDO transactions in the first half of the…
Kottke to set up agricultural arbitrage hedge fund
Chicago-based managed futures fund Kottke Associates is to launch its first hedge fund based on an agricultural arbitrage strategy in September. The firm, which established its managed futures business in 1994, is seeking to expand its client base by…
Credit Markets Update: European market remains fragile and volatile
The recent volatility trend in the European credit derivatives market continued unabated this week, remaining in line with equity market sentiments as the bearish market showed no signs of subsiding. Markets were quiet and generally lacked liquidity,…
Lehman Brothers reshuffles insurance risk products group
Lehman Brothers’ insurance products group, which structures catastrophe risk securities and other insurance liability management products for reinsurers, has been merged with Lehman’s insurance strategies group. Insurance strategies, which now numbers 21…
Weill defends Citigroup's actions over Enron
Citigroup’s chief executive Sandy Weill yesterday defended his company's actions amid increased US government scrutiny into its relationship with bankrupt energy trader Enron.
Bank of Tokyo-Mitsubishi to use OpVar on a global basis
Bank of Tokyo-Mitsubishi (BTM), the Japanese banking institution, plans to use OpVar, the operational risk management application, on a global basis. OpVar was developed by US risk software firm OpVantage, which Fitch Risk Management bought earlier this…
Japan Credit Market Update: Spreads widen on global equity nervousness
Japan’s credit default swap spreads widened across the board by about 20 basis points this week amid global equity nervousness, because of more corporate concerns, and a generally bearish market.
Equity slump sees upsurge in long-dated hedging
The European interest rate swaps market has seen a return of the long-dated hedging programmes that first surfaced at the end of last year, according to traders at investment banks.
European banks report decline in equity derivatives volumes
Despite another surge in implied volatility this month, the European equity derivatives business has seen a decline in volumes in 2002, say dealers. Implied volatility on the FTSE reached a high of 39.5% this month, compared with the average daily figure…
SEC lifts final barrier to single-stock futures trading
The final barrier to the trading of single-stock futures (SSFs) in the US was removed yesterday when the Securities and Exchange Commission (SEC) approved customer margin rules. Earlier this month, the SEC’s regulatory partner, the US Commodity Futures…
Goldman Sachs claims proprietary leap in MBS options pricing
Goldman Sachs claims it has developed a revolutionary new model for pricing mortgage-backed securities (MBS). Alan Brazil, head of mortgage, ABS and rates research at Goldman Sachs in New York, said the new valuation model enables the increasing…
CreditTrade prepares credit volatility pricing tool
Credit derivatives inter-broker dealer and data provider CreditTrade is developing an algorithm to price options on credit default swaps for 20-25 European corporate credits.
JP Morgan and Citigroup pass Enron blame to Andersen
Citigroup and JP Morgan Chase yesterday sought to shift blame on to auditor Andersen for its role in approving 'prepay' transactions, which masked Enron’s financial malaise.
Credit Markets Update: Insurer protection remains under pressure
The cost of protection on insurance companies remained under pressure in the credit derivatives market this week, with spreads widening across the sector as the fall in equity values caused investor concern about insurers being forced to sell equities to…
Further surge in investment grade synthetic CDO issuance expected, says BofA
A further surge in static and managed corporate synthetic collateralised debt obligation (CDO) issuance is expected this year, according to new research by Bank of America.
Korea's IBK to enter equity derivatives business
The Industrial Bank of Korea (IBK) plans to enter the equity derivatives business in South Korea by the end of the year in anticipation of an increase in equity derivatives activity in the country, said Kyu-Bong Hwang, IBK's head of the derivatives…
Japan Credit Market Update: Spreads track US and Europe wider
Japanese credit default swap spreads were wider this week, tracking the trends in the US and Europe in a generally bear market, traders said.