Foreign exchange
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.
Credit Markets Update: European spreads contract in thin trading
European credit default swaps spreads have tightened following the release of better-than-expected results from several high-profile companies and improved sentiment in the telecoms sector. But liquidity was low, traders said.
PNC forced to improve risk management
The PNC Financial Services Group has agreed to bolster its risk management capabilities, following an enquiry by the US Securities and Exchange Commission (SEC) into some off-balance-sheet trades with American International Group (AIG) in 2001.
FSA fairly confident of ‘sensible’ op risk charge for investment firms
UK regulators are reasonably confident operational risk capital charges for investment firms proposed under new European Union (EU) rules will be “sensible”, the UK’s chief financial regulator said today.
Expensing share options could mean more hedging, say analysts
Hedging employee share options could become more common if companies follow Coca-Cola’s example and expense them, according to equity analysts.
Banks see sharp slowdown in equity derivatives business
Falling equity derivatives revenues have hit bank earnings in the second quarter this year, as a decline in merger and acquisitions (M&A) activity saw less corporate demand for equity derivatives.
FSA fairly confident of ‘sensible’ op risk charge for investment firms
UK regulators are reasonably confident operational risk capital charges for investment firms proposed under new European Union (EU) rules will be “sensible”, the UK’s chief financial regulator said today.
Credit Markets Update: High correlation to equity markets continues
The credit default swap market continued to see significant volatility and trading activity in Europe this week, as the high degree of correlation to the equity markets persisted, according to traders in London today.
MSCI hedge fund index offers 10% better return than equities
Morgan Stanley Capital International (MSCI), the provider of benchmark indexes for financial institutions, has released the first performance data for its newly established family of hedge fund indexes. The results were compiled from back-dated data…
FOA slams single European market plans for commodity derivatives
The London-based Futures and Options Association (FOA) today said it was concerned that plans to include commodity derivatives within the European Commission’s new Investment Services Directive (ISD) and related Capital Adequacy Directive (CAD) could…
Samsung Life shortlists three swap counterparties for cross-border RMBS
South Korean insurer Samsung Life is preparing to issue Korea’s first cross-border residential mortgage-backed securitisation (RMBS) to be launched in the third quarter of the year, and as part of the transaction, it has shortlisted three potential…
US Credit Market Update: Credit spreads see another volatile week
The continued weak performance of US equity markets caused bearish investors to seek credit protection in the US last week. This caused volatility in the US credit derivatives market, with most company credit spreads widened in relatively high levels of…
FOA slams single European market plans for commodity derivatives
The London-based Futures and Options Association (FOA) today said it was concerned that plans to include commodity derivatives within the European Commission’s new Investment Services Directive (ISD) and related Capital Adequacy Directive (CAD) could…
PwC report critical of bank risk management strategies
Many financial institutions are not managing the full spectrum of risks effectively, according to a new report from PricewaterhouseCoopers and the Economist Intelligence Unit (EIU). The report said financial services companies should re-evaluate their…
Credit Markets Update: Negative equity sentiment transmutes into wider spreads
European credit default swap spreads were wider this week, with investors buying protection as credit concerns and accounting scandals in the US contributed to negative investor sentiment that led to a further battering of stocks.
Japan Credit Market Update: Increased protection buying send spreads wider
Japanese credit default swap spreads were wider this week, with investors buying protection on the back of new convertible bond issuance, more credit concerns and the possibility that accounting scandals seen in the US may spread to Japanese companies.
Credit quality improved but spreads widen in Q2, says S&P
Rating agency Standard and Poor’s (S&P) said global credit quality continued to improve in the second quarter of 2002. The global downgrade-to-upgrade ratio, which was 7:0 in the final quarter of 2001 was 5:3 in the first quarter of 2002 and 3:1 for the…
Implied volatility surge sees the return of institutional hedging
Short-term implied option volatility has shot up during the past month due to falling equity markets, which has led to increased institutional hedging, according to a report published this week by Goldman Sachs.
European Union Basel II/Cad 3 timetable remains tight
The European Commission’s plans to apply risk-based protective capital rules to banks in the European Union (EU) remain on a tight schedule following yesterday’s progress statement on the Basel II bank Accord by global banking regulators, a Commission…
UK bankers fear capital floors higher under latest Basel II plans
The British Bankers' Association (BBA) is concerned that global banking regulators appear to have raised and expanded the application of the capital charges floor in the Basel II bank Accord, a BBA official said today.
European Union Basel II/Cad 3 timetable remains tight
The European Commission’s plans to apply risk-based protective capital rules to banks in the European Union (EU) remain on a tight schedule following yesterday’s progress statement on the Basel II bank Accord by global banking regulators, a Commission…