Foreign exchange
Getting the deal done
Falling equity valuations have made funding a merger or acquisition with stock difficult. Equity derivatives dealers are devising and updating hedges to ensure deals get done despite the bear market. Rob Dwyer examines the latest techniques
An aggressive agenda
Dresdner’s chief risk officer, Heinrich Linz, is masterminding a credit revolution at the German bank.
A crisis of identity
Recent news stories have highlighted a controversy over identification of the specific reference entity in certain credit derivatives contracts. Troubling as this is, it reflects a more pervasive lack of discipline among financial institutions. In this…
The evolving art of pricing cliquets
Cliquet options are widely traded and embedded in many retail structured products. But they are hard to value and some dealers claim their rivals are mis-pricing them. Navroz Patel reports on the debate and some initiatives that may help
Insurers embrace risk systems
Insurance companies have been slower than banks to adopt advanced risk modelling techniques and technologies. But regulatory changes and business exigencies are spurring them to adopt a new generation of risk and capital management systems
Basel II focus switches to securitisation after SME loan solution agreed
Experts working on the Basel II bank capital rules are focusing on the technically difficult issue of asset securitisation after agreeing a solution this month to the politically sensitive problem of how lending to small and medium-sized enterprises …
Credit Markets Update: Xerox scandal spooks market
Reports of another major accounting blunder, this time at Xerox, have spooked the credit derivatives market and sent bids for credit protection on European names escalating again. Credit default swaps spreads on European credits had been tightening after…
Japan Credit Market Update: Spreads track equities on WorldCom fears
The cost of default protection on Japanese credits stabilised on Friday after Wednesday’s sharp widening caused by a $3.8 billion accounting scandal at US telecommunications group WorldCom, volatile equity markets and the steady strengthening of the yen…
Credit Congress 2002: Credit hedging by convertible hedge funds set to rise, says Goldman
The potential opportunities for convertible hedge fund arbitrage will see the market grow from $2 to $2.5 billion by the end of this year, according to Klaus Toft, an executive director in Goldman Sachs’ credit derivatives strategies group.
Basel II focus switches to securitisation after SME loan solution agreed
Experts working on the Basel II bank capital rules are focusing on the technically difficult issue of asset securitisation after agreeing a solution this month to the politically sensitive problem of how lending to small and medium-sized enterprises …
UK central bank concerned by investor appetite for credit risk
The purchase of credit derivatives instruments by some institutional investors in their hunt for yield is a cause for concern, the Bank of England said in its latest Financial Stability Review, released today.
HVB in major hedge fund push
Germany’s HypoVereinsbank (HVB) is restructuring its hedge fund activities in an effort to step-up its global alternative investments business. The move is intended to capitalise on the boom in demand for alternative investments, such as hedge funds, in…
Rabobank sues RBC over Enron total return swap
Rabobank, the Dutch financial institution, has filed a lawsuit against Royal Bank of Canada (RBC) over a $517 million swap transaction that RBC entered into with Rabobank to hedge a loan the Canadian institution had made to a unit of now-defunct energy…
UK’s FSA plans delayed Basel II paper for mid-July
The UK’s chief financial regulator plans to issue its discussion paper on implementing the Basel II bank capital adequacy Accord and parallel European Union (EU) rules in mid-July.
Partners aims to offer €500m exchangeable hedge fund bond
Partners Group, a $4 billion alternative asset manager headquartered in Switzerland, plans to launch a €500 million innovative exchangeable bond linked to a pool of hedge funds within the next few weeks.
Credit Markets Update: Telco spreads balloon following WorldCom fraud
The admission by US telco WorldCom of a multi-billion dollar accounting fraud late yesterday sent credit protection spreads ballooning as much as 100 basis points today in both the US and Europe. But markets settled down as the day progressed, traders…
Tools for the trade
Credit Risk
Hedge funds set to steal share from mutual funds in Asia, says Barclays’ Yang
Hedge funds – a once-shunned asset class in Asia – are likely to take market share away from traditional mutual funds, according to Angus Yang, director in the equity finance group at Barclays Capital in Tokyo.
Banks bid for Roman risk management
Comune di Roma – the City of Rome – is close to awarding a mandate for the risk management of its €6 billion of outstanding debt, said bankers involved in a beauty parade city authorities have been holding over recent weeks.
Brokers launch marine fuel hedging service
US brokers OceanConnect and Starsupply plan to launch the first bunker fuel derivatives contracts by July 8.
Investor demand for Asian hybrid products growing
Growing numbers of Asian investors are turning to structured credit products in order to benefit from enhanced yield in an environment of low interest rates and tightening credit spreads, says Patrick Kwan, director of debt capital markets and investment…
Isda adds HK$ swap fix rate to its list
The International Swaps and Derivatives Association (Isda) said today it has added a Hong Kong dollar IsdaFix rate to its schedule of swap rates published daily on Reuters.
Helsinki exchange set to launch weather derivatives
The Helsinki securities and derivatives exchange (HEX) is preparing to launch exchange-traded weather derivatives by the end of the third quarter.