Foreign exchange
Regulator exposes potential market manipulation by Enron
The Federal Energy Regulatory Commission (Ferc) has requested that energy firms supply detailed trading data to ascertain if there was any market manipulation during the California energy crisis of 2000-2001.
No “new role” for RCC in Japanese NPL clean-up, claims ING
The decision by Mitsubishi Tokyo Financial (MTFG) to step up its sell-off of bad loans to the Resolution and Collection Corporation (RCC) will have little tangible effect on cleaning up Japanese financial institutions’ burgeoning non-performing loans …
FrontPoint hires equity arbitrage strategy team
US investment management firm FrontPoint Partners has hired a three-man quantitative equity arbitrage team aimed at developing an investment strategy generating low volatility absolute returns using liquid and risk-controlled methodologies.
TriOptima's euro rates swaps tear-up planned via the Net
The first major interest rate swaps tear-up planned through TriReduce – a system developed by Sweden’s TriOptima – will take place via the internet later in the year, TriOptima founder and director Derk Brouwer told RiskNews .
BofA moves to replace lost FX staff
Bank of America (BofA) hired four senior foreign exchange traders and three institutional forex sales staff in April, in an ongoing expansion of its foreign exchange division, following a number of forex staff leaving the US bank last year.
FX volatility drought clears as US dollar softens
The volatility drought in the forex markets could be over, market participants told RiskNews ' sister publication FX Week , as sustained losses in the US dollar last week brought currency pairs out of the narrow ranges they have traded since the start of…
Morgan Stanley set to launch European synthetic ‘Tracer’
Morgan Stanley plans to launch a synthetic version of its tradable custodial receipt – ‘Tracer’ – product soon in Europe, following its introduction of a Tracer index based on single-name credit default swaps in the US in mid-April, and its launch of…
BofA highlights danger of over-leveraged synthetics
The over-leveraging of investment grade corporate credit-backed synthetic collateralised debt obligations (CDOs) accentuated the impact of credit downgrades last year, according to new research by Bank of America.
Rates Markets Update: Swap flows increase on economic news
Dollar-swaps saw big flows this week following a US Treasury announcement on Monday that it plans to borrow $120 billion to cover its budget shortfall. Ten-year swap spreads had come in from 57.5 basis points at the start of the week to 52bp midweek,…
Credit Markets Update: Telecoms spreads continue widening
The cost of protection on European telecoms rose again today following the publication of a number of negative analyst reports. Traders at JP Morgan Chase in London quoted five-year credit default swaps (CDS) on France Telecom 20 basis points wider over…
Hedge funds of funds may offer CDO opportunity, says S&P
Standard & Poor’s (S&P) today predicted that collateralised debt obligations (CDOs) of hedge fund of funds will be the next sector to fuel growth in alternative investments.
Moody’s highlights swap risks within European securitisations
Using fixed amortisation schedule swaps to hedge securitisations can actually increase, rather than reduce the market risk, claims Moody’s Investors Service.
Credit risk in asset securitisations: an analytical model
How much capital should banks reserve against investments in portfolio securitisations? Asserting that recent proposals on this subject by Basel are inconsistent, Michael Pykhtin and Ashish Dev propose a new analytical model suitable for tranches of…
Basel II SME solution close
Global banking regulators are optimistic they can resolve by mid-June the vexed question of the treatment of lending to small to medium-sized enterprises (SMEs) under the Basel II capital Accord.
Real-Time Risk Aggregation
Buy- and sell-side survey respondents say batch processing and poor reference data are hindering real-time, firm-wide risk assessments.
The future for Basel II
With Basel II delayed yet again, will revisions to the capital Accord happen at all? David Rowe says Basel I is the best argument for persevering, but any revisions must address regulatory arbitrage problems and take greater account of the full range of…
Revamping Corporate Actions
Dividend payments, stock splits, name changes, spin-offs and other corporate actions impacting securities already held in accounts were not supposed to be affected by T+1. But as the deadline for shortening the trade settlement cycle is challenging firms…
Gaining an edge from Basel
The recent recommendations of the Basel Committee are set to usher in a period of upheaval for many participants in the banking sector. Standard & Poor’s Anthony Albert looks at how to gain a competitive advantage in credit risk management in the light…
Static data moves forward
Firms tackling high-speed and information-intensive tasks such as straight-through processing or risk management without accurate instrument and counterparty reference data may be taking enormous operational and credit risks. Clive Davidson reports on…
Switching on CLS
As the continuous linked settlement initiative prepares for a delayed launch later this year, firms that have been involved since the beginning outline how they hope to recoup and build on their investments.
Banging the drum
Investor relations
Consolidation fever
Utilities