Infrastructure
CFTC report on swap dealer and index trader activity
Following an unprecedented survey of off-exchange swap dealers and commodity index funds carried out in June 2008, the Commodity Futures Trading Commission has made some recommendations on activities of swap dealers and commodity index traders.
Merrill offers weather boost
Merrill Lynch in Singapore has launched the Citrine All Weather Booster Notes, which are designed to offer exposure to the stock of five Singapore-based companies.
Interdealer brokers’ merger talks break down again
Stock prices of interdealer brokers Tullett Prebon and GFI Group plummeted on Tuesday, as a failure “to reach acceptable economic terms” halted ongoing merger talks.
Fannie and Freddie CDS to settle at October auction
The auction process to settle credit default swap (CDS) contracts written against Freddie Mac and Fannie Mae will take place in the first week of October, Risk has learned, although losses on the agreements are likely to be minor for most counterparties.
The outlook for US gas
US natural gas prices, which have fallen by 30% recently, are expected to stabilise at current levels or rise from here, analysts say. Longer term, unconventional reserves could dampen prices. William Rhode reports
Where to next for gas prices?
US natural gas markets can be tricky to predict, as recent high-profile losses in these markets have shown. However, there are some aspects of price behaviour that are more uniform than might be imagined, writes David Linton of Updata
Implied trees: Valuing exotic options
In this next installment of the Masterclass series, Jim Clark, Les Clewlow and Chris Strickland show how to value exotic options, using a calibrated local volatility surface consistent with market prices
Crunching the numbers
Advances in analytical tools, coupled with a proposed December Ferc ruling requiring US gas providers to publish gas flow data, could herald a revolution in US natural gas trading. Algorithmic trading techniques, similar to the kinds used in the equity…
CantorCO2e to hold first binding CER auction
Carbon broker CantorCO2e will hold the first binding Certified Emissions Reduction (CER) auction on 2 October.
More ABS losses to come on Alt-A, auto loans and credit cards
While defaults and delinquencies on subprime mortgages appear to have peaked, losses on prime mortgages and other prime collateral referenced by asset-backed securities (ABS), such as auto loans and credit cards, are expected to keep rising.
Italy set for launch of electricity futures
After years in the making, Italy will finally see the introduction of exchange-traded electricity derivatives through Borsa Italiana, the Italian stock exchange.
Process failings cost Europe €21 billion
Daily news headlines
Cat bonds go against the grain of the credit crisis
Catastrophe bonds (cat bonds) have been one of the few asset classes to prove resilient to the capital markets' turbulence over the past year.
Measuring liquidity risk
Liquidity risk
Powerful ambition
Backed by the financial might of Russia's Renova Group, Avelar Energy is investing in conventional and renewable energy assets across western Europe. Avelar's CEO, Igor Akhmerov, tells Roderick Bruce about his company's strategy
Power struggle
Forward liquidity has been lacking in the UK power market since 2002, and attempts to improve the situation have met with little success. Roderick Bruce considers what the future may hold for UK power trading
Profile: David Slade
The chairman of the Loan Market Association, also leveraged finance head at CSFB, talks to Matthew Attwood about the path to recovery for the beleaguered loan market
A fruitful time for hybrids
Structurers are coming up with novel ways of tapping investor demand for credit-linked products without the default risk associated with the previous generation of structured products. Their answer? Hybrids. Regis Benichou and Arnaud Scemama of Calyon…
Reviving RMBS
With only one public RMBS issue in the UK during the whole of 2008, the market would seem to have hit rock-bottom. But moves are afoot to help restore confidence in the market and enable banks to finance mortgage lending, as Laurence Neville reports
The return of the real money manager
With hedge funds feeling the pinch from the liquidity squeeze, real money managers have emerged as a reliable source of liquidity, earning themselves mandates from investors with cash to put to work. Credit gains an exclusive insight into how one of the…