Credit markets
Strong Q2 causes BA protection cost to narrow 200bp
The cost of credit protection for British Airways (BA) has tightened by 200 basis points to 725bp following surprisingly strong second-quarter earnings figures released yesterday. The airline beat market expectations by pulling off a financial turnaround…
Sponsor's article > Credit derivatives: will the market keep expanding?
This article aims to give a brief overview of some of the main trends in the credit derivatives market and also proposes to analyse some of the underlying reasons why this market is experiencing such a boom.
Shifting sands in the CB market
Convertible bonds
Moody's publishes CDO hedge counterparty guidlines
Rating agency Moody's Investors Service today said it has published a series of guidelines outlining the steps by which a collateralised debt obligation (CDO) hedge counterparty can better detach its own credit risk from the CDO itself.
Portfolio allocation to corporate bonds with correlated defaults
This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility ofcorrelated defaults. Under fairly general assumptions for the distribution of thetotal net assets of a set…
A rollercoaster ride
Foreign exchange
All power to PRDC notes
Forex structured products
Reacting to spreads
Credit derivatives
Pooling the resources
Securitisation
Internal risk rating systems for banks
Sponsored article
Deconstructing the market
High yield
Trouble from above
Pension funds
JPM Merits CDOs
Credit tech
Slim pickings
New Issues
Commerzbank: kaput?
Credit of the month
Deutsche Bank credit protection trades wider following Q3 losses
The cost of senior debt protection for Deutsche Bank has crept 5 basis points wider to 58bp-mid after the bank posted a third-quarter net loss of €299 million. In otherwise thin markets, credit derivatives traders in London said active buyers of…
RiskNews review
October’s leading stories from RiskNews. Breaking news on derivatives and risk management, see RiskNews – www.RiskNews.net
Basel II and pro-cyclicality
The main argument for making regulatory capital requirements more risk-sensitive is to improve allocational efficiency. But this may lead to intensified business cycles if regulators fail to take measures to prevent such an impact. In this first column…
ING provides cross-currency swap for Samsung Card ABS
The Netherlands' ING Bank will provide the cross-currency swap for South Korean consumer finance company Samsung Card’s $400 million of cross-border asset-backed securities, said a spokeswoman for the Korean company.
Airline exposures cast shadow over CDOs and derivatives trading
Collateralised debt obligation (CDO) investors assessing their credit risk exposure should be aware that recovery prospects among airlines bonds vary dramatically from company to company, according to Goldman Sachs.
Vivendi spreads widen due to Cegetel bid fears
Credit protection spreads on Vivendi Universal debt widened by 60 basis points yesterday as speculation again mounted that the French telecoms company would attempt to boost its stake in French mobile telephone company Cegetel. Five-year credit default…