Credit markets
Fed’s OTC processing targets expanded to interest rates and commodities
For the first time, major traders of over-the-counter derivatives have pledged to improve operational efficiency for interest rates and commodity derivatives, as well as further improve processing speeds for credit and equity derivatives.
A free lunch and the credit crunch
Monoline insurers act as triple-A guarantors of the senior risks in structured finance. A purchaser of credit insurance or protection from a monoline may argue that they take only a small amount of the counterparty risk that is a common side-effect of…
Société Générale offers credit exposure
Société Générale has launched a new product offering exposure to the credit default swaps of speculative-grade companies. The investment is linked to the number of defaults in the iTraxx five-year Crossover Index.
Further monoline downgrades likely
Moody's has put the last two remaining 'legacy' monoline insurers to maintain a Aaa rating - Assured Guaranty and Financial Security Assurance (FSA) - on watch for a downgrade.
SG speculates on credit
Société Générale has reported increased interest in unleveraged long credit trades based on the iTraxx Crossover Europe index.
Merrill Lynch startles market with end-of-day news on losses
Merrill Lynch waited until trading had closed in New York yesterday to announce quarterly losses of $4.7 billion, including $9.1 billion writedowns on its structured product, monoline and mortgage exposures.
Cheyne assets disappoint in rescue auction
The auction of the first portion of assets in SIV Portfolio, formerly known as Cheyne Finance, took place this week, but the assets sold at just 44% of par value - well below analyst predictions.
S&P outlines "stability" changes to structured product ratings
US rating agency Standard & Poor's has outlined its proposal to include credit stability in its rating process, which could see severe downgrades for many volatile structured credit products.
Banks and hedge funds spur growth in OIS
Central bank activity has contributed towards a surge in trading overnight index swaps (OIS) over the past year, according to dealers.
Second review on Athilon rating
Moody's yesterday placed the AAA counterparty rating of credit derivatives product company (CDPC) Athilon Capital on watch for downgrade.
SEC hits out at agencies over RMBS
The US Securities and Exchange Commission (SEC) yesterday published a report detailing the results of its investigation on the three main credit rating agencies' practices in rating products that reference residential mortgage-backed securities (RMBS).
Quant Congress: Bear Stearns breached structured credit limits, says former CRO
Defunct securities dealer Bear Stearns persistently breached its own internal limits governing how much structured credit paper the firm could hold on balance sheet in the months leading up to its collapse, the firm’s former head of risk management for…
Quant Congress: Gaussian copula "failing dramatically" in pricing CDOs
Gaussian copula distribution models are an overly simplistic and inadequate means of valuing tranches of collateralised debt obligations (CDOs) and other structured products, warned a senior quant yesterday.
Basel committee outlines reforms for rating agencies
The Committee on the Global Financial System (CGFS) – a group affiliated with the Bank for International Settlements that monitors developments in financial markets for the G10 countries – released on July 4 its findings on failures in structured finance…
Cheyne auction reflects harsh reality for SIVs
An expected restructuring of the assets of defunct structured investment vehicle (SIV) Cheyne Finance later this month underlines the harsh reality faced by many investors in the vehicles, who are likely to get little or none of their money back.
Markit and Creditex launch op risk CDS platform
Daily news headlines
Carbon traders connect
Over 1,000 delegates signed up to the Environmental Risk carbon trading e-symposium, a live online conference hosted by Energy Risk on May 28. Roderick Bruce looks at some of the highlights
A meeting of minds
Now in its 12th year, the Energy Risk USA conference in Houston once again brought together key figures in the energy industry to debate the hottest topics. The Energy Risk team reports
Buckle up
Market Analysis
Investors should heed lessons of credit crisis
Choose products carefully, warns BNP Paribas, Tighten up risk infrastructure, says the OECD's Hans Blommestein
Talk is cheap
Rating agencies