Structured products
Allegheny sells $405m of energy supply contract to Goldman Sachs
Allegheny Energy yesterday took a step towards reducing its exposure to energy trading by selling an energy supply contract to a subsidiary of Goldman Sachs for $405 million.
Basel may advise banks on outsourcing
The Basel Committee on Banking Supervision may investigate the risks associated with outsourcing trading systems to third parties, a senior Bank for International Settlement (BIS) official told FX Week.
Cap arb hedging techniques not "universally accepted", says Morgan Stanley
Common techniques for weighting the delta used in capital arbitrage trades – which typically involve buying credit protection while simultaneously selling equity put options on the same name – are “by no means universally accepted”, according to research…
Overcoming the hurdle
How should capital be allocated to different business lines in a financial institution? ThomasWilson explores this question from an investor's perspective by constructing a statisticalmodel that measures the risk of individual business types.
North American and Japanese Tracx to debut today
JP Morgan Chase and Morgan Stanley will jointly launch two North American and one Japanese version of their Tracx credit default swap (CDS) index product today.
Getting to grips with fair value
European corporate treasurers and finance officers are still way behind in their preparations for IAS 39.
US defaults down, recoveries up, says Fitch
The default rate in the United States has fallen 69%, while recovery rates went up by 50% in the first half of 2003, according to Fitch Ratings.
Accord preparations: the rest is yet to come
While the debates have raged for months about many aspects of the proposed Basel II Accord, on some points there has been relative silence, in particular with regard to the seeming overreliance on statistical techniques.
CDOs “generally unaffected” by Mirant and Loral bankruptcy filings, says Fitch
Rating agency Fitch has examined the collateralised debt obligations (CDO) that it rates for exposure to troubled companies Mirant and Loral and concluded that they are “generally unaffected” by their bankruptcy filings.
Corporate Governance Survey 2003, Part 2 >>Corporate governance disclosure: banks focus on bolstering infrastructure
In the second part of Operational Risk's review of 15 bank annual reports for 2002, the editors look at how firms have chosen to address the hot button issues of corporate governance, reputational risk and legal risk. Again, practices vary widely among…
Preparation, quantification, implementation
While the South African Reserve Bank is in favour of Basel II, those tasked with preparing for the new capital accord are in no doubt that the risk quantification challenges presented by it are daunting.
All in Accord
South Africa's banks are taking Basel II seriously. Clive Davidson discovers what they are doing to prepare for its implementation, and how they are meeting the many challenges of the new capital accord.
JP Morgan Chase and Morgan Stanley launch Trac-x Japan CDS index
US investment houses JP Morgan Chase and Morgan Stanley are merging their Japanese credit derivatives indexes Janice and MSJ-CDS, respectively, into Trac-x Japan, a new tradable index that tracks the 50 most liquid Japanese credit default swaps (CDS).
Emerging market hedge funds post highest returns
Emerging market hedge funds continued to generate lucrative returns in June, averaging a 3.3% gain net of fees, according to the Van Global Hedge Fund Index.
MMS launches one-stop credit service
Market data provider MMS International launched a real-time credit and derivatives commentary service last week, its first new service in five years.
Caruana defends Basel Committee on SMEs to European parliament
Basel Committee for Banking Supervision chairman Jaime Caruana strongly defended the group's proposals for credit risk weightings for loans to small and medium-sized enterprises (SMEs) to the audience at a EU parliament workshop on the subject yesterday…
Mutual fund proposals may spur tech uptake
NEW YORK – Mutual funds may have to make more technology implementations if legislation introduced by the US House of Representatives' financial services committee becomes law. The bill, proposed last month, is intended to improve mutual funds'…
Standard & Poor's enters portfolio risk modelling
Standard & Poor's (S&P) Risk Solutions has launched a portfolio risk tracker model. The model covers both credit and market risk, which should allow banks to calculate their economic capital and perform risk assessments across the full range of risks…
EU Parliament to hold "Basel II and SMEs" workshop, publish paper
The European parliament is holding a workshop, Basel II and the consequences for SMEs, on July 10.
EU Cad concedes on investment firms but limits role of insurance
Brussels – The European Commission issued the fourth consultation on the capital adequacy directive (Cad) on July 1.
Trésor unlikely to resume swaps programme in near future
The French debt management agency, the Agence France Trésor, will not resume its swaps programme in the current market conditions, said Sylvain de Forges, the agency's Paris-based chief executive.
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FASB unlikely to delay FIN 46, says CSFB
The US Financial Accounting Standards Board (FASB) is unlikely to delay the introduction of financial interpretation number 46 (FIN 46), the consolidation of variable interest entities (VIEs), according to the accounting and tax research team at Credit…
FASB unlikely to delay FIN 46, says CSFB
The US Financial Accounting Standards Board (FASB) is unlikely to delay the introduction of financial interpretation number 46 (FIN 46), the consolidation of variable interest entities (VIEs), according to the accounting and tax research team at Credit…