Structured products
From strategy to tactics
Effective tactical use of risk management information has long been an aspiration of many organisations, but technical obstacles have stood in the way. In this third of four articles on integrated credit risk management, David Rowe argues that the…
Running for cover
Energy
The debt dilemma
New angles
Beyond the pail
Basel accord
Credit Markets Update: Spreads on Iberian names widen due to Brazil fears
The cost of protection on a number of Iberian companies' debt widened this week, due to concerns that further pressure in the Brazilian financial markets and the fall of the real could leave Iberian corporates exposed.
Equity hedge funds’ appetite for credit derivatives grows
Hedge funds are increasingly willing to buy and sell credit protection, either as part of a more complex strategy, or outright, according to dealers.
Mellon introduces risk arbitrage fund
Mellon Financial Corporation, the Pittsburgh-based financial institution, has added a global merger arbitrage fund to its Mellon HBV Alternative Strategies subsidiary.The new fund will focus on investing in a diversified portfolio of global risk…
Market-making hedge fund ups size and mulls credit debut
London-based hedge fund Algometrics is aiming to raise a further $100 million by October 2002 for its existing equity fund and is eyeing a move into credit derivatives.
CFTC uncovers more forex fraud
The Commodity Futures Trading Commission (CFTC) last week charged two New York-based foreign currency firms and two of their senior employees with fraudulently soliciting more than $15 million for illegal off-exchange forex futures contracts.
Fitch working on new municipal CDOs in the US
Fitch Ratings is reviewing several pools composed mostly of already issued municipal securities as potential collateral for a new asset class – municipal collateralised debt obligations (CDOs). Marion Silverman, a senior director based in Fitch Ratings’…
Moody's report confirms European CDO growth
Ratings agency Moody’s Investors Service said the European collateralised debt obligation (CDO) market grew by 46% in the first half of 2002, compared with the corresponding period of last year. Moody’s rated 72 CDO transactions in the first half of the…
Kottke to set up agricultural arbitrage hedge fund
Chicago-based managed futures fund Kottke Associates is to launch its first hedge fund based on an agricultural arbitrage strategy in September. The firm, which established its managed futures business in 1994, is seeking to expand its client base by…
Credit Markets Update: European market remains fragile and volatile
The recent volatility trend in the European credit derivatives market continued unabated this week, remaining in line with equity market sentiments as the bearish market showed no signs of subsiding. Markets were quiet and generally lacked liquidity,…
Lehman Brothers reshuffles insurance risk products group
Lehman Brothers’ insurance products group, which structures catastrophe risk securities and other insurance liability management products for reinsurers, has been merged with Lehman’s insurance strategies group. Insurance strategies, which now numbers 21…
Japan Credit Market Update: Spreads widen on global equity nervousness
Japan’s credit default swap spreads widened across the board by about 20 basis points this week amid global equity nervousness, because of more corporate concerns, and a generally bearish market.
More US companies to expense stock options
Two more US companies are set to follow Coca-Cola’s example of expensing their stock option plans. The Atlanta-based drinks company last week said it plans to expense the cost of all stock options the company grants beginning in the fourth quarter.
Equity slump sees upsurge in long-dated hedging
The European interest rate swaps market has seen a return of the long-dated hedging programmes that first surfaced at the end of last year, according to traders at investment banks.
Barclays Capital brings in Stephen Jones
Barclays Capital, the investment banking division of Barclays Bank, has hired Stephen Jones as its London-based head of corporate risk management for Europe and head of the newly formed financing solutions group.
Rothschild Australia to offer fund of hedge funds
Rothschild Australia Asset Management will launch a fund of local hedge funds in the second half of the year, according to Andrew Baker, head of products at the asset management firm.
European banks report decline in equity derivatives volumes
Despite another surge in implied volatility this month, the European equity derivatives business has seen a decline in volumes in 2002, say dealers. Implied volatility on the FTSE reached a high of 39.5% this month, compared with the average daily figure…
SEC lifts final barrier to single-stock futures trading
The final barrier to the trading of single-stock futures (SSFs) in the US was removed yesterday when the Securities and Exchange Commission (SEC) approved customer margin rules. Earlier this month, the SEC’s regulatory partner, the US Commodity Futures…