Credit risk
The search for a deposit base
The fallout from the default of Lehman Brothers continues spread across the structured products industry, as arrangers seek to reassure nervous high-net-worth clients that their investments are safe. Michael Marray reports
Rocked by counterparty risk
The demise of Lehman Brothers has triggered fresh concerns about counterparty risk, creating a wave of novations and forcing dealers to think harder about the possibility of another major derivatives counterparty defaulting. Mark Pengelly reports
All shook up
Structured Products
The domino effect
Corporates
Isda applauds $25 trillion reductions in CDS notionals
Daily news headlines
Ice picks off ClearCorp
Atlanta-based Intercontinental Exchange (Ice) is to take over Chicago-based clearing house The Clearing Corporation (ClearCorp) as part of an effort to establish itself in the credit default swap (CDS) market.
CDS spreads widen after stock markets crash
Following a volatile week of crashes across the world’s equity markets and fears of a global recession, the cost of credit protection on financials has risen further.
End of the line for CPDOs
Analysts say the demise of Constant Proportion Debt Obligations (CPDOs) now seems certain.
Auction sets 57% recovery on Washington Mutual CDS
An auction yesterday established a final settlement price of 57% for Washington Mutual bonds, leaving sellers of credit default swaps (CDS) with higher-than-expected settlement payments as they close out contracts referencing the former US bank.
Banks move towards clearing for FX, interest rate and equity
A large part of the over-the-counter derivatives market will shift towards central clearing houses by next year, as the collapse of Lehman Brothers on September 15 forces banks to reassess counterparty risk posed by other dealers.
FSF releases update on April recommendations
The Financial Stability Forum (FSF) – - on October 10 released a follow-up to its April white paper, Enhancing Market and Institutional Resilience.
Lehman’s CDS mess
Editor's blog
Lehman’s CDS mess
Editor's blog
Fed discusses CDS clearing house options
The Federal Reserve Bank of New York is today in discussions with interested parties over the establishment of a central clearing house for credit default swaps (CDSs).
Kaupthing becomes latest Icelandic bank to default
The nationalisation of Iceland’s largest bank Kaupthing on Thursday constitutes a technical credit event, the International Swaps and Derivatives Association has confirmed.
Fed to lend additional $37.8 billion to AIG
The US Federal Reserve has stepped in again to help troubled insurance company American International Group (AIG), authorising the Federal Reserve Bank of New York to borrow up to $37.8 billion in investment-grade fixed income securities from AIG in…
Pimco in frame to run commercial paper purchase facility
The Federal Reserve Bank of New York has confirmed it is in talks with California-based bond fund Pimco to manage the government’s new commercial paper purchase facility (CPFF).
Icelandic banks in default
The International Swaps and Derivatives Association on Wednesday confirmed that the Icelandic government’s takeover of Landsbanki on October 7 and its acquisition of a 75% stake in Glitnir Bank on September 29 constitute technical credit events.
CME and Citadel plan CDS exchange
Chicago-based exchange operator CME Group and hedge fund management firm Citadel Investment Group are set to launch a fully integrated trading and clearing platform for credit default swaps (CDSs).
TriOptima reconciling 50% of collateralised OTC derivatives
Swedish technology company TriOptima’s portfolio reconciliation service, TriResolve, now reconciles more than 50% of all collateralised over-the-counter (OTC) derivatives transactions globally, up from 40% in June.
Auction determines settlement price for Fannie and Freddie
An auction to determine settlement prices on credit derivatives referencing Fannie Mae and Freddie Mac took place yesterday, making it by far the largest credit event fixing to have taken place since the process was first introduced in 2005.
Fannie and Freddie auctions raise questions about CDSs
The settlement prices on credit default swaps (CDSs) linked to Fannie Mae and Freddie Mac, determined at an auction yesterday, were heavily influenced by technical factors and raise questions about the efficacy of credit derivatives as a hedge, claim…