Risk magazine
Credit card capital charges will be lower under Basel II
Major banks will probably have to set aside a lot less capital as a cushion against losses from defaulting credit-card holders under the Basel II bank Accord than they do now, global banking supervisors said.
Australian structured finance market to pick up in H2, says Moody's
International rating agency Moody's believes the Australian structured finance market will pick up in the second half of the year following a drop in such deals during the first six months of this year.
Bita Plus plots Nordic expansion
London-based Bita Plus Consultants, a portfolio analytics and optimisation software provider, has forged an exclusive distribution deal with Swedish consultancy Proventek to push its products in the Nordic region.
French reinsurer Scor to return to credit derivatives market next year
French reinsurer Scor Group will come back to the credit derivatives market to offer protection by early next year, said the company’s chairman Jacques Blondeau.
Eurostat ruling likely to slow government securitisations
New rules issued on government securitisations late yesterday by Eurostat, the statistical body of the European Commission, could slow the sovereign securitisation market, according to industry participants. The rules, which cement the accounting…
Euroclear buys Crest in all-share deal
Euroclear plans to take over Crest Company in a €751 million all-share deal that will create one of Europe’s biggest securities settlement organisations.
CFTC approves use of single-stock futures
A significant barrier to the trading of single-stock futures (SSFs) in the US was removed late yesterday when US regulator the Commodity Futures Trading Commission (CFTC) approved final rules for the use of the instruments.
Germany drops objections to Basel II after SME solution
Germany lifted its objections today to the Basel II bank Accord, welcoming a compromise on lending to small businesses that will be discussed next week by global banking regulators.
S&P rates hedge fund of funds CDO
Ratings agency Standard & Poor’s (S&P) said it has rated a hedge fund-backed collateralised debt obligation (CDO) issued last week by Diversified Strategies, a special-purpose vehicle. Cayman Islands-based Investcorp Management Services is the investment…
Purple patch for green trading as EOR grows
CO2e.com, the Toronto-based environmental trading arm of broker Cantor Fitzgerald, has brokered the largest publicly announced green forward trade. The deal, which comprises a forward firm purchase of 6 million tonnes of carbon dioxide equivalent (tCO2eq…
Borsa Italiana to launch single-stock futures
Borsa Italiana’s Idem market, the derivatives arm of the Milan-based Italian exchange, is to launch trading of single-stock futures on July 22.
Credit Markets Update: Vivendi protection costs surge
The cost of credit protection on French media company Vivendi Universal’s debt ballooned 500 basis points yesterday, with five-year bids hitting 1,200bp following downgrades from rating agencies Moody’s and Standard & Poor’s and the resignation of chief…
DrKW integrates Asian equities and fixed-income operations
Dresdner Kleinwort Wasserstein (DrKW) has established a new capital markets division by merging its equity and debt markets operations to offer fully integrated cash and derivatives services to clients.
Merrill strips out European structured credit head
Glenn Barnes, London-based head of European structured credit, has left Merrill Lynch. His departure is due to a decision to strip out a layer of management, a Merrill Lynch spokesman claimed.
Banks and commodities: against the tide
Introduction
Merrill Lynch creates non-Japan Asia derivatives role
Merrill Lynch is creating a new position for its non-Japan Asia local currency foreign exchange and interest rate derivatives business to cater for client demand, a senior official said.
EU to issue government securitisation guidelines tomorrow
Eurostat, the statistical body of the European Commission, will issue guidelines tomorrow for EU government securitisations, a move that could have significant implications for state-guaranteed structured finance deals.
Long-awaited exposure draft on SPV consolidation released in US
The US Financial Accounting Standards Board (FASB) has released a long-awaited exposure draft on the consolidation of special purpose entities, or special purpose vehicles (SPVs). New rules for accounting for SPVs, a class that includes all CDOs, was…
French delay on securitisation issue fuels bank concerns
The decision by the French banking regulator, Commission Bancaire, to delay issuing a clarification on a rule regarding the capital risk weighting to be applied to French securitisations, has caused concern among market participants.
NAB bolsters credit team
National Australia Bank (NAB) has bolstered its structured credit team with the addition of Peter Rothwell, who joined the Australian bank’s London office last week as senior trader.
RiskMetrics launches mutual fund evaluation service
RiskMetrics, the US-based risk management analytics provider, has released an equity mutual fund evaluation service that focuses on assigning performance measurements based on the risk of a mutual fund manager. The service, called 'Best and Worst' fund…
CFTC approves FX anti-fraud rule
The US Commodity and Futures Trading Commission (CFTC) has approved a proposed National Futures Association (NFA) rule aimed at stemming fraudulent activity by smaller retail-oriented foreign exchange dealers.
Risk and probability measures
Although its drawbacks are well known, VAR has become institutionalised as the market risk measure of choice among trading firms and regulators. Now there is a growing feeling that a reappraisal is overdue, exemplified here by Phelim Boyle, Tak Kuen Siu…
On the log-log linearity of the size distribution of growth stocks
Mauboussin & Schay (2000)1 discovered an almost linear relationship between the logarithm of the market capitalisation and the logarithm of the rank for growth stocks. Kou & Kou (2001)2 proposed an explanation for this observation based on the theory of…