Dear Subscriber,

Welcome to RiskNews Update - 26/10/2001

JP Morgan Chase was in the news this week. First, its US credit derivatives group said it was considering partnerships with affiliated companies and data vendors to redistribute its data and create an industry pricing benchmark. Second, it and Deutsche Bank separately signed deals with US technology solutions provider Longitude to speed the introduction of broader index trading based on economic data.

The idea to create credit derivatives indexes is not new to the bank. Its European operation has already set up a credit default swap data service - albeit that it has received a somewhat underwhelming response from clients, bankers said. But global credit derivatives head Andy Brindle said the US approach would be different to Europe, although he declined to provide more specific details due to the early state of negotiations.

Wider-than-market indexes are also a relatively uncharted territory, but the use of Longitude's Parimutuel Digital Call Auction (PDCA) technology, could be the first step towards banks reducing market risk. PDCA products should
be self-clearing and self-hedging, and priced according to customer particpation. They are therefore not dependent on supply and demand constraints. JP Morgan Chase plans to use the technology to create products based on economic statistics published by the US government and US
government agencies. Deutsche plans to use Longitude to create derivatives based on economic statistics published by European and Japanese governments.

Meanwhile, Moody's Risk Management Services has formed a strategic working group - the RiskCalc Sponsor Group - with nine major banks, to develop European credit risk benchmarks, using its RiskCalc software. The RiskCalc
backers are Barclays, Lloyds TSB, and Royal Bank of Scotland in the UK; Banco Bilbao Vizcaya Argentaria and Santander Central Hispano (formerly BSCH) in Spain; HypoVereinsbank in Germany; Banco Espirito Santo in
Portugal; Fortis Bank in Belgium; and Bank Austria.

On the people front, Barclays Capital, the investment banking division of the UK's Barclays Bank, has named former Chase Securities executive Eileen Murphy as the global head of its new collateralised debt obligation group.
Barclays plans to launch a new CDO based on leverage buy-outs by the end of the year.

Finally, on 5-9 November in New York and on 26-30 November in London, Risk magazine will be holding it's 3rd annual Maths Week conference. This five-day event will cover the latest research in quantitative finance and risk management, with presentations by leading industry practitioners and academics. Visit http://www.risk-conferences.com/maths2001euro?caller=rn

Christopher Jeffery
Editor, RiskNews
http://www.risknews.net
mailto:cjeffery@riskwaters.com

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Headlines/Technology and Exchanges/People/Events

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Headlines - 26/10/2001
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26 October - The leveraged funds group at French banking group BNP Paribas has launched its first collateralised debt obligation fund focusing exclusively on Western European Leverage Buy-outs, in a bid to strengthen its asset management business

26 October - The Commodity Futures Trading Commission has released the final rules relating to the trading of equity futures products in the United States. These rules implement provisions of the Commodity Futures Modernisation Act of 2000 (CFMA) that lift the 19-year ban on the trading of single-stock and narrow-based stock index futures in the US

25 October - Moody's Risk Management Services and California-based Gifford Fong Associates, provider of financial consulting and propriety analytical tools, have completed the integration of their default prediction and fixed-income portfolio management products and expertise.

24 October - Many of Hong Kong's banks could struggle to implement the new proposals for capital adequacy by the Basel Committee on Banking Supervision, due to their lack of sophisticated risk management systems, claimed consultants Deloitte Touche Tohmatsu at a press briefing in Hong Kong yesterday

22 October - JP Morgan Chase's credit derivatives group is considering partnerships with affiliated companies and data vendors to redistribute its data and create an industry pricing benchmark

22 October - Moody's Risk Management Services has formed a strategic working group - the RiskCalc Sponsor Group - with nine major banks, to develop European credit risk benchmarks, using its RiskCalc software. The RiskCalc backers are Barclays, Lloyds TSB, and Royal Bank of Scotland in the UK; Banco Bilbao Vizcaya Argentaria and Santander Central Hispano (formerly BSCH) in Spain; HypoVereinsbank in Germany; Banco Espirito Santo in Portugal; Fortis Bank in Belgium; and Bank Austria

To read more now, click http://www.risknews.net

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Technology and Exchanges - 26/10/2001
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26 October - Barclays Global Investors has launched a new exchange-traded fund that tracks an index made up of US companies in the natural resources sector. The product lets investors gain exposure to the natural resources sector using a single security

26 October - The Chicago Board of Trade (CBOT) launched its newest product, the 10-year interest rate swap future, today. The new instrument will trade in the agency/swap futures pit and on the CBOT's electronic trading platform

25 October - JP Morgan Chase and Deutsche Bank have signed up to US technology solutions provider Longitude's Parimutuel Digital Call Auction (PDCA) technology, which could herald the introduction of broader index trading based on economic data. The PDCA technology will allow the banks to provide new derivatives and risk management products to their customers without assuming the market risks normally associated with the facilitation of risk transfer

24 October - Sweden's OM Group is to classify its stock and equity derivatives exchange Stockholmsb?rsen as a separate operational entity. The move follows the latest OM interim report that showed revenue at Stockholmsb?rsen down 29% year-on-year, while revenue from the firm's technology division remained buoyant, rising 41%

24 October - Standard Chartered has adopted FXall connect from Cognotec, the Dublin-based foreign exchange and money market e-commerce solutions provider. FXall connect's application programme interface will enable Standard Chartered's customers access to a multi-user base of 50 liquidity providers

24 October - OpVantage, the operational risk quantification provider, has released version 4.0 of its OpVar software. The new version maps its data to the Basel Committee's Quantitative Impact Study loss event categories at level 2

23 October - Energy software providers Caminus in the United States and KWI in Europe have entered into a 'war of words' regarding which institution will be the future leader in the energy risk management market

23 October - Entergy-Koch Trading, the energy commodity trading joint venture between Koch Industries and Entergy, is expanding its European electricity and weather trading business into Germany and the Netherlands

To read more now, click http://www.risknews.net

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Attention RiskNews subscribers!
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People - 26/10/2001
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24 October - Deutsche Bank has named In-Suk Jung as head of trading for the bank's global markets unit in Korea. He will be responsible for local fixed-income products, including derivatives

22 October - Barclays Capital, the investment banking division of the UK's Barclays Bank, has named Eileen Murphy as the global head of its new collateralised debt obligation group

To read more now, click http://www.risknews.net

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Events - 26/10/2001
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If any of your colleagues or business associates would be interested in any of these events, please forward them this message for us. Thanks.

****LAST WEEK TO BOOK FOR THE NEW YORK EVENT****
Maths Week 2001, 5-9 November in New York & 26-30 November in London - Risk magazine's premier forum for innovative research in derivatives modelling and analysis. Each day is separately bookable to allow attendees to create their own individual event package. For the full programme and discount packages please visit:
New York http://www.risk-conferences.com/math2001usa?caller=rn
London http://www.risk-conferences.com/maths2001euro?caller=rn

Risktech 2001 - London 27 & 28 November.
Risk magazine's annual trading and risk management information technology event.
http://www.risk-conferences.com/risktech2001?caller=rn

****NEW FOR 2001- RISK'S FIRST FULLY BILINGUAL EVENT****
JapanRisk 2001, Tokyo, 4 & 5 December 2001
The only risk management and derivatives congress tailored specifically to the Japanese market.
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All other event details can be found at either http://www.risk-conferences.com or http://www.risktraining.com
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