Credit Derivatives

Creating solutions for diversification

Our Credit Structuring Group is an internationally integrated business offering clients a solutions-based approach. Based in London, we have desks in New York, Hong Kong and Singapore sourcing and distributing structured assets that benefit from transformation technology. Our specialist quantitative, trading and structuring knowledge and skills allow us to create engineered solutions for a broad range of technical issues faced by our international clients.

The group's solutions may enhance tax or regulatory capital efficiency, or provide innovative and competitive credit derivative based solutions.

We are able to provide a diverse range of client-focussed products, from Credit Linked Notes and Loans to a full range of correlation and hybrid based products (First to Default structures, synthetic CDOs and CDO^2) tailored to clients' requirements. We have established programs for the issuance of CDOs ("DESIGN") and CDO^2 ("MOTIVE"), with issuance from these executed through our numerous SPVs, third party issuers or in swap format.

Also available for download are documents describing Nomura's new models for dynamic credit evolution:

• Levy simple structural models paper (22 December 2006, 130kb. Preprint of an article published in International Journal of Theoretical and Applied Finance, Vol 10, No 4 (2007), pp593-606, ©2007 World Scientific Publishing Company.)
• Levy simple structural models presentation (After Copulas Conference)
  (29 September 2006, 163kb)
• Levy process presentation (King's College London) (6 June 2006, 131kb)
• Levy process modelling (27 April 2006, 89kb)
• Brownian-Variance-Gamma (20 March 2006, 94kb)

Please also note the disclaimer