EU authorities express concern over move to less risk-sensitive capital requirements
Regulators plan to floor modelled capital at a percentage of standardised approaches
Sales of the unexpected
Extra inflation hedging demand driving split between derivatives and cash market pricing
Floored and capped floating-rate notes have become increasingly popular with investors seeking low-risk investments.
Hedge funds seeking protection against deflation and dealer hedging of residual short floor positions are cited as the reasons for a rise in prices on euro zero-coupon inflation options.
The inflation market has had a challenging few months. In particular, many dealers were hurt by short positions in 0% inflation floors, causing sizeable losses for some firms. Sponsored by BGC Partners, Risk convened a panel of major inflation dealers...
Tricky market conditions in inflation volatility, exacerbated by dealers’ structural hedging activity around 0% year-on-year inflation floors, have created a market rife with opportunities. But few clients are taking advantage. Mark Pengelly reports
A drop in inflation expectations last year sent dealers scrambling to hedge their exposures to 0% floors embedded in structured products, causing a massive dislocation in the inflation swaps market. Have dealers now covered their exposures? By Alexander...
A paper outlining the results of the third quantitative impact study (QIS3) was released by the Basel Committee on Banking Supervision yesterday.
Australia’s major banks are all targeting the advanced measurement approach for calculating operational risk capital under the new Basel Accord. As such, the concept of a floor is proving irksome, writes Nick Sawyer.
The Basel Committee on Banking Supervision said last month that there were no substantial issues remaining with the complex Basel II capital Accord, after a series of compromises involving the capital treatment of loans to small and medium-sized enterprises...
Global banking regulators have asked their technical experts to look at what kind of conditions need to exist in order to get rid of the floor that limits the potential gains for banks using advanced approaches to measuring op risk under the Basel II...
BASEL - Global banking regulators formally acknowledged in late September some of the criticisms of their controversial proposal for an op risk capital charge. Their plan is to make large international banks set aside protective capital from 2005 specifically...
Christine Stanschus and Michael Clarke examine the potential impact on collateralisation of the proposed new Basel Capital Accord, and outline the top five things that collateral managers should do to gain maximum regulatory capital benefits.
Implementation of Basel II has been delayed to 2005, and regulators are revising key elements of their proposals for a new Accord on bank capital.