Features/Derivatives
The new normal: structurers learn to live with low interest rates
Original headline:
Rock bottom interest rates in a difficult macro environment and the prospect of upcoming regulations have led to a need for banks to focus on products optimised around constraints. As the mood remains...
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The European Central Bank’s insistence that all euro clearing take place within the eurozone was at the heart of December’s row between the UK and the rest of the European Union. David Cameron was...
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Disputes over the valuation of collateralised derivatives trades have pushed the industry to develop a new standard credit support annex. A solution has been proposed – but some Asian and Australian...
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Basel 2.5 prompts flurry of asset sales and risk transfer deals
Original headline:
The last months of 2011 saw European banks preparing for the arrival of Basel 2.5 by trying to lighten their risk-weighted assets – but a delay in implementing the same rules in the US has created an uneven playing-field, they complain. Mark Pengelly...
The dollar dominance dispute
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Disputes over the valuation of collateralised derivatives trades have pushed the industry to develop a new standard credit support annex. A solution has been proposed – but some Asian banks have raised concerns about the dominant role given to the US...
The CVA-CDS feedback loop
Original headline:
Dealers claim regulators have cooked up a pro-cyclical credit value adjustment (CVA) capital charge that encourages CVA desks to buy credit default swap protection as a hedge. This could push spreads wider, increasing the CVA capital charge and so prompting...
Corporates complain about transparency of unwinds
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Corporate end-users complain the prices they receive on swap unwinds can vary massively – and claim they are not getting any transparency on the various components that make up the price. By Peter Madigan
Review of 2011: collateral, capital and chaos
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Whether pricing a plain vanilla swap or agreeing to raise the US debt ceiling, apparently simple acts proved surprisingly difficult this year. Risk magazine staff look back at some of the year’s big stories
Mifid II sets up clash between voice trading and transparency
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Europe’s revised Markets in Financial Instruments Directive appears to leave the door open for derivatives trading platforms to offer voice trading – but rules on transparency may slam the door shut. By Joe Rennison
Revised capital rules undermine OTC client clearing, dealers say
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Central clearing for over-the-counter derivatives could be jeopardised by draft capital rules that encourage banks to clear, but discourage them from providing intermediary services to other derivatives users. This client clearing business needs support,...
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