Risk magazine
The swaps carve-out conundrum
Section 716 of the Dodd-Frank Act will force swap dealers to hive off certain derivatives businesses into separate affiliates. But the legislation is fiendishly complicated, riddled with oversights and requires daring interpretative leaps, which has left…
The end for one-way CSAs
Sovereign derivatives users have been able to avoid posting collateral to their dealer counterparties in the past, but pending reforms to bank capital and funding rules are changing the equation. If sovereigns refuse to budge, they will have to accept…
Basel CVA changes criticised
The Basel Committee on Banking Supervision has adapted its proposals for a capital charge on counterparty risk following industry feedback, but banks were hoping supervisors would go further. By Mark Pengelly
Surviving the liquidity squeeze
Excess liquidity in the euro funding markets halved at the beginning of July, causing Eonia to leap higher. The extent of the move surprised traders and caused problems for some participants. Christopher Whittall reports
Saying no to algos
A number of banks have launched algorithmic trading systems for foreign exchange, intended to provide more efficient execution for clients. But some question whether algorithmic models are actually needed in the highly liquid foreign exchange market. By…
Playing on forex correlation
The eurozone crisis sent market participants scrambling to put on macro hedges. A popular trade was to short the euro, but with the cost of this strategy escalating, some turned to correlation products. By Christopher Whittall
Lufthansa wary of OTC regulations
Corporates across the globe have lobbied to ensure end-users are not subjected to new clearing requirements for derivatives. For Lufthansa’s treasury department in Frankfurt, ensuring it is able to continue to hedge its foreign exchange and interest rate…
Bespoke solutions for an Islamic CSA
Islamic derivatives users are still getting to grips with a new sharia-compliant master agreement, but some argue the market will be stunted without an accompanying collateral document. Lawyers say that is some way off, so they’re cooking up bespoke…
Clearing dilemma for CCPs
Dealers have made progress towards clearing swaths of the over-the-counter derivatives market. But market participants are likely to have to clear more awkward products to satisfy regulators’ demands. Mark Pengelly investigates
Equity volatility backlash
Taking a long equity volatility position is a favourite macro hedge for risk managers and traders across asset classes, but the trade doesn’t always work as expected. How has the volatility experienced in May and June affected macro hedging? Joel Clark…
A focus on gone-concern contingent capital
Regulators have found it easier to reach consensus on a standard for contingent capital that converts at the point of a bank’s insolvency, but continue to struggle with the definitions for going-concern conversion. How will supervisors proceed? Joel…
Liquidity takes centre stage for banks and regulators
Regulators and banks have increased their focus on liquidity risk management significantly since the crisis. William Perraudin discusses some of the possible implications
Organisational aspects of risk management
In the last of this four-part series, David Rowe looks at organisational issues and argues the chief executive and board must accept responsibility for strategic risk management decisions
Scor looks to Solvency II
Philippe Trainar, chief risk officer at Scor, talks to Alexander Campbell
State Street advises institutional investors to move away from modern portfolio theory
New report suggests investors should move away from using normal return distributions under modern portfolio theory
Citi hires Margolis from Goldman Sachs
Latest hire in a series of senior appointments to the firm's FX business
Morgan Stanley is mystery buyer of Natixis CDS portfolio
Morgan Stanley is said to have acquired the bulk of an €8.6 billion portfolio of complex credit derivatives from Natixis last month.
Bear bailout vehicle turns first paper profit
Federal Reserve balance sheet data shows Bear Stearns’ assets held in Maiden Lane vehicle made a paper profit for first time since its inception
Global Custody Survey 2010
2010's Global Custody Survey paints a positive picture for market participants as assets under custody rise for the majority of respondents. Sophia Morrell reports.
First FSAP for US flags commercial real estate woes
The US banking system at risk from commercial real estate woes, the IMF’s first Financial Sector Assessment Programme says
Robeco: Bond ETFs hampered by low liquidity
Illiquidity in corporate bond markets make it hard for firms to generate index-like returns
Cesr reveals European financial markets risks, including double-dip recession worry
The Committee of European Securities Regulators (Cesr) has made public for the first time its analysis of trends, risks and vulnerabilities in financial markets