Risk magazine
Cebs calls for varying capital buffer rules
Reform of the Basel II capital adequacy rules should include a varying capital buffer to compensate for losses and smooth out the effects of the business cycle, European regulators said on Friday.
Race against the clock for European CDS CCPs
With just two weeks remaining until the European Commission’s deadline for central counterparties (CCPs) to begin clearing credit default swaps (CDSs), two of the competing platforms are still waiting for regulatory approval.
Bank CDS spreads tighten on positive second-quarter results
The cost of credit protection fell on US and European financials this week after a wave of positive second-quarter results.
Quant Congress: Default rate data "underestimates structured credit risks"
Rating agencies' method for dating default event statistics has led to the systematic mispricing of risk in structured credit models, according to Robert Jarrow, professor of finance and economics at Cornell University.
EC continues tough stance on securitisation
In its latest round of proposals for modifications to the Capital Requirements Directive (CRD), the European Commission has confirmed its intention to assign higher capital requirements to re-securitisations and to enhance disclosure requirements for…
UBS hires new head of rates trading
UBS has appointed Chris Murphy as its new global head of interest rate derivatives trading.
Gap trade interest could salvage dealer risk recycling channel
Renewed interest in gap risk trades might resurrect the defunct trading channel previously used by structured products issuers as a means to recycle unwanted gap risk, say dealers.
TSE targets Japanese banks for CCP
The Tokyo Stock Exchange (TSE) is courting domestic financial institutions to become clearing members of its proposed central counterparty (CCP), which it is developing alongside its 86.3%-owned clearing arm, Japan Securities Clearing Corp (JSCC).
TriOptima sees surge in interest rate swap tear-ups
Stockholm-based technology company TriOptima has eliminated $13.9 trillion in notional outstanding from the interest rate swaps market in the first half of 2009, more than the $13.6 trillion total eliminated in 2008.
Quant Congress: Don't confuse models with reality, says Derman
Models were not responsible for the financial crisis, but those using them need to remember the shortcomings of models in general, asserted Emanuel Derman, head of risk at Prisma Capital Management and professor at Columbia University, at Risk 's Quant…
Central clearing will need new laws, Isda report finds
New laws will be needed in the US and Europe to support the introduction of central clearing of credit default swap (CDS) trades, according to a study published yesterday by the International Swaps and Derivatives Association.
Cesr joins calls for more derivatives trade reporting
The Committee of European Securities Regulators (Cesr) called this morning for post-trade reporting on several classes of derivatives, including asset-backed securities (ABS) and collateralised debt obligations (CDO).
High correlations spur interest in CCDS
Interest in using contingent credit default swaps (CCDS) as a speculative tool is being fuelled by high levels of cross-asset class correlations, according to some market participants.
Morgan Stanley CDO repack designed to test investor appetite
Morgan Stanley's offering of a repackaged cash collateralised debt obligation (CDO) is designed to test market appetite for this type of risk, said a source familiar with the deal.
Definition of 'standardised' OTC derivatives will be broad, says Geithner
Full regulation of all over-the-counter derivatives will use a broad and flexible definition of 'standardised' OTC contracts while regulators will seek to crack down on end-users seeking to customise trades to escape central clearing, US Treasury…
Euroclear to launch same-day securities settlement in Asia
International central securities depository Euroclear Bank plans to offer same-day cross-border securities settlement in four Asian markets - Australia, Japan, Hong Kong and Singapore - in August, stealing a march on rival Clearstream, which has similar…
Anglo-Irish CDS widen on buyback plans
The cost of credit protection on Anglo Irish Bank soared this week, rising to 679.1 basis points (bp) from 628.9 bp on July 3, as the bank announced plans to buy back billions of pounds and euros in Tier 1 and Tier 2 securities.
Singapore's MAS bans 10 retail structured note distributors
The Monetary Authority of Singapore (MAS) has banned 10 financial institutions from selling structured notes, after their clients lost S$401 million by investing in Lehman-linked structured credit products.
TriOptima tear-ups cut CDS notional by $9 trillion
Swedish technology company TriOptima eliminated $9 trillion in notional outstanding from the credit default swap (CDS) market in the first half of 2009, the firm announced on July 9.
US PPIP toxic securities scheme launches, fund managers named
The US Treasury's scheme to purchase toxic mortgage-backed securities was officially launched yesterday with the unveiling of the asset managers charged with investing public funds, while officials sought to quell claims the scheme has been dramatically…
Cesr proposes Europe-wide disclosure of short positions
Investors across Europe could be compelled to reveal short positions in any stock, under draft rules published today by the Committee of European Securities Regulators (Cesr).
UK government moves to resolve supervisory turf war
In his long-awaited banking white paper published today, UK Chancellor of the Exchequer Alistair Darling has attempted to draw a distinction between the tripartite authorities, creating a Council for Financial Stability to promote better co-ordination of…
CFTC prepares to limit energy speculation
The US Commodity Futures Trading Commission (CFTC) may limit speculative trading in energy products and other commodities, CFTC chairman Gary Gensler said yesterday.