Risk magazine
‘Smart’ derivatives can cure XVA headaches
Cryptocurrency technology could revolutionise derivatives valuation and collateralisation, say Massimo Morini and Robert Sams
Corporates use XVA caps to limit unwind charges
Veolia caps CVA and FVA unwind costs in trades with 10 banks
Clearing brokers send balance sheet allocations to Basel
Data from several clearers submitted to illustrate impact on bank leverage ratios
The free boundary SABR: natural extension to negative rates
Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment
Are regulators listening at last on the leverage ratio?
Basel Committee, FSB and EBA open ears to balance sheet leverage concerns
Pension funds in limbo as EC leaves Emir exemption gap
Funds could be subject to CVA charge for period of weeks or months
Sovereign wealth fund interns cost BNY Mellon nearly $15m
Custodians should retrain HR in foreign bribery rules as SEC threatens further action
Global regulators consult on codes for OTC derivatives deals
CPMI and Iosco unveil proposals for unique transaction identifiers
Corporates fear end to Emir's hedge exemption
Counting all trades towards clearing threshold ‘would be a nightmare’
Latin alternative funds eye Asia following passport decision
AIFMD 'driving' South American business to Singapore
US custodians face G-Sib capital hit
Banks warn treatment of deposits could raise custody fees
Non-domestic custodians notch up big deals in Australia
BNP Paribas Securities Services takes A$50 billion of UniSuper assets previously run by NAB
Markit unveils new CDX index rules
Up to 10 new names from under-represented sectors could be added to high-yield CDX index
BoJ’s Nakaso: ‘No serious problems’ with JGB liquidity
New data shows drop in market depth, but QE is not threatened, says deputy governor
Banks attack proposed risk weights for specialised loans
EU lenders say both EBA proposals would distort capital requirements
EBA proposes trade-by-trade CVA test for non-EU corporates
Banks would have to check whether exemption applies each time they trade
Esma urges EC to bin frontloading
Benefits of retroactive clearing are "undermined" by its drawbacks, Esma finds
Ice credit swap futures off to a slow start
Credit investors see "no need" for contract; Ice hopes other players will see appeal
CCP basis driving CME clients to LCH, traders say
LCH sees doubling in client notional, while CME notional halves
Intra-group margin will ‘stifle’ internal hedging, banks warn
Additional costs for end-users if no exemption granted
CCPs confront cleared swap basis threat
From Japan to Mexico, CCPs are trying to avoid repeat of CME-LCH price disparity
Deutsche Bank hires, and loses, in sales
The latest people moves
CCP basis and the future of cleared swap pricing
Dealers predict "more granular" pricing for cleared trades, after CME-LCH basis blow-out
CCP basis market takes off – but will buy-side join in?
Dealers are encouraging asset managers to trade CME-LCH swaps