Risk magazine
Bank swaps headlock slips as Chicago prop firms join Sefs
HTG, Teza and TransMarket emerge as would-be providers of swap liquidity
Courting the AIIB: dealers eye development bank “goodies”
Beijing-based supranational expected to be heavy swaps user
Cutting Edge introduction: Law-abiding FVA
HSBC quant develops an FVA model that preserves the law of one price
CFTC to clamp down on delays in swap clearing
Agency readies STP push; Isda calls for phased approach and 10-minute limit
How to fix the leverage ratio (by a prudential regulator)
“Embarrassing … ridiculous”: unnamed regulator lets fly at leverage rules
Bank war on deposits to continue despite US G-Sib relief
Excess cash still too expensive to hold, say dealers
CCPs need thicker skins - Citi analysis
Analytical approach suggests CCPs should be putting more of their own capital at risk
Dealers fear mix-and-match margining for cross-border swaps
National conflicts in margin rules can only be fixed via mutual recognition
Fresh delay will push EU-US CCP row into September
Decision had been expected in July; dealers sceptical new timeline will hold
FCMs try to ‘off-board’ credit and commodity funds
Fee hikes are being used to drive out clients that hog capital
New trading book QIS tackles correlation gripes
Changes proposed for correlation, exotic derivatives and hard-to-model risks
Efficient XVA management: pricing, hedging and allocation
Kenyon and Green show how certain technical elements simplify XVA management
Greek swaps contract drama continues
Ongoing controls mean some end-user payments are more than a month overdue
Mariner Coria: the changing face of arbitrage
Fund manager exploits mispricings linked to structured products and derivatives end-user flows
Totem poll: users of Markit service call for change
Libor-like consensus methodology creates bad incentives, clients fear
CVA and FVA with liability-side pricing
Wujiang Lou calculates CVA and FVA abiding by the law of one price
US regulator asks banks for FVA information
OCC requests info on funding spreads, model validation and more
Shadow banks eye accounts receivable as lenders retreat
Hedge funds target 10–12% returns on credit risk from unpaid invoices
Regulators cool on plans to change leverage exposure sums
SA-CCR is mooted successor to 27-year-old CEM, but sensitivity may count against it
All change at Financial Conduct Authority: CEO steps down
Tracey McDermott takes over from Wheatley in acting role from September 12
Big banks claim to be ready for Volcker
Industry tying up 'last loose ends' with ban to begin on July 21
Canada to collateralise cross-currency swaps
Finance ministry hopes two-way CSAs will cut costs and risks on hefty swaps flows
CFTC’s Stewart blames EU for equivalence failure
Risk Derivatives Clearing: EU stance on equivalence is "unfortunate", CFTC lawyer says
IMF’s Kiff: variation margin haircutting ‘unfair’ to end-users
Risk Derivatives Clearing: in-the-money end-users may have losses on other positions