[CVA] How much is that swap in the window?
Before the crisis, it wasn’t too hard for a corporate client to trade over-the-counter derivatives. They just had to find a bank willing to sign them up, agree some documentation,...
[CVA] The doom loop in sovereign exposures
The Basel III capital rules for credit valuation adjustments (CVA) create new, large capital requirements for over-the-counter derivatives trading with counterparties who don’t...
[CVA] A tragedy the monolines hath wrought
Yesterday we saw how bank credit risk management imposed credit valuation adjustments (CVA) on over-the-counter derivatives trading to charge for the credit risk being taken....
[CVA] Revenge of the loan officer
In the first post of his series for FT Alphaville, Deux Ex Macchiato writer David Murphy introduces us to credit valuation adjustments (CVA) by providing some historical perspective....
The mystery of Morgan Stanley’s footnote unravels – Part 2
The story so far:In Part 1, we reminded you of Morgan Stanley’s footnote in their fourth quarter earnings, whereby the bank stated that it had reduced its exposure to Italy...
Be very, very quiet – we’re hunting AIGs
As part of the Dodd-Frank Act, various types of participants in derivatives markets need to be defined. According to the jersey one ultimately gets as a trader of interest rate swaps,...
American swap regulation: a class apart
Take a moment to imagine what it must be like to be an American regulator. There are plenty to imagine being: the OCC, the Fed, the CFTC, SEC, FDIC, and that thrift one, until...
When a derivatives counterparty leaves the euro…
Law firm Clifford Chance must be tired of fielding questions about what would happen to derivatives contracts should one’s eurozone counterparty exit the single-currency....
Warning: transparency in finance may lead to goat-herding
Before the break, FT Alphaville took a look at abstraction and morality in modern finance. This prompted some rather interesting discussion, among which this post from Interfluidity:...
Do you believe in netting? — Part 2
In Part one, FT Alphaville asked whether there was reason to doubt the netted derivatives exposures reported by banks. Here, we discuss how netting works (or doesn’t, ahem)...
Do you believe in netting? — Part 1
On Friday, Jeffrey Snider of Atlantic Capital Management argued that finance now exists for its own exclusive benefit. The thrust of his argument is that derivatives have allowed...
The Lehman flip-clause flap gets settled – sort of
That’s a big deal for the structured finance world, though you might not know it.It’s to do with the loooong and continued unwinding of Lehman Brothers. Specifically...
