Corporates
Fixed-value euro money funds set to disappear
EC’s dim view of share destruction leaves stable euro fund values impossible with negative yields
Mifid costs data leaves swaps users in the dark
Dealer charges can’t be compared, critics complain; banks already bracing for review
CVA dismay: final Basel rules disappoint dealers
Minor tweaks don’t make up for removal of internal modelling, say banks
A vine copula–GARCH approach to corporate exposure management
This paper applies vine copulas with GARCH marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity exposures commonly found in portfolios of global corporates.
Monthly credit data review: UK corporates’ post-Brexit slide
UK financials show steady post-Brexit decline in credit quality; EU financials now on par
Banks discount legacy swaps as ring-fencing looms
With UK banks facing higher funding costs post ring-fencing, some are offloading costly legacy swaps at huge discounts
Monthly credit data review: energy sector firing on all cylinders
Bank-sourced credit data shows rising confidence about oil and gas firms
A vine copula–GARCH approach to corporate exposure management
This paper applies vine copulas with GARCH marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity exposures commonly found in portfolios of global corporates.
Large corporates unconvinced by Emir reporting gift
Corporates ask for opt-out from Emir reporting changes proposed for their benefit
Russian central bank slams ruling in $1bn Sberbank swaps case
Lawyers say shock court judgement in ruble options dispute “puts hundreds of contracts at risk”
Buy side unimpressed with Mifid II cost transparency rules
Clients question value of receiving dealers’ swaps profit margin data
European banks tire of CVA guessing game
Continued political wrangling over Europe’s CVA exemption increases uncertainty for dealers
Japan CVA shift may break local banks’ swaps stranglehold
Introduction of pricing adjustment could see foreign banks compete for corporate business
FRTB will spark rise in basis risk, firms warned
Dealers using the standardised approach may be incentivised to push clients towards less precise hedges
IFRS 9 expected to boost options with corporates
New rules limit options volatility in P&L; some hedgers already taking advantage, banks claim
Default risk floors threaten €72bn of RWAs in EU
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
MUFG head criticises internal modelling restrictions
Isda AGM: Mitsubishi UFJ Group CEO also sounds warning on sovereign risk weights and CVA
End-users shun ‘broken’ US swap market
Negative swap spreads have disrupted the hedging strategies of asset managers, corporates and pension funds. Many are now shunning the swap market and looking for alternatives
Crying wolf on CVA?
Standardised approach will hit corporates – but it's not clear that capital will jump
Seeking a systemic role
By overhauling old practices and creating a dynamic new culture, Banca IMI hopes to place itself at the centre of the energy trading system. Stefano Rivellini, global head of commodity sales, explains how, by investing heavily in the physical energy…
European dealers wrestle with corporate CVA changes
The proposed removal of Europe's corporate credit valuation adjustment exemption has already caused prices to diverge, say dealers, and could impact the credit derivatives market
Some European banks pricing in Pillar 2 CVA charge
But three dealers say it is too early to know whether corporate CVA exemption will be removed
EBA lacks mandate for new CVA push, critics claim
Move to hike counterparty risk capital has corporate treasurers ‘fuming’
Corporates face 'disaster' on renminbi Tarfs, say traders
Some companies "may run out of cash"; Taiwan regulator said to be looking at new restrictions