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March 5, 2013
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  Credit Markets 
 
  • Linking CVA and DVA to CDS market questioned
    Questions are being raised about the validity of relying upon credit default swap market data to calculate bank credit and debit valuation adjustments. Even for the biggest banks, the CDS market is often quite illiquid. In many cases CDS prices remain unchanged for lengthy periods without any trades to support them. Risk.net (subscription required) (3/4) LinkedInFacebookTwitterEmail this Story
  • Disparity in swaps rules hurts industry, exec says
    ICAP's Peter Best said at a FIX Protocol conference that the industry is already feeling the effect from a gap between swaps rules in Europe and the U.S. He said the divergence foreshadows long-term inefficiency. "Until we know what the final rules and recognition of foreign regulatory regimes look like, it's incredibly hard to know exactly what to deliver," Best said. The Trade News (U.K.) (3/1) LinkedInFacebookTwitterEmail this Story
  • China aims to bolster asset-backed securities
    The China Securities Regulatory Commission says it will make it easier for financial companies to develop asset-backed securities. The rule relaxation might increase liquidity in the fledgling market. There is no timetable yet for implementation. Bloomberg (2/26), Reuters (2/26) LinkedInFacebookTwitterEmail this Story
  • Cheaper rates draw Russian banks to yuan bond market
    Russian banks are diversifying sources of capital and saving on interest expenses by going into the offshore yuan bond market. Bond buyers have a strong appetite for such bonds because they offer exposure to China's currency, deliver attractive yields and are issued by prominent banks that have backing from the Russian government. The Wall Street Journal (2/26) LinkedInFacebookTwitterEmail this Story
  • Argentina sees CDS jump
    Credit default swaps covering Argentina's debt continue to increase, after the government said payments on restructured bonds will be suspended if a U.S. court demands payment to holdouts. The CDS market reflects "an aggressive stance and a positioning where things are going to go against Argentina," said Ray Zucaro, a fund manager at SW Asset Management. Bloomberg (3/1) LinkedInFacebookTwitterEmail this Story
CreditSights is the premier provider of independent credit research in the Capital Markets, producing analysis that is globally respected for its integrity and quality. Our analysis spans 40 industries and is focused on U.S. & European High Grade/High Yield issuers and in the last six months we have begun to roll out Asian companies coverage. Click here to learn more.
  Regulatory and Accounting Issues 
  • EBA expresses concern about risk-calculation variation
    The European Banking Authority has warned banks that the manner in which they calculate risk on their balance sheet might need to change. Interim results of an examination of 89 banks show large differences in risk calculation stemming from varying regulatory approaches and financial modeling. "Greater disclosure could go some way to appease the concerns raised by investors and market analysts," EBA Chairman Andrea Enria said. Reuters (2/26), Bloomberg (2/26), Financial Times (tiered subscription model) (2/26) LinkedInFacebookTwitterEmail this Story
  • Treasury wants single version of Volcker rule, Miller says
    Mary John Miller, Treasury undersecretary for domestic finance, said at an industry conference that the five regulators working on the Volcker rule should produce a single version. "We think a joint rule is optimal," she said. "To have a different rule developed by a banking regulator and a securities regulator would not be helpful to the market. ... That requires a significant amount of coordination and discussion to think about how they can all work together. And that process takes time -- it has taken time." Former Federal Reserve Chairman Paul Volcker says progress on the rule has been hindered by a fragmented regulatory landscape and other obstacles. Risk.net (subscription required) (3/4), Reuters (3/4) LinkedInFacebookTwitterEmail this Story
  • Barnier seeks plan for handling failing banks
    EU Internal Market Commissioner Michel Barnier has called for a bank-failure plan that would receive blocwide support. "We need to make proposals that will be accepted, and we know the reservations of countries such as Germany," Barnier said. Under his proposal, each nation would have a rescue fund, paid for by imposing a fee on lenders. "You have to differentiate between what's possible today and what's ideal tomorrow," he said. Bloomberg (2/26) LinkedInFacebookTwitterEmail this Story
  • Regulators want feedback on changes for benchmark rates
    The Commodity Futures Trading Commission says it will seek more public input on how to repair financial benchmarks, such as the London Interbank Offered Rate, before releasing a report in late spring or summer. "What we're collectively looking at is how to enhance the rules around conflicts of interest, governance, submitters, administrators," Chairman Gary Gensler said. Meanwhile, regulators want to settle with some banks regarding Libor manipulation by the end of summer, sources say. Reuters (2/26), Bloomberg Businessweek (2/26), The Wall Street Journal (2/27) LinkedInFacebookTwitterEmail this Story
  IACPM News 
  • 2013 IACPM Annual Spring Meeting Registration is Open
    The IACPM Spring Conference will be held this year in London on May 22-23, 2013. It is the only event where leading speakers and practitioners address the integrated risks confronting the industry today and examine and discuss the expanding and changing mandate of credit portfolio management. Registration is now open and the IACPM is offering a discount for early registration until April 15, 2013. Group rates are also offered. For more details, and to view the agenda as it is developing, please visit our website at www.iacpm.org. LinkedInFacebookTwitterEmail this Story
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  SmartQuote 
The man who insists upon seeing with perfect clearness before he decides, never decides. Accept life, and you must accept regret."
--Henri Frédéric Amiel,
Swiss philosopher, poet and critic


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The IACPM is an industry association established in 2001 to further the practice of credit exposure management by providing an active forum for its member institutions to exchange ideas on topics of common interest. Learn more at www.iacpm.org.

 
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