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November 9, 2012
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  • CME sues CFTC over swaps-data-reporting rules
    CME Group has filed a lawsuit seeking to prevent the Commodity Futures Trading Commission from enforcing rules governing reporting of swaps. "[T]he CFTC acted in a manner that was arbitrary and capricious and otherwise not in accordance with law," the lawsuit says, adding that the rules would "impose costly, cumbersome, and duplicative requirements." Reuters (11/8) LinkedInFacebookTwitterEmail this Story
  • Buy-side firms say collateral crunch is real
    Buy-side representatives said at an industry conference that despite the opinion of a Bank of England official, rules pushing over-the-counter derivatives through central counterparties will create a squeeze on high-quality liquid collateral. An industry report projects a need for $15.7 trillion to $29.9 trillion in initial margin. Risk.net (subscription required) (11/7) LinkedInFacebookTwitterEmail this Story
Minimizing Risk In Multi-Asset Class Portfolios
In this paper, we show how to minimize downside risk in multi-asset class (MAC) portfolios. We show that compared with a Mean-Variance Optimization (MVO) approach, the CVaR approach generates MAC portfolios with better downside risk statistics, and that the CVaR hedges return more attractive risk decompositions and stress-test numbers—tools commonly used by risk managers to evaluate the quality of hedges.
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  Regulatory Roundup 
 
  • CFTC accuses former trader of defrauding Goldman Sachs
    The Commodity Futures Trading Commission has filed a lawsuit against a former trader at Goldman Sachs Group, alleging that he entered fake trades in late 2007 to hide a position in futures contracts. "By entering fabricated trades and concealing the position ... [the] defendant engaged in fraudulent acts and practices," the suit says. "[Matthew Marshall] Taylor's fabricated trades had the effect of concealing and misrepresenting the size of his e-mini futures position within his employer's internal systems." Reuters (11/8), Financial Times (tiered subscription model) (11/9) LinkedInFacebookTwitterEmail this Story
  • Ireland official says OTC market needs fresh start
    Giuseppe Insalaco, an adviser to the central bank of Ireland, says it should be obvious that regulators are trying to kill off over-the-counter derivatives. He added that "I think what regulators are bringing about is something akin to a new ice age. London will be under a new ice sheet and there will be mammoths in France, but people are trying to figure out how to protect their rose beds from frost. This is not the point. The point is we want to change how things are done, because the way they were done before is clearly wrong." Risk.net (subscription required) (11/8) LinkedInFacebookTwitterEmail this Story
  • Battle brews over bill for cost-benefit analysis
    Legislation to force U.S. regulators to improve cost-benefit analysis of rules is facing opposition. Critics say the bill is designed to paralyze agencies and block initiatives. Supporters argue that the measure would force regulators to develop strong justification for rules. The Washington Post (11/8) LinkedInFacebookTwitterEmail this Story
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  Industry Developments 
 
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  Commodities and Managed Futures 
  SmartQuote 
A man who does not read good books has no advantage over the man who can’t read them."
--Mark Twain,
American writer


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