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A very interesting article in last month’s Risk, on the pre and post crisis OIS gold rush – Goldman and the OIS gold rush.
If several trading desks were up to 4/5 years behind Goldman in OIS/Libor and XCcy bases pricing, I wonder how far behind their market risk departments are.
Would all trades with cross currency CSAs report XCcy basis? Makes one wonder …
For Swap Dealers (SD) and Major Swap Participants (MSP), Friday October 12, 2012 was the effective date for which compliance to the swap public and regulatory reporting rules of the Dodd-Frank Act is required (for interest rate and credit swaps). Many financial institutions have implemented solutions to support these requirements. We published a note (downloadable here) providing an overview of the technical complexities that a reporting solution would need to resolve. Some of these complexities emerge from the following:
Two things from last week.
1. We took this nifty cloud hosted presentation software called Prezi for a spin. Not being a huge fan of Powerpoint especially when it comes to trying to tell non-linear hierarchical stories, Prezi was a hit.
2. MF Global went bust.
So, we decided to port an old presentation from Powerpoint to Prezi – a cheat sheet on lessons learned reconstituting Lehman Brothers post-bankruptcy.