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John Kiff

John Kiff's Public Library

16 Apr 14

Over the past several years, a consensus has developed on the goals of GSE Reform: preserve the liquidity of the mortgage market while protecting the taxpayer by putting private capital in a first loss position, retain wide access to long-term fixed rate mortgages, provide access and equity for lenders of all sizes, and support affordable housing. Senators Tim Johnson (D-SD) and Mike Crapo (R-ID) released new draft legislation in March 2014 striving to achieve these goals. While this bipartisan proposal is a major step forward for housing finance reform, we suggest improvements in two critical areas: the structure of the private capital in the first loss position and the affordable housing incentive fee provisions. In both cases, the system as proposed has intellectual appeal, but is apt to have unintended and undesirable consequences.

16 Apr 14

Individual chapters of this reference book on derivatives will be published on this page as they become available.

16 Apr 14

The life expectancy gap between the wealthiest and poorest areas of the UK has shrunk, official data on Wednesday show, amid signs that the longevity of men, in particular, is improving.

16 Apr 14

The way the reinsurance business is capitalised has changed over the last decade, as an increasing amount of capacity funded by capital market investors has entered the sector seeking to benefit from the returns possible on reinsurance business.

16 Apr 14

This report reviews the catastrophe bond and insurance-linked securities (ILS) market at the end of the first-quarter of 2014, looking at the new risk capital issued and the composition of the transactions completed during Q1 2014.

15 Apr 14

CME has launched 2, 5 and 10 year DSF contracts on their European trading platform and CCP. The USD DSFs have had mixed reception but looking at the CME statistics are still climbing in volume,

14 Apr 14

Legal impediments hampering steps towards a cross-border resolution regime for financial institutions could be eliminated in the coming months as the Financial Stability Board prepares to present proposals to global leaders for an international approach to a temporary stay on over-the-counter derivatives contracts for a failed counterparty.

14 Apr 14

Even as SEF volumes have reached record highs in the wake of the Made-Available-to-Trade determinations, evidence suggests some users are ‘fine-tuning’ contracts in order to continue trading Off-SEF.

14 Apr 14

Were there no CFPB or Dodd-Frank Wall Street Reform and Consumer Protection Act, banks and non-banks alike would be backing away from the mortgage business. The significant withdrawal of players such as Nationstar and Bank of America from retail lending, and the collapse of the mortgage wholesale and correspondent markets, is just the start of a more generalized retreat of capital from residential mortgage lending that has its origins long before 2010, before Dodd-Frank passed and the CFPB was created. The simple reason for this statement is that the mortgage business, as it stands today, is not particularly profitable, in a nominal sense. 

14 Apr 14

The Commodity Futures Trading Commission Acting Chairman Mark Wetjen and Office of Financial Research Director Richard Berner today announced a Memorandum of Understanding on the terms and conditions for the CFTC and OFR to begin a joint project to enhance the quality, types and formats of data collected from registered swap data repositories.

14 Apr 14

The main thrust of the consultation document aims at identifying the point at which a spot contract can be considered a forward contract. It recognises that, whilst two business days is the most widely used point of delineation, cut-off points range from between t+0 and t+7, asking what settlement period or periods would be most appropriate, and whether non-deliverable forwards merit different treatment.

13 Apr 14

End users participants in the OTC derivatives market were centre stage at the ISDA AGM this week in Munich. This focus is a departure from previous ISDA AGMs of late where the conference sessions focused more heavily on the dealer community. Unsurprisingly, end users are concerned about how regulatory reform will impact their access to OTC derivatives and the cost of using these instruments, however; the degree of this possible impact is still unknown.

12 Apr 14

On April 10, 2014, Canadian regulators announced that the effective dates for derivatives trade reporting obligations will be postponed. This announcement addresses uncertainty as to whether systems required to allow market participants to comply with the trade reporting requirements would be ready for the originally planned implementation date of July 2, 2014 in light of the fact that no trade repository (TR) that can accept trade reports for all derivative asset classes has yet been approved by the regulators. The postponement means that derivatives dealers will be required to report new over-the-counter derivatives transactions involving counterparties in Ontario, Quebec or Manitoba (Applicable Provinces) beginning on October 31, 2014 and non-dealers will be required to comply with any applicable reporting obligations by June 30, 2015.

11 Apr 14

Both traditional and non-traditional, or alternative, reinsurance capital have been growing strongly, but in 2013 alternative capital grew by a massive 28% to end the year at a record $50 billion, according to broker Aon Benfield

11 Apr 14

The Philippines is continuing its investigation and feasibility studies with the World Bank, looking at the possibility of issuing catastrophe bonds to protect the Asian nation from natural catastrophes such as earthquakes or typhoons.

10 Apr 14

The Basel Committee on Banking Supervision’s final rule, released today, will require banks that broker swaps trades to set aside much less money to protect against a default versus a proposal published last year. The plan now applies a minimum 20 percent risk weighting to money deposited at clearinghouses, which are third-party guarantors that back the transactions, down from 1,250 percent in the original proposal. The change takes effect on Jan. 1, 2017.

10 Apr 14

The Basel Committee completed its work on the capital treatment of bank exposures to central counterparties, following a collaborative effort between the BCBS, the Committee on Payment and Settlement Systems (CPSS), and the International Organization of Securities Commissions (IOSCO) to improve upon the interim capital requirements that were published in July 2012. The final standard will take effect on 1 January 2017.

10 Apr 14

On the 7th of April, Risk Magazine published a piece by Lukas Becker entitled “Repo Desks Up In Arms About NSFR.” The article explains that Basel Committee on Banking Supervision’s (BCBS) Consultative Document on Basel III Net Stable Funding Ratio contains a little noticed requirement that could potentially have a dramatic impact on repo trading. Apparently, the requirement affecting repo initially went unnoticed and the industry is now scrambling to make its case to the BCBS before the consultative period ends on April 11.

10 Apr 14

A chart in the report sets out the total IM requirements for OTC and ETD business across UK CCPs. What struck me is that the volume of business cleared continues to grow, yet the rise in IM seems relatively unchanged. Could this be the benefit of netting? Having more business in one CCP doesn't necessarily increase IM if the portfolio is sufficiently large, that trades offset each other for risk purposes. On a global scale the netting benefit of fewer CCPs is making it hard for new entrants to find business to clear, centralising pools of risk in relatively few CCPs.

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