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Aviva Plc, the U.K.’s secondbiggest insurer, and Standard Life Plc, Scotland’s biggest, boosted swaption holdings in 2012 as they sought to hedge exposure to low interest rates, according to annual filings. Click here to continue reading sample article.
Quantitative easing has resulted in collateral damage. Municipalities, public-owned entities and small companies have been damaged as a result of derivatives contracts that locked them into paying high interest rates before the full effect of QE became apparent. Investment banks that sold such contracts have been accused of mis-selling them, lawsuits are winding their way [...]
Deutsche Bank’s stress VaR increased by 20 percent in Q1, while VaR only increased by 4 percent.
Morgan Stanley, Bank of America Corp. and Credit Suisse Group AG were the three largest derivative counterparties of contracts traded in 2012 among a survey of annual state-level U.S. life insurer filings compiled by Bloomberg. READ MORE>>
JPMorgan Chase & Co. and Wells Fargo & Co.’s earnings were dragged down $1.1 billion on hedges of mortgage servicing rights in the first quarter, as a rise in Treasury yields coupled with a surge in U.S. home prices prompted the banks to revise their prepayment models. Click here to continue reading.
The publication of the Senate report on the JP Morgan credit derivatives scandal has given us an unprecedented view of just how easy it is for bad business decisions to spiral out of control. Readers of the report can be forgiven for getting lost in the technical details of credit derivatives structures, capital models and valuation policy. This would be a major missed opportunity. The beauty of the report [...]
