Collateral
Eonia woes hold up euro swaptions switch
Eleventh-hour derailment for project that has been in the works for a year
CCPs must step up cyber risk efforts, says EU legislator
Policymakers want more focus on non-default loss resources; Eurex Clearing’s Mueller flags investment risk
Safeguarding liquidity in a changing environment
Nick Gant, head of fixed income prime brokerage for Europe, the Middle East, Africa and Asia-Pacific at Societe Generale Prime Services, discusses banks’ evolving responsibilities for providing liquidity in a post-financial crisis environment in which…
The rapid evolution of compression: Keeping pace with optimisation activity
Sponsored forum: Capitalab
The case for draining excess reserves
The financial system can operate efficiently with $500 billion or less in reserves after normalisation
The battle for the back office
Post-trade incumbents at risk as Isda and others search for standards
A floored plan: Europe’s CCP recovery rules draw fire
CCPs and clearing members both unhappy with proposed allocation of non-default losses
European legislators to exempt CCPs from new bank rules
Support in Council and Parliament suggests leverage ratio, NSFR exemptions will be in final text
Breaking the collateral silos – Navigating regulation with a strategic alternative
Emmanuel Denis, head of tri‑party services at BNP Paribas Securities Services, discusses why financial institutions must rethink old practices of collateral management and instead adopt a tri-party approach, with which equities can be managed as…
Initial margin with risky collateral
This paper explores the complication of calculating the IM amount requirement when collateral comprises risky assets in a parametric VaR framework. The authors show that the required IM amount can be calculated by solving a quadratic inequality.
VM rules sound death knell for forex swaps in Europe
Market participants claim instrument was a “mythical creature” that never really existed
EU sparks hopes of securitisation margin reprieve
Optimism over EU Council amendment, but Parliament will still have to approve
UBS’s Athanasopoulos on volatility, Mifid and hedging by machine
Risk30 profile: Athanasopoulos sees opportunities to cut hedging costs
Goldman swaps assets drop $140bn after margin change
Move follows guidance from US regulators; no word from Goldman on capital impact
NSFR consultation: industry awaits derivatives fix
Possible fixes under consultation don’t go far enough, say banks
Asia clearing surge raises concerns over eligible collateral
Scarcity of high-quality liquid assets gives rise to liquidity risk worries, say banks
P2P repo platforms in bid to solve US liquidity crunch
New peer-to-peer services claim buy side is failing to reap benefits of higher volumes
Sberbank: doubts over courts hamper netting in Russia
Unpredictable decisions undermining faith in close-out netting opinion, says Russian bank
BNY Mellon’s Neal on funding, liquidity and collateral
Markets head Michelle Neal says firm has “big responsibility” after JP Morgan’s tri-party repo exit
Dealers crack down on clients with dual netting sets
Pricing adjustments for posting non-cash collateral can run to 100bp
Dealers struggle with VM in non-netting jurisdictions
EU exemptions from margin posting are either hard to obtain or face client resistance
Masters: blockchain could ease margin headaches
Margining non-cleared derivatives a “massively under-optimised space”, says Digital Asset chief
Collateral issues see Korea opt for six-month VM transition
Move will bring country into line with Australia, Hong Kong and Singapore