Repo
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
At US G-Sibs, 30-day funding still in vogue
Short-term funding is secured by higher-quality collateral than two years ago
The theoretical foundations of XVAs
Bloomberg analyses the theoretical basis of XVAs, focusing on the works and findings of its head of quantitative XVA analytics, Mats Kjaer, who emphasises the role of the capital valuation adjustment as a major driver of derivatives trading profitability…
The digitisation of legal negotiations and data
In partnership with Risk.net, specialists from AcadiaSoft, Linklaters, and the International Swaps and Derivatives Association weighed in on the digitisation of derivatives documentation for a virtual roundtable discussion. Recent innovations, aimed at…
Securities lending down over 10% among US insurers in 2018
Firms stepped away from securities lending transactions and repo markets last year
Seamless integration – Drivers of and barriers to cloud adoption
Siarhei Niaborski, executive vice-president of risk at CompatibL, discusses the rate of cloud adoption in the capital markets industry and its possible drivers and barriers, how firms can derive maximum value from cloud usage and the criteria on which…
Successfully moving risk software to the cloud
Cloud technologies offer numerous benefits over traditional on-premise deployments. While the rate of adoption in the financial services industry was initially slow, banks and asset managers are now embracing these technologies and moving their…
Repo madness, FRTB and swaptions switch
The week on Risk.net, November 2–8, 2019
Plumbing problems in the repo market
On September 17, three banks may have sucked up nearly a quarter of money market fund cash
Fed’s repo operations will not fix rate spikes, dealers say
Risk USA: leverage constraints remain, even after massive injections of emergency liquidity
Goldman’s Granet: repo tumult does not undermine SOFR
Risk USA: Libor transition head says SOFR is more stable than the rate it is set to replace
All clear? Structural shifts add to repo madness
Many things contributed to 10% repo, among them a FICC programme and a surge in overnight funding
MetLife investment yields squeezed by rate cuts, repo turmoil
Investment spread at retirement and income solutions unit down to 1.02%
Stress-testing to improve strategic decision‑making
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
MMF repo volumes fell 8% in September
FICC remained largest single counterparty for US Treasury repo
Top 10 CCPs add $5.4 billion to liquidity pools in Q2
Clearing houses expand size of secured credit lines over the second quarter
Best CVA practices in Japan
At a recent roundtable in Tokyo, banks and regulators discussed progress on credit valuation adjustment (CVA). While, in many respects, the work towards implementing best practices in the country is on track, challenges remain in resourcing and…
Companies delay climate policy action at their peril
Failure to take immediate action on the proposals set out in the Paris Agreement on climate change could cost approximately $1.2 trillion over the next 15 years in policy risk costs. Oliver Marchand, co-founder of Carbon Delta and executive director of…
Tri-party repo and collateral businesses feather BNY Mellon’s earnings
Non-cleared margin rules and US Treasury issuance behind revenue surge
JP Morgan borrowed $240bn in fed funds and repo markets in Q3
Average quarterly balance was 30% up year-on-year
Brexit disruption, fire sales and climate risk
The week on Risk.net, October 5–11, 2019
Repo exposures pile up at BNP Paribas
French bank had €388 billion of repo exposures at end-June
HSBC leads foreign banks in fed fund and repo borrowings
Large intermediate holding company money market borrowings equivalent to 15.9% of total assets
In stress-test window-dressing, timing is everything
EBA and Fed stress tests would have to be in perfect sync to stamp out transatlantic arbitrage