Regulators suggest WGMR haircut will not apply to variation margin, reducing the threat to the viability of the standard CSA
New proposed rules on CCP default fund capital and the leverage ratio will together make acting as a clearing member uneconomical, says industry panel
Final WGMR rules allow collateral on uncleared derivatives to be rehypothecated under strict conditions, but lawyers say they are unclear on how the rules will work in practice
Banks struggling to price the risk that downgrade triggers may be exercised, leading to calls for regulators to prohibit their use in derivatives documentation
Down the rabbit hole
Delta-one desks say their arbitrage business has been cut back – contributing to an unprecedented collapse in implied equity index repo rates. Inventory pressures created by bank regulation are being blamed. Matt Cameron reports
Some buy-side firms are already calling it the great unwind – the migration out of the huge bond portfolios buy-side firms have built up in recent years, as rates eventually rise. But with dealers less able to play the role of liquidity provider, it...
Rule change could see growth in swaps indexed to federal funds rate
Lawyers warn allowing strictest regulation to prevail will create heavy-handed regime
Lack of consistency in dealer practices means many insurance firms are sticking with Libor discounting for now
Europe isolated as US regulators opt for broad counterparty risk charge
Dealers say rules for default fund exposures are an improvement, but risk weights are not tied to "real default probabilities"
Europe’s credit valuation adjustment exemption was the outcome of a protracted legislative debate, but it may prove to be the end of a chapter, rather than the end of the story. As US banks protest and supervisors review the issue, a number of problems...
Ratio could be a 'game-changer', dealers warn, as Basel Committee proposes counting received collateral as well as derivatives exposures
Supervisors ‘should accept the legislation that the council and the parliament in their wisdom have decided upon’, warns MEP
Industry undecided on whether own cost of funds or an industry average funding spread should be used
Dealers push for a more risk-sensitive model, but regulators may opt to incorporate a new non-internal modelled approach into the existing hypothetical capital method
Standard-setter decides trades can still qualify for hedge accounting when voluntarily novated to a CCP, but experts warn wider stance on novation could cause trouble
Tax liability could send CCPs "directly into insolvency" warn Czech officials in leaked document
Federal Reserve will not mirror European exemptions but could instead modify treatment of CVA and market risk hedges, industry sources say
Goldman and the OIS gold rush
Traders say no sign of short volatility hedging after Nikkei 225 plunges
Banks and industry groups have been joined by an unlikely ally in their protests about the accounting treatment of assets held in liquidity buffers – the European Banking Authority. By Lukas Becker and Matt Cameron
Trades cleared voluntarily would not be protected by hedge accounting under IASB proposals