Articles by Christopher Whittall
Surviving the liquidity squeeze
Excess liquidity in the euro funding markets halved at the beginning of July, causing Eonia to leap higher. The extent of the move surprised traders and caused problems for some participants. Christopher Whittall reports
Playing on forex correlation
The eurozone crisis sent market participants scrambling to put on macro hedges. A popular trade was to short the euro, but with the cost of this strategy escalating, some turned to correlation products. By Christopher Whittall
ECB may extend full allocation tenders into 2011
Any withdrawal of liquidity by the ECB at year-end would cause major uncertainty, say bankers
Heightened event risk as ECB excess liquidity shrinks
Dealers eagerly watch European Central Bank tenders as new maintenance period is set to begin
Head of Lehman Brothers UK administration steps back
Insolvency veteran Lomas to head Lehman Brothers International (Europe) (LBIE) administration in Pearson's absence.
Regulation to reshape bank funding
Contrasting regulation for buyers and issuers of bank paper is adding to stress in funding markets.
EBF expansion of Euribor set to increase euro benchmarks gap
Changes are planned to a key euro rates benchmark - and it could have a number of knock-on effects.
Nordic markets warm to central clearing
Regulators across the globe are intent on forcing over-the-counter derivatives through central clearing. How are supervisors in the Nordic region responding, and could the relative lack of liquidity in domestic markets hamper their efforts? By…
Dealing with funding on uncollateralised swaps
Many banks are now using their own cost of funding as a discount rate when pricing non-collateralised swaps trades. How are banks dealing with the difference in funding rates when quoting derivatives prices, and could this influence a client’s choice of…
LCH.Clearnet re-values $218 trillion swap portfolio using OIS
Changes in valuation were “relatively small”, says clearing house
Corporates should be forced onto central counterparties – BIS
Central counterparties are wrongly perceived as being more expensive than OTC transactions, says a leading economist.
Protection on long-term deflation hits highest levels since 2008
Hedge funds seeking protection against deflation and dealer hedging of residual short floor positions are cited as the reasons for a rise in prices on euro zero-coupon inflation options.
Inflation head leaves Deutsche Bank
Options trader also moves on
IAS 19 to speed pension de-risking
Proposed changes to accounting standards will remove some of the reporting freedom enjoyed by pension funds and could steer them away from investing in equities towards the relative safety of bonds and swaps – a development that could have an impact on…
Valukas' findings challenged by Lehman lawsuit against JP Morgan
Intra-day credit debate re-surfaces as Lehman Brothers Holdings (Inc) (LBHI) accuses JP Morgan of coercing it into agreements that allowed JP Morgan to get hands on collateral
Deutsche Bank halted sovereign CDS trading after Bafin ban
The German bank was not the only dealer to have temporarily put a stop to eurozone sovereign credit default swap trading
Market puzzled by Bafin ban
Traders incredulous as Bafin acts unilaterally to calm “extraordinary volatility”
CVA desks trim hedges as bailout crushes CDS spreads
It was a hectic start to the week for CVA traders, as the eurozone bailout shrank the exposures many faced, leaving them over-hedged.
Spanish banks prepare for refinancing risk as CDSs blow out
Refinancing risk increases for Spanish banks as credit default swap (CDS) spreads widen dramatically for a third day running.
Lehman reorganisation plan not equitable, says LBIE administrator
Plans by Lehman Brothers Holding Inc (LBHI) to disregard a majority of guarantee claims from its affiliates are not fair, according to one of the joint administrators of Lehman Brothers International (Europe) (LBIE).
Dampening pro-cyclicality in margin
The Committee on the Global Financial System has released a proposal recommending changes to dampen pro-cyclicality in margin practices and haircuts for securities financing and over-the-counter derivatives. How could this affect collateral management…
Prime brokers move to SAS 70 audits
Learning from the default of Lehman Brothers, a growing number of prime brokers are adapting their business model to ensure margin is segregated and secure, with some looking to win third-party validation for the controls they have in place. Which firms…
Through-the-cycle haircut in securities financing likely, says senior regulator
Supervisors look to keep a firmer grip on securities lending haircuts to prevent asset bubbles from forming.
Prime brokers move towards independent SAS 70 checks
Prime brokers have focused on bolstering asset security for clients after billions of dollars of client assets were caught up in the administration of Lehman Brothers International (Europe) (LBIE).