Nazneen Sherif
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Articles by Nazneen Sherif
Variation margin relief sparks swaps pricing disputes
Banks divided over whether to price trades using current CSAs or theoretical new agreements
What is the economic value of FVA?
To end the funding valuation adjustment debate, this key question needs to be answered
Hazy guidance causes chaos on first day of VM regime
"We don’t know what the rules are," says one senior banker
Vague VM relief criteria creates trading uncertainty
Banks face lack of clarity on extent of margin rule forbearance
Regulators relent ahead of VM big bang
Firms with 'significant exposures' must stick to March 1 deadline, however
UK banks face increased XVA burden after ring-fencing
Funding spreads to raise FVA and MVA; netting splits to hit CVA
Japan holds firm on VM deadline as Fed tracks progress
JFSA says no “strong reason” for delay; Bafin and Fed monitor developments
Why XVAs need to be factored into options pricing
Ignoring valuation adjustments could be storing up problems for the future
EU will stick to March 1 variation margin deadline
US regulators also unlikely to delay as a result, say dealers
LCH platform to provide risk calculations for margin hub
SwapAgent agrees to send standardised sensitivities for bilateral trades to AcadiaSoft for IM calls
Why liquidity risk is the silent clearing killer
A quant paper shows feedback effects can amplify CCP margin requirements in stressed markets
ANZ's CVA loss flags challenge for regional banks
Many smaller dealers thought to be out of step with market practice and new capital rules
Docs shock: how dealers are tackling the VM deadline
Scale and complexity of negotiations raise fears many will be unable to trade from March
Isda Amend faces rival in CSA repapering effort
AcadiaSoft to launch new tool in January, but protocol approach attracts wider criticism
Why risk aversion should be built into product structuring
Irrational behaviours that creep into product structuring can be controlled mathematically
FRTB survey: banks fear high bar for P&L test
One bank expects all of its desks to fail the P&L attribution test
VM regime threatens explosion of small margin calls
Transfer threshold designed to avoid small payments is unworkable, critics claim
M&A mania: deal-contingents re-emerge but risks remain
Price of forex hedges plummets as dealers flock to offer high-risk, high-reward product
Structured product innovation under threat, say distributors
Structured Products Europe: Regulatory burdens holding back new structures
Basel considered axing standardised approach to CVA calculation
Committee discussed axing standardised and basic approaches in recent months, sources say – but ruled out both
FRTB data pooling crawls into action
Dealers voice concerns on data pooling as industry initiative to model risk factors faces significant challenges
A conflict resolution strategy for capital allocation?
A recently proposed method for capital allocation has the potential to resolve internal disputes