In-house system of the year: Advanced Repo Curves, Barclays Capital

Risk awards 2011


The traditionally uneventful repo financing market was turned upside down from 2007, as the US subprime fiasco started to evolve into a broader financial crisis. Normally predictable central banks began to cut interest rates more rapidly and in larger increments than ever before, and the front-end of the curve became hugely volatile, with violent moves in the cost of financing. As a consequence, the kind of sophisticated pricing and risk systems that were commonplace in other areas became a nece