Latest proposal extends number of silos from five to 17, mirroring approach taken by LCH.Clearnet
King's College professor of finance Damiano Brigo says regulators should clamp down on dealers looking to hedge debit value adjustment gains by selling CDS protection on closely correlated names
More Credit risk articles
Market risk hedges should be recognised when calculating CVA capital charge, says HSBC market risk modelling head
Regulators are looking at how financial markets could be proofed against the collapse of a CCP – but there are more questions than answers at the moment, says the EC’s Patrick Pearson
Dealers are concerned that intra-day margin call guidelines, which they claim could drain up to $500 billion from financial markets, could make it into final CPSS/Iosco principles
Central clearing will place a huge burden on end-users, forcing CCPs to consider how best to create operational and margin efficiencies
Dealers will be able to cross-margin interest rate swaps, and eurodollar and Treasury futures, from May
US regulations on mandatory clearing and uncleared margin could put US dealers at a competitive disadvantage in Europe, says EIB
Counterparties will have to post variation margin on uncleared trades – but questions remain over which firms will have to post and collect initial margin
The latest council draft adds a CVA capital charge exemption for sovereign derivatives transactions – potentially removing one of the big unintended consequences of CRD IV, participants say
Towards two-way CSAs
Lsoc is 'not fit for futures'
The costs of transacting swaps with one-way CSAs mean more debt offices could join Hungary, Ireland, Portugal and Sweden
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.