Bank funding desks tapped standalone accounts and offshore investors for cash as prime funds slumped
Overnight repo rate expected to widen dramatically on Friday
BoE and EC concerned about repo liquidity, but Basel Committee unlikely to budge
French banks are exploiting a quirk in the leverage ratio rules to expand repo trading
NSFR will force dealers to term-fund initial margin at a time when margin volumes are climbing
Banks fume over “extremely punitive” funding costs from liquidity rule
Costs could increase by 10–15%, House Agriculture Committee hears
Issuance gallops ahead amid higher rates and weak rand, but some are wary
Bank of Japan policy adds to domestic banks’ dollar funding dilemma
By: Jon Pogach
Funding valuation adjustment under the microscope, along with other, newer XVAs
Dealers at London event remain unconvinced by controversial funding adjustment
OCC requests info on funding spreads, model validation and more
Quants argue banks are inflating FVA; Crédit Agricole among those weighing new approach
A new framework for derivatives pricing with valuation adjustments
Regulations impose idiosyncratic capital and funding costs for holding derivatives. Idiosyncratic costs mean that no single measure makes derivatives martingales for all market participants. Chris Kenyon and Andrew Green demonstrate that regulatory-compliant...
A treasury viewpoint on the funding optimization problem
HSBC has attempted to improve the accuracy of its credit portfolio economic capital forecasting by extending its model beyond a one-year horizon
Interest rate derivatives house of the year: Goldman Sachs
Derivatives house of the year: HSBC
Including funding costs and benefits in derivatives prices is a controversial topic, closely tied up with the credit and debit valuation adjustments of counterparty risk. But new research suggests that, even with no default risk, differences in the levels...
Differential rates, differential prices
Funding strategies, funding costs
How long will a client hold a 10-year swap? It could be 10 years – or it could be 10 days – and the answer has big implications for dealer funding requirements. Some are now in the early stages of looking at the expected lifespan of client positions....