Collateral
Lufthansa wary of OTC regulations
Corporates across the globe have lobbied to ensure end-users are not subjected to new clearing requirements for derivatives. For Lufthansa’s treasury department in Frankfurt, ensuring it is able to continue to hedge its foreign exchange and interest rate…
Bespoke solutions for an Islamic CSA
Islamic derivatives users are still getting to grips with a new sharia-compliant master agreement, but some argue the market will be stunted without an accompanying collateral document. Lawyers say that is some way off, so they’re cooking up bespoke…
Bear bailout vehicle turns first paper profit
Federal Reserve balance sheet data shows Bear Stearns’ assets held in Maiden Lane vehicle made a paper profit for first time since its inception
ECB closes in on inferior collateral with new haircut scheme
European Central Bank’s new discount schedule increases haircuts levied on troublesome collateral, such as asset-backed securities; analysts expect move to discourage pledging of risky assets
LCH.Clearnet may offer 'lite' membership to sovereigns
Clearer's plans to create a special membership category for central banks and other sovereigns could undermine CCPs' risk-mutualisation model, rivals claim
Portuguese debt office agrees to post collateral to its dealers
Agency becomes one of first developed-market sovereigns to succumb to dealer pressure as costs of one-way collateral postings grow
Derivatives reform to hit energy giants
Several major energy and commodities companies such as Royal Dutch Shell and BP are to face a substantial rise in derivatives trading costs, following the adoption of the Dodd-Frank Wall Street Reform Act.
Quant Congress USA: Ban DVA, counterparty risk quant says
Banks should not book paper profits as their own debt quality worsens, the Risk conference heard yesterday
Deutsche lists 10 exchange-traded commodities on the LSE
Deutsche Bank has listed 10 new exchange-traded commodities on the London Stock Exchange to complement the 19 it issued earlier this year in Frankfurt
Questions raised about CCP collateral
Bank collateral managers raise concern about wrong-way risk in clearing house collateral
Dodd-Frank margin intent delivers end-users a blow, despite reprieve
Senator's letter fails to assuage end-user concerns over non-cleared swaps
Questioning collateral
European financial markets have been turned upside down by the sovereign debt crisis, with eurozone government bonds no longer regarded as completely risk-free. As a result, dealers are more wary of the correlation inherent in collateral denominated in…
Dodd-Frank bill sparks end-user margin fears
Reform bill ambiguity means end-users might have to post margin even if they don't clear swaps.
Concerns grow on correlation of derivatives collateral
Sovereign debt crisis raises fears about correlation of derivative collateral denominated in domestic currencies
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
Funding valuation – a clear and present future
In this roundtable, three leading swaps dealers discuss the changes in derivatives pricing – and in particular, the use of OIS as a discount rate for collateralised derivatives trades.
Funding valuation adjustments sponsored forum: A clear and present future
It is now generally accepted that banks should use a different pricing methodology depending on whether a derivatives trade is collateralised or non-collateralised. Specifically, dealers are now using overnight indexed swaps to discount the present value…
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
Goldman CDO suit throws focus on collateral manager conflicts
Goldman Sachs fraud allegations show portfolio managers credit selection interests are often not aligned with benefiting CDO note-holders, say lawyers.
Sponsored feature: BNY Mellon – focusing clients on their core activities
Never has the need for efficient management around over-the-counter derivatives business been more crucial, or such a focus, as it is today. BNY Mellon discusses how, with its collateral management services, it has helped clients achieve greater…
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…