Articles by Rebekah Tunstead
LDI firms update margin stress tests post-gilt crisis
For some managers, stress-testing models failed to reflect the convexity effects of the crisis on initial margin
Dutch pension reforms face political uncertainty
Elections cast doubt on pension funds’ ongoing transition to defined contribution structure
PFZW’s payout to pensioners jolts euro swap curve
Dutch retirement fund’s announcement of unexpectedly large indexation takes market by surprise
BNP Paribas bolsters inflation desk with new hires
French bank takes on two traders, including a European inflation specialist
Buy-siders bemoan ‘dark arts’ of corporate bond CSA discounting
Litany of pricing variables fuel wide differences in how dealers calculate discount rates for collateral agreements
UK to permanently recognise US CCPs
Regulators also launching review on long-term status of UK pension fund clearing exemption
Buy side reflects on BoE’s gilt liquidity lifeline
Lending facility could prevent repeat of last year’s LDI crisis if properly designed, pension and insurance experts say
UK pensions mull discount rate switch after LDI crisis
Large schemes rethink liability calculations as illiquid allocations balloon following ‘mini-budget’
Isda proposes new central hub for critical notices
Trade body seeks industry feedback on one-stop shop for default notices and other critical comms; sceptics say the service is “not a universal solution”
BGC’s Eurex swap curve: basis killer?
Outright curve aims to stamp out LCH-plus-basis pricing for Eurex swaps – but price gap may persist, dealers say
Pension funds weigh corporate bonds as margin for gilt repo
Stung by disastrous losses during last year’s LDI squeeze, funds consider greater range of collateral on gilt repo
Like your CSA dirty? It’ll cost more
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
LCH Ltd’s RepoClear margin model gets a makeover
Changes aim to make margin models for gilt repo more sensitive to market moves
NatWest plans to put the XVA into RFQs
Bank to launch approximation tool on its electronic pricing framework for FX forwards
UK pension fund buyouts frustrated by ‘dirty’ CSAs
Contracts allowing schemes to post corporate bonds as collateral are obstructing risk transfer to insurers
Barclays retools inflation desk with two senior hires
UK bank raids Deutsche Bank and JP Morgan for new regional heads
GFXC fosters global awareness of T+1 impact on FX
Risk Live: Many non-US firms yet to realise FX implications of the country’s shift to shorter settlement times
Dutch pensions have extra year to restructure hedges
January 2028 implementation date allows more time for long-dated swaps to roll off
Long-end euro swap pricing anomaly remains largely untapped
Deviation in swap curve attracts limited interest because of regulatory and pension reform barriers
Isda survey explores refresh of FX derivatives rule book
Lawyers agree updates to definitions are needed, but some areas of focus may prove controversial
Dutch pension funds brace for hedging revamp
Planned legislative changes set to reduce long-end hedging needs, but market divided on curve impact
Mizuho fined over deal contingent FX forwards
CFTC finds clients weren't told about pre-hedging activity that likely resulted in worse pricing
ARRC relaxes limits on trading term SOFR derivatives
Updated usage guidelines allow hedge funds and fixed rate issuers to hedge with forward rate
Isda’s fork provision gives crypto market plenty to chew over
Not everyone is happy with the discretion new digital definitions offer to calculation agents