West Wheelock Capital: removing rollover risk

Hedge fund seeking to broker long-dated collateral trades

Manish Kapoor, West Wheelock Capital

The concept of collateral transformation has been around since mandatory clearing and bilateral margining were first mooted. But while the idea is obvious and simple - give your illiquid collateral to a counterparty in exchange for assets that can be used as margin in over-the-counter derivatives trades – practical issues have stopped it taking off.

A key hurdle has been the duration lenders of collateral are willing to offer. In the US and Europe, typical counterparties are not keen to extend c

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