WGMR rules create funding complexity for dealers

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


At an industry conference last month, a panel of experts hummed and hawed over whether there was enough liquid collateral in circulation to allow firms to meet new initial margin posting obligations for uncleared over-the-counter derivatives, following the finalisation of rules on the subject in September. It’s a tricky one to pin down, with estimates on collateral requirements ranging from the hundreds of millions to trillions of dollars. But, important as that issue is, it is perhaps the

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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