Funding
Repo traders brace for wild quarter-end
Overnight repo rate expected to widen dramatically on Friday
UK repo decline sparks NSFR tussle in Europe
BoE and EC concerned about repo liquidity, but Basel Committee unlikely to budge
L’exception française: why French banks dominate US repo trading
French banks are exploiting a quirk in the leverage ratio rules to expand repo trading
Dealers wake up to MVA impact of new funding rules
NSFR will force dealers to term-fund initial margin at a time when margin volumes are climbing
Funding flap: dealers slam NSFR impact on derivatives
Banks fume over “extremely punitive” funding costs from liquidity rule
NSFR to hike hedging costs for end-users, industry warns
Costs could increase by 10–15%, House Agriculture Committee hears
South Africa structured product boom raises concerns
Issuance gallops ahead amid higher rates and weak rand, but some are wary
US dollar/yen basis blows out to –100 on negative rates
Bank of Japan policy adds to domestic banks’ dollar funding dilemma
Year of the XVAs: top technical papers and authors of 2015
Funding valuation adjustment under the microscope, along with other, newer XVAs
Traders see DVA adjustment as 'accounting fudge'
Dealers at London event remain unconvinced by controversial funding adjustment
US regulator asks banks for FVA information
OCC requests info on funding spreads, model validation and more
The black art of FVA, part III: a $4 billion mistake?
Quants argue banks are inflating FVA; Crédit Agricole among those weighing new approach
Backward induction for future values
A new framework for derivatives pricing with valuation adjustments
Regulatory costs break risk neutrality
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…
Regulatory-optimal funding
A treasury viewpoint on the funding optimization problem
Credit portfolio manager of the year: HSBC
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
Interest rate derivatives house of the year: Goldman Sachs
Derivatives house of the year: HSBC
Derivatives house of the year: HSBC
Cutting Edge introduction: another FVA?
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…
Differential rates, differential prices
Differential rates, differential prices
Funding strategies, funding costs
Funding strategies, funding costs
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
Danish and Latvian debt offices move to two-way CSAs
Cheaper swaps prices have convinced two more DMOs to sign collateral agreements
