Haircuts
One in five banks targets a 30-day liquidity survival horizon
ALM Benchmarking research finds wide divergence in liquidity risk appetites, even among large lenders
Bank of America extends repo cash borrowing surge with Pimco
Counterparty Radar: US bank's mutual fund repo borrowing jumps five-fold in six quarters to pull away from rivals
NY Fed’s push for repo haircuts gets a tepid response
New risk management standards could make it harder to finance US Treasury purchases
Citadel exec questions regulatory findings on repo haircuts
Isda AGM: OFR analysis didn’t account for excess collateral held against cleared positions in related trades
BoE to consult on promoting clearing for gilt repo market
Isda AGM: Deputy governor also takes aim at bilateral repo haircuts and cross-CCP netting
No need for repo clearing ‘cannon’ in Europe, says industry
Observers question rationale for a clearing mandate, calling for clearer incentives
Breaking market norms, tri-party repo rates plunge for fringe collateral
Yields hierarchy upended as cost of repo-ing equities and other volatile securities falls over a percentage point below UST repos
Fed’s Basel III rollback gives clearing units a capital break
Client-cleared trades will be exempt from CVA charges and G-Sib surcharge calculations, says Barr
CCPs vulnerable from reverse repo investments – Esma
European watchdog flags risks of uncovered exposure during liquidity stress event
NYCB turns to repos, discount window in cash-hoarding push
Bank had previously supplemented funding needs almost exclusively with FHLB advances
Nervous UK pension schemes want liquidity fixes – it’ll cost them
Asset managers are crafting new ways for schemes to raise cash in a crisis
Estimating the probability of insurance recovery in operational risk
The authors put forward a novel methodology for the estimation of probability of insurance recovery.
Rule change cuts ECC default fund by over a third
Member contributions hit two-year low and may fall further
Eurex repo haircutting to move to Prisma futures model
Switch will open cross-margining opportunities between repo and futures
US takes scissors to repos. In Europe, it’s not cut and dried
Stateside banks fear disadvantage over haircut rules that EU sees as not ready to implement
CCPs mull collateral options amid debt ceiling deadlock
Isda AGM: Raising haircuts and minimum maturities are among measures on the table to avoid a cliff-edge
First Republic taps Fed facilities in effort to plug funding hole
Discount window and BTFP provide temporary relief as deposits slump $72bn in Q1
How banks can avoid bad haircuts on hedge fund trades
HSBC quant makes case for looking at collateral and funding rates in concert
A model for small basket equities financing
A haircut model for equity baskets based on credit and equity indexes is introduced
SEC, Treasury warn against zero haircuts for Treasury repos
Gensler and Liang say more conservative treatment of hedge fund trades is desirable
Relative value trades face Treasury clearing squeeze
SEC’s clearing proposals may hurt levered basis trades and worsen illiquidity in off-the-run bonds