Collateral
Interview with Vladimir Piterbarg
Vladimir Piterbarg talks about his new article published in the Cutting Edge section of Risk magazine
Funding beyond discounting: collateral agreements and derivatives pricing
Standard theory assumes traders can lend and borrow at a risk-free rate, ignoring the intricacies of the repo and collateralisation markets. Here, Vladimir Piterbarg shows that these force adjustments to discounting, forward prices and implied…
Ferc proposes credit reforms
The Federal Energy Regulatory Commission (Ferc) has outlined credit reform proposals aimed at balancing the need for market liquidity with appropriate risk management while ensuring reasonable rates.
Industry responds to EC derivatives proposals
Three industry bodies have offered overall support for the European Commission's proposals for derivatives markets, but opposed measures they claim could be detrimental to over-the-counter trading.
New OTC markets regulation "could damage businesses"
Regulatory attempts to reduce systemic risk within the financial sector should not extend to non-financial sector companies, according to the London-based Association of Corporate Treasurers (ACT).
US and English courts on potential collision course over Lehman structures
Legal battles over a series of collapsed structured finance transactions in which a subsidiary of Lehman Brothers was the swap counterparty could produce divergent opinions from US and English courts, causing far-reaching consequences for trustees and…
Airlines use aircraft as alternative to cash in margin calls
Airlines with fleets of unencumbered aircraft are starting to use them instead of cash as collateral required for large margin calls in derivatives trades, such as fuel hedges.
Conflict's end
The second phase of the International Swaps and Derivatives Association's collateral dispute resolution protocol prescribes a market polling mechanism for settling disputes involving illiquid and complex transactions. How will the market poll work and…
Custody battle
Following the losses suffered in the wake of the collapse of Lehman Brothers last September, hedge funds are increasingly looking to place initial margin with bankruptcy-remote third-party custodians. But prime brokers are staunchly refusing to surrender…
Going electronic
Collateral management functions currently exchange margin call notices and confirmation of interest payment by email, but the need for automation is becoming more urgent. The industry is looking to define the sequence of messages that would need to be…
Collateral damage
Securities lending