Collateral
Total return swaps – pension funds seek security in uncertain markets
Many happy returns
Deutsches Risk Rankings 2010: Deutsche Bank top again
Confusion, then clarity
Costs could deter hedge funds from learning Lehman lessons
Cutting counterparty risk has a price tag that might prevent smaller funds from changing their ways, experts fear
ECB’s González-Páramo highlights flaws in collateral framework
European Central Bank executive board member José Manuel González-Páramo acknowledges risks in central bank’s willingness to accept broad range of collateral
Axa IM to lend funds secured by ABS
The essential ABS
US municipalities wary of two-way CSAa
Cornered on collateral
The end for one-way CSAs
Sovereign derivatives users have been able to avoid posting collateral to their dealer counterparties in the past, but pending reforms to bank capital and funding rules are changing the equation. If sovereigns refuse to budge, they will have to accept…
Lufthansa wary of OTC regulations
Corporates across the globe have lobbied to ensure end-users are not subjected to new clearing requirements for derivatives. For Lufthansa’s treasury department in Frankfurt, ensuring it is able to continue to hedge its foreign exchange and interest rate…
Bespoke solutions for an Islamic CSA
Islamic derivatives users are still getting to grips with a new sharia-compliant master agreement, but some argue the market will be stunted without an accompanying collateral document. Lawyers say that is some way off, so they’re cooking up bespoke…
Bear bailout vehicle turns first paper profit
Federal Reserve balance sheet data shows Bear Stearns’ assets held in Maiden Lane vehicle made a paper profit for first time since its inception
ECB closes in on inferior collateral with new haircut scheme
European Central Bank’s new discount schedule increases haircuts levied on troublesome collateral, such as asset-backed securities; analysts expect move to discourage pledging of risky assets
LCH.Clearnet may offer 'lite' membership to sovereigns
Clearer's plans to create a special membership category for central banks and other sovereigns could undermine CCPs' risk-mutualisation model, rivals claim
Portuguese debt office agrees to post collateral to its dealers
Agency becomes one of first developed-market sovereigns to succumb to dealer pressure as costs of one-way collateral postings grow
Derivatives reform to hit energy giants
Several major energy and commodities companies such as Royal Dutch Shell and BP are to face a substantial rise in derivatives trading costs, following the adoption of the Dodd-Frank Wall Street Reform Act.
Quant Congress USA: Ban DVA, counterparty risk quant says
Banks should not book paper profits as their own debt quality worsens, the Risk conference heard yesterday
Deutsche lists 10 exchange-traded commodities on the LSE
Deutsche Bank has listed 10 new exchange-traded commodities on the London Stock Exchange to complement the 19 it issued earlier this year in Frankfurt
Questions raised about CCP collateral
Bank collateral managers raise concern about wrong-way risk in clearing house collateral
Dodd-Frank margin intent delivers end-users a blow, despite reprieve
Senator's letter fails to assuage end-user concerns over non-cleared swaps
Questioning collateral
European financial markets have been turned upside down by the sovereign debt crisis, with eurozone government bonds no longer regarded as completely risk-free. As a result, dealers are more wary of the correlation inherent in collateral denominated in…
Dodd-Frank bill sparks end-user margin fears
Reform bill ambiguity means end-users might have to post margin even if they don't clear swaps.
Concerns grow on correlation of derivatives collateral
Sovereign debt crisis raises fears about correlation of derivative collateral denominated in domestic currencies
Dealing with funding on uncollateralised swaps
Many banks are now using their own cost of funding as a discount rate when pricing non-collateralised swaps trades. How are banks dealing with the difference in funding rates when quoting derivatives prices, and could this influence a client’s choice of…
LCH.Clearnet re-values $218 trillion swap portfolio using OIS
Changes in valuation were “relatively small”, says clearing house