Collateral
Fine margins – Integrating risk and IM costs under new CCP risk models
This white paper, based on the findings of a Risk.net survey commissioned by Nasdaq, assesses market participants’ efficiency in managing risk, margin and collateral amid increased volatility, and the transition to new central counterparty risk…
ECB certificates: a ready-made euro safe asset
The CMU must be backed by a stock of safe assets. The ECB can supply them, writes Daniel Hardy
SA-CCR switch clouded by confusion over netting sets
An effort by US regulators to incentivise the switch to SA-CCR may be having the opposite effect
Initial margin held by top CCPs declined over Q2
Cash collateral held at central banks down 23% across top CCPs
Op risk data: Record $920m fine for JP metals ploy
Also: counting the cost of Covid cons; Citi audio dynamite. Data by ORX News
Citi turns to fintech to boost FCM interest income
Clearing giant is optimising its treasury function to combat low rates and CCP fee hikes
‘Big bang’ sends basis swaps on roller-coaster ride
Secrecy at CME is contributing to volatility ahead of next week’s switch to SOFR discounting
JSCC placed majority of its default funds with the BoJ in Q2
Loss-absorbing resources stashed with commercial banks fell over the three months to end-June
Libor countdown webinar series – GBP
Nobody knows what will happen to Libor at the end of 2021, but the market has to be ready for anything – including the benchmark’s demise. The coming months will be crucial in determining how and whether rates markets are able to cope
CCP discounting big bang: convexity adjustment
The collateral transition to SOFR will create convexity adjustments that need to be modelled
US regulator may bend on margin rule for segregated accounts
CFTC open to extending September 15 deadline
Will the exit price be right in new Isda docs?
Industry body is updating unloved procedure for valuing terminated swaps
Collateral management product of the year: SmartStream
Asia Risk Technology Awards 2020
LCH to accept Sing dollar bonds as collateral
Singapore’s banks hope move will ease margin funding burdens, and speed direct membership
OTC swaps exposures of systemic US banks fell back in Q2
Aggregate current credit exposures to hedge funds falls 42% quarter on quarter
Facebook’s libra could disrupt collateral markets – IMF paper
Collateral used to back ‘stablecoins’ such as libra will be unavailable for reuse
Non-cleared euro swaps market wrestles with discount rate switch
Buy-siders prepare for valuation change from move to €STR
The unintended impact of collateral on financial stability
Initial margin requirements for OTC derivatives can increase risk of contagion, writes economist
Asia collar financing surges on back of Covid-19 volatility
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift
SA-CCR adoption may spur wider FX swaps clearing
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
Synthetics sweetener teases European banks
As structural woes resolve, regulators remain split on preferential capital treatment for STS deals
EU banks expect further margin reprieve for equity options
Exemptions for intra-group and equity options from non-cleared margin rules expire by January 2021
Art-secured lending: a risk analysis framework
In this study, the authors identify the three types of risks involved in an art-secured lending operation and present a framework to assess their combined effects via a Monte Carlo simulation.