Collateral
‘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.
Clearing banks feel pinch as rates turn negative
Negative returns on dollar deposits at Eurex, Ice and LCH spur talk of business model change
Collateral must be part of monetary policy equation
Incorporating collateral efficiency into IS-LM model reveals side-effects of QE
European lawmakers urged to prevent CCP contagion risk
Watchdog says carve-out needed in new recovery and resolution rules to avoid cascading default of clearing houses
Simm may come with a side benefit – a common data standard
Buy-side firms using Acadiasoft for Simm calculations must adopt the ORE XML data format
Uncleared margin – The changing needs of buy-side firms
Raf Pritchard, head of triResolve, discusses the initial margin calculation and collateralisation challenges for firms coming into scope under phases five and six of the uncleared margin rules
Leverage is underestimated
Off-balance sheet funding is large, rising and not fully accounted for in leverage metrics