Counterparty
Ibor transition valuation and risk management considerations
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle…
RFR valuation challenges
A new system of interest rate benchmarks for all major currencies is emerging. These new benchmarks will replace interbank funding rates with risk-free rates (RFR). This article by LPA focuses on valuation challenges during the transitional period to new…
Preparing for the initial margin phase-in
Requirements for the mandatory exchange of initial margin are expected to be time‑consuming and laborious to implement. David White, head of sales at triResolve, discusses the lessons learned from in‑scope firms, obstacles to achieving compliance and how…
Fed credit limits likely to hit investment banks, custodians hardest
State Street, BNY Mellon, Morgan Stanley, Goldman Sachs have low credit limits; high bank exposures
Brexit: banks consider four ways to move swaps en masse
Statutory business transfers in frame as bilateral novation may take too long
The rapid evolution of compression: Keeping pace with optimisation activity
Sponsored forum: Capitalab
Video interview: Pieter Entius, Flow Traders
Pieter Entius, head of trading at Flow Traders, discusses how Eurex Market-on-Close can deliver listed solutions for basis trading
Citi hits hurdle in bid to apply China close-out netting
Chinese derivatives counterparties refuse to amend documentation to apply a netting opinion
Banks say Europe’s CVA proxy-spread plans lack flexibility
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits
The double default value-of-the-firm model
This paper analyses whether the double default treatment under Basel II is appropriate to capture the asymmetric relationship between an obligor and its guarantor.
Interoperability between central counterparties
The authors investigate interoperability from the perspective of the multilateral netting property of central clearing.
Oil rout sharpens energy companies' focus on credit risk
As defaults rise, firms step up sophistication of counterparty assessments
A dynamic approach to intraday liquidity needs
This paper studies the intraday liquidity needs of systemically important entities using simulations of the various Colombian financial market infrastructures (FMIs). The paper shows that if liquidity in another FMI (based on the proprietary positions of…
BlueCrest: fixed-income market structure faces uncertain future
COO in interview cites equity-like evolution and regulation squeezing liquidity
Catley Lakeman – ‘keeping the banks honest’
Catley Lakeman acts as a go-between for banks and asset management companies looking to buy their structured products. Vita Millers talks to founding partner Russell Catley
OpRisk North America: Cyber interconnectivity causing systemic risk
Banks must be aware of the risks of data transfer, conference is warned
Cooking with collateral
Cooking with collateral
Belgian private banks shy away from structured products
Extracting value from high-net-worth investors became a priority for Belgian banks in response to the Financial Services and Markets Authority's moratorium, but as mounting regulatory pressure spooks investors, private banks are bringing their structured…
Corporates fear CVA charge will make hedging too expensive
Crunch time for corporates
CVA's cousin: Dealers try to value early termination clauses
Adjustment anxiety