Haircuts
NY Fed’s push for repo haircuts gets a tepid response
New risk management standards could make it harder to finance US Treasury purchases
Breaking market norms, tri-party repo rates plunge for fringe collateral
Yields hierarchy upended as cost of repo-ing equities and other volatile securities falls over a percentage point below UST repos
Fed’s Basel III rollback gives clearing units a capital break
Client-cleared trades will be exempt from CVA charges and G-Sib surcharge calculations, says Barr
CCPs vulnerable from reverse repo investments – Esma
European watchdog flags risks of uncovered exposure during liquidity stress event
NYCB turns to repos, discount window in cash-hoarding push
Bank had previously supplemented funding needs almost exclusively with FHLB advances
Nervous UK pension schemes want liquidity fixes – it’ll cost them
Asset managers are crafting new ways for schemes to raise cash in a crisis
Estimating the probability of insurance recovery in operational risk
The authors put forward a novel methodology for the estimation of probability of insurance recovery.
Rule change cuts ECC default fund by over a third
Member contributions hit two-year low and may fall further
Eurex repo haircutting to move to Prisma futures model
Switch will open cross-margining opportunities between repo and futures
US takes scissors to repos. In Europe, it’s not cut and dried
Stateside banks fear disadvantage over haircut rules that EU sees as not ready to implement
CCPs mull collateral options amid debt ceiling deadlock
Isda AGM: Raising haircuts and minimum maturities are among measures on the table to avoid a cliff-edge
First Republic taps Fed facilities in effort to plug funding hole
Discount window and BTFP provide temporary relief as deposits slump $72bn in Q1
How banks can avoid bad haircuts on hedge fund trades
HSBC quant makes case for looking at collateral and funding rates in concert
A model for small basket equities financing
A haircut model for equity baskets based on credit and equity indexes is introduced
SEC, Treasury warn against zero haircuts for Treasury repos
Gensler and Liang say more conservative treatment of hedge fund trades is desirable