Netting
Does credit risk need an expected shortfall-style revamp?
Quants propose tail risk-sensitive measure for counterparty credit risk
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility
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…
EU parliament’s moratorium plan billed ‘recipe for bank run’
Proposal allows pre-resolution stay as well as one during resolution provided bank reopens in between
Hong Kong prepares boost to equity derivatives booking
Proposed revamp of large exposure limits would allow netting to reduce capital charges
Swaps data: the monopoly effect in clearing
There are only a handful of products where clearing volumes are evenly split between rivals
Derivatives close-out netting nears approval in India
Legislation expected early next year will clarify that local banks can use technique, say lawyers
EBF to update European master agreement
Derivatives and repo docs to be amended in light of new regulations, giving users an EU law option post-Brexit
Citi hits hurdle in bid to apply China close-out netting
Chinese derivatives counterparties refuse to amend documentation to apply a netting opinion
London likely to lose all euro repo clearing business
Fear of post-Brexit curbs on clearing and netting concerns propel shift to eurozone
Sberbank: doubts over courts hamper netting in Russia
Unpredictable decisions undermining faith in close-out netting opinion, says Russian bank
Holes in the net: lawyers split over China netting opinions
Law firms are offering close-out netting opinions, but not everyone agrees it is possible
Ashurst non-netting opinion on China splits lawyers
EU banks using opinion for margin exemption, at possible cost of capital savings
Lawyers divided over Isda’s China netting memo
New legal guidance spells out how close-out netting may be achieved, but critics say it’s impractical
Margin rules spur Middle East netting upgrades
Bahrain, Qatar, UAE seek to bolster swaps safeguards
LCH set to launch repo client clearing service
Project will allow buy-side firms to access CCP through sponsor banks in coming months
Dealers crack down on clients with dual netting sets
Pricing adjustments for posting non-cash collateral can run to 100bp
Dealers struggle with VM in non-netting jurisdictions
EU exemptions from margin posting are either hard to obtain or face client resistance
Derivatives funding, netting and accounting
Christoph Burgard and Mats Kjaer expand their semi-replication framework to multiple counterparties
US inflation traders consider swap methodology change
Banks weighing up move to non-interpolated standard to cut capital costs
Dealers grapple with netting valuation adjustments
Some banks are expressing netting uncertainty as a fair value adjustment to CVA
Banks take flexible approach to pricing netting risks
Dealers are adjusting CVA prices, depending on their view of the legal netting opinion
Netting risks create pricing and operational headaches
Oversight of legal risks is not always robust
Accounting puts brake on move to daily settled swaps
New margin approach threatens hedge accounting status, could hurt effectiveness