Collateral
Banks look for tech solution to collateral crunch
With the frequency and volume of collateral calls set to increase dramatically, banks and buy-side firms alike are investing in new systems to help them manage their stock of assets in an efficient way. By Clive Davidson
OTC Derivatives Clearing Summit Europe: No need to panic about collateral supply, says Bank of England
Isda estimates that mandatory clearing and margin could require the posting of up to $30 trillion of initial margin have been inflated, not least because of a likely exemption for forex swaps and forwards, according to a senior BoE official
OTC Derivatives Clearing Summit Europe: Corporates could be source of eligible assets for clearing
Cash-rich corporates could replace capital-constrained dealers as providers of collateral transformation services, according to one asset manager
Asia Risk Congress: Collateral requirements will hit derivatives trading volumes
Panellists at Asia Risk Congress say collateral management rules will reduce activity in areas such as structured products
IMF: CCP structure increases systemic risk
The likely increase in the number of central counterparties will create more 'pockets of risk', says senior economist
Gazprom Marketing & Trading: Powering up for clearing
Gazprom's UK-based trading subsidiary is hoping not to be hit by a clearing requirement - but has been doing its sums just in case, the company's treasurer, Michael Kawski, tells Lukas Becker
Sponsored forum: Collateral management
A panel of experts from BNP Paribas, BNY Mellon and Euroclear discuss the opportunities for collateral management, the availability of eligible collateral, and the impact of the sovereign debt crisis and looming regulation
OTC Derivatives Clearing Summit: Buy side bemoans ‘lowest common denominator’ treatment
Pension and insurance firms complain CCPs treat them the same as hedge funds
Special report: Technology
The pace of regulation is driving Asian banks to place an ever great focus on technology
In defence of FVA – a response to Hull and White
The funding valuation adjustment traders have been adding to derivatives prices since bank funding costs first blew out in 2008 has proved controversial, putting theory and practice at odds with one another. Royal Bank of Scotland’s Stephen Laughton and…
Traders close ranks against FVA critics
Derivatives desks have been passing along funding costs for uncollateralised trades since bank spreads blew out in the crisis. But a funding-dependent price is subjective – and this is intolerable to some quants and risk managers. A heated debate is now…
Downgraded banks struggle to find replacement swap counterparties on ABS deals
A number of downgraded banks are required to find swap counterparty replacements for over 300 structured finance transactions – but this is proving difficult, with few candidates willing or able to step in
Cutting Edge introduction: Followers of fashion
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled…
Risk 25: The search for margin efficiency
Growing demand for collateral means the ability to offer margin efficiency will be a big competitive advantage for derivatives clearing houses. But critics fear the industry will be left with a collateral shortfall in a crisis
Risk 25: Technology vendors adapt their risk systems
Derivatives markets remain hugely complex, although not in the same way as they were before the crisis. Technology vendors need to adapt their systems to meet the changing landscape, and artificial intelligence could be the next big step
Cooking with collateral
In the wake of the crisis, the traditional assumption of a risk-free counterparty and rate has been shown to be false, yet it still underpins finance theory. Vladimir Piterbarg develops theoretical foundations for a model of an economy without a risk…
CCPs wary of covered bonds despite Esma proposal
LCH.Clearnet and Eurex will not accept own-name covered bonds as collateral, despite green light from Esma
WGMR margin rules borrow heavily from US proposals
Working group publishes proposed margin rules for uncleared trades – bringing global rules in line with an earlier US proposal