Collateral
Tri-party repo and collateral businesses feather BNY Mellon’s earnings
Non-cleared margin rules and US Treasury issuance behind revenue surge
US clearers move to dole out losses besides default
ICC wants members to chip in on investment and custodial losses; the OCC, on the whole op risk enchilada
ETF strategies to manage market volatility
Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…
Libor transition and implementation – Covering all bases
Debate around risk-free rates (RFR) and whether they are suitable for all products clients may wish to transact in is taken up by a panel of experts, who explain the areas in which RFRs are most and least suitable, the challenges for market participants…
Watchdogs ask EC to delay repo haircut floors. Will it?
EBA says hedge funds will skirt the rules, but Basel and FSB want haircut minimums in place
Asia Risk Awards 2019: The winners
The best of the best in Asia
Custodian of the year: BNP Paribas Securities Services
Asia Risk Awards 2019
How collateral scarcity reshaped the US yield curve
QE and demand for high-quality liquid assets have suppressed short-term rates, argue IMF economists
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
BAML leads US G-Sibs on swaps exposures to hedge funds
Bank has seen net current credit exposures to hedge funds rise 231% in three years
Peripheral EU banks free encumbered assets
Ratio of encumbered assets to total assets at Greek banks falls to 23.9% from 31.6%
Big US banks hold more Treasuries as swaps collateral
Government securities made up 8.2% of all initial and variation margin at G-Sibs in Q2
Mifid redux? Esma insists on LEIs for repo collateral
Mifid-style ruling will bar firms from using securities without identifiers in financing transactions
Esma proposal may limit short-selling
Reporting requirement would bar securities without LEIs from being used in financing transactions
Margin reform – From challenge to opportunity
SmartStream Technologies explores how, as new initial margin regulations from the Basel Committee on Banking Supervision and the International Organisation of Securities Commissions become a pressing concern for more firms, technology service providers…
Fishing for collateral with neural nets
SocGen quant uses deep learning technique to optimise collateral substitution
Optimal posting of collateral with recurrent neural networks
Pierre Henry-Labordère applies neural networks to a control problem approach for managing collateral
Connectivity – Standards set to enhance collateral management
Regulatory changes in the over-the-counter derivatives space have seen firms scrambling to find solutions that will ensure they are prepared to manage the transition. As ever-larger transaction volumes place higher demands on firms’ transaction…
BoE is going to curb Libor collateral. But how much?
Harshest of three ideas to shift market to Sonia would largely ban Libor collateral from its market ops
Tech-driven model risk management – Driving value and efficiency
Next-generation MRM tools such as automated model documentation, performance monitoring and powerful network visualisations can improve efficiency by minimising time-consuming tasks and allowing organisations to focus more on high-value activities. A…
BoE drops Libor for hedging UK forex reserves
Risk Live: Central bank adopts Sonia in Treasury swap programme, consults on restrictions for Libor collateral
LCH, Eurex create fix for floating repo’s Eonia problem
Clearing houses to adjust repo balances the following day once rate moves to T+1