Articles by Matt Cameron
WGMR 8% collateral haircut unlikely to apply to variation margin
Regulators suggest WGMR haircut will not apply to variation margin, reducing the threat to the viability of the standard CSA
Acting as a clearing member will be uneconomical – Isda panel
New proposed rules on CCP default fund capital and the leverage ratio will together make acting as a clearing member uneconomical, says industry panel
WGMR rehypothecation rules unclear and confusing, say lawyers
Final WGMR rules allow collateral on uncleared derivatives to be rehypothecated under strict conditions, but lawyers say they are unclear on how the rules will work in practice
Dealers call for ban on downgrade triggers
Banks struggling to price the risk that downgrade triggers may be exercised, leading to calls for regulators to prohibit their use in derivatives documentation
Replacement costs add to OTC pricing upheaval
Down the rabbit hole
Inventory limits behind collapse in equity repo rates
Delta-one desks say their arbitrage business has been cut back – contributing to an unprecedented collapse in implied equity index repo rates. Inventory pressures created by bank regulation are being blamed. Matt Cameron reports
The great unwind: Buy-side fears impact of market-making constraints
Some buy-side firms are already calling it the great unwind – the migration out of the huge bond portfolios buy-side firms have built up in recent years, as rates eventually rise. But with dealers less able to play the role of liquidity provider, it…
FASB recognises OIS rate as hedge accounting benchmark
Rule change could see growth in swaps indexed to federal funds rate
CFTC-EC ‘stricter-rule applies’ cross-border agreement worries market
Lawyers warn allowing strictest regulation to prevail will create heavy-handed regime
Insurers struggling with move to OIS discounting
Lack of consistency in dealer practices means many insurance firms are sticking with Libor discounting for now
No CVA exemptions in US Basel III rules
Europe isolated as US regulators opt for broad counterparty risk charge
Basel tries to create clearing pull with new capital rules
Dealers say rules for default fund exposures are an improvement, but risk weights are not tied to "real default probabilities"
The CVA helter skelter: European supervisors could quash exemptions
Europe’s credit valuation adjustment exemption was the outcome of a protracted legislative debate, but it may prove to be the end of a chapter, rather than the end of the story. As US banks protest and supervisors review the issue, a number of problems…
Basel leverage ratio would double up collateralised OTC positions
Ratio could be a 'game-changer', dealers warn, as Basel Committee proposes counting received collateral as well as derivatives exposures
Bafin weighing CVA charge despite European exemptions
Supervisors ‘should accept the legislation that the council and the parliament in their wisdom have decided upon’, warns MEP
Quant Congress Europe: No consensus on FVA accounting
Industry undecided on whether own cost of funds or an industry average funding spread should be used
Banks tout alternative to calculate CCP default fund capital charge
Dealers push for a more risk-sensitive model, but regulators may opt to incorporate a new non-internal modelled approach into the existing hypothetical capital method
IASB eases fears over hedge accounting for CCP novations
Standard-setter decides trades can still qualify for hedge accounting when voluntarily novated to a CCP, but experts warn wider stance on novation could cause trouble
EC recognises member state fears that FTT will hurt clearing
Tax liability could send CCPs "directly into insolvency" warn Czech officials in leaked document
US expected to take third way on CVA charge
Federal Reserve will not mirror European exemptions but could instead modify treatment of CVA and market risk hedges, industry sources say
Goldman and the OIS gold rush: how fortunes were made from a discounting change
As the Street adapted to overnight indexed swap discounting, some desks are said to have booked profits running into the hundreds of millions of dollars – earning grudging praise, or just grudges, from their peers
‘No panic’ as Nikkei volatility spikes, dealers say
Traders say no sign of short volatility hedging after Nikkei 225 plunges
Banks and EBA join forces over liquidity buffer accounting
Banks and industry groups have been joined by an unlikely ally in their protests about the accounting treatment of assets held in liquidity buffers – the European Banking Authority. By Lukas Becker and Matt Cameron
Banks fear loss of hedge accounting for CCP novations
Trades cleared voluntarily would not be protected by hedge accounting under IASB proposals