Collateralisation
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
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
Like your CSA dirty? It’ll cost more
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
Why KfW revived an old idea for cross-currency collateral
Transport currency concept re-emerges at SwapAgent, but dealers warn of hidden FX risks
First Republic taps Fed facilities in effort to plug funding hole
Discount window and BTFP provide temporary relief as deposits slump $72bn in Q1
FVA hedge omission from FRTB set to cause headaches
Lack of carve-out for market risk hedges could create hedging issues, experts say
Credit checks, what credit checks? How crypto lending ate itself
Collapse of hedge fund Three Arrows Capital exposes “sloppy and irresponsible” credit standards among crypto lenders
A SwapAgent-bilat basis? Not for now
SA-CCR may make settled-to-market capital benefits more difficult to quantify
Approximating lifetime expected credit loss
Credit rating and collateral value's changes have a measurable impact on creditworthiness
EU banks forced to up collateral for ETDs in Q4 2020
Over-collateralisation of liabilities jumps to highest since March 2020
How sovereigns learned to live with two-way CSAs
Some say new collateral terms ensured access to markets during last year’s meltdown
SA-CCR adoption may spur wider FX swaps clearing
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
Uncleared margin – The changing needs of buy-side firms
Raf Pritchard, head of triResolve, discusses the initial margin calculation and collateralisation challenges for firms coming into scope under phases five and six of the uncleared margin rules
Fund securitisation makes capital vanish – and watchdog growl
Probe into possible “abuses” of CFO structure could hit wider investments, experts say
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
Optimal posting of collateral with recurrent neural networks
Pierre Henry-Labordère applies neural networks to a control problem approach for managing collateral
Buy-siders eye ways to get ahead of US resolution stay rules
Come July 1, asset managers will be unable to dump derivatives as a G-Sib is unwound. Lawyers are standing by
Counterparty trading limits revisited: from PFE to PFL
The potential future loss is proposed as a replacement for PFE
Rumble in the IM jungle: how new platforms match up
After testing rival margin services, banks now have to pick a favourite – one has better tech, the other is cheaper
Breaking the collateral silos – Navigating regulation with a strategic alternative
Emmanuel Denis, head of tri‑party services at BNP Paribas Securities Services, discusses why financial institutions must rethink old practices of collateral management and instead adopt a tri-party approach, with which equities can be managed as…
Soaring Fed Home Loan Bank borrowings spark systemic risk fears
Parallels drawn with Fannie and Freddie as commercial bank borrowing from FHLBs nears $500bn