Collateral
Liquidity & Funding Risk 2013: FVA will be dead in three years, says Hull
Arch-critic of funding valuation adjustment says regulation will make it obsolete – reducing industry's exposure to arbitrage
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
UK insurers recoupon interest rate swaps in bid to enhance yield
Unwinding in-the-money swaps to release cash for investments and collateral management
Politically motivated reform creates new risk
Many of the proposed reforms in derivatives market regulation were driven by politics rather than economics. This could lead to an additional source of systemic risk and less effective risk management among end-users, argues David Rowe
Custody Risk July–September 2013
Editor's letter
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
FX swaps and forwards off initial margin hook
Working Group on Margining Requirements has confirmed the exemption of FX swaps and forwards from initial margin, as well as a more restricted exemption for cross-currency swaps
Profile: Network Rail sings the praises of two-way CSAs
Getting there
Clearstream COO: T2S will help plug Basel III capital hole
Mathias Papenfuss, chief operating officer of Luxembourg-based international central securities depository Clearstream and board member of its German central securities depository, tells Luke Clancy the Target2-Securities project has potential to help…
DTCC announces executive management shake-up
The Depository Trust & Clearing Corporation has announced a shake-up of its executive management team
Exposure under systemic impact
Exposure under systemic impact
HMRC grappling with impact of UK bank levy on clearing
HM Revenue & Customs "does not wish to discourage" client clearing business, which is caught by UK balance sheet tax
Risk Australia: Clearing broker collateral replacement mechanisms could put asset managers in breach of client mandates
Third-party collateral requirements not acknowledged in current standard clearing broker contracts
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
Banks round on LCR approach to derivatives collateral flows
The Basel Committee decided earlier this year to include collateral outflows arising from changes in derivatives values in bank liquidity requirements. Their suggested approach, however, has worried some in the industry. By Michael Watt
Sponsored video interview: Omgeo's Ted Leveroni
Omgeo talks to Custody Risk on winning the Post-Trade Provider of the Year & Collateral Technology Provider of the Year at the Custody Risk Americas Awards 2013
ASX and LCH battle for Australian clearing market
Two's a crowd?
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
OTC Derivatives Clearing Summit: Capital burdens could weigh on swap futures
Lower margin levels for swap futures could drive up risk-weighted assets for dealers, and erode the product's advantage, panellists argue
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
BIS finds ‘no evidence' of persistent collateral scarcity
Report says increased reliance on collateralised funding and demands of regulatory reforms have not led to any 'lasting or widespread scarcity' of high-quality assets
Custody Risk June 2013
Editor's comment - piecing it all together