Collateral
Through-the-cycle haircut in securities financing likely, says senior regulator
Supervisors look to keep a firmer grip on securities lending haircuts to prevent asset bubbles from forming.
Isda AGM: collateral drops 20% with market rebound
As the markets recover from the crisis, counterparties are using much lower levels of collateral, an Isda survey has found.
The price is wrong
As the basis between Libor and overnight index swap rates ballooned during the credit crisis, banks were forced to reassess methods for pricing collateralised and uncollateralised derivatives trades. The result is a move towards a new market standard in…
Risk corporate survey 2010
Price is still the most important factor for corporates when choosing which dealer to trade with. However, a wide divergence in pricing among banks means transparency is now a key issue. By Matt Cameron, with additional research by Alexander Campbell,…
The price is wrong
As the basis between Libor and overnight index swap rates ballooned during the credit crisis, banks were forced to reassess methods for pricing collateralised and uncollateralised derivatives trades. The result is a move towards a new market standard in…
The Lehman flip clause flap
The decision of a US bankruptcy court to void contractual provisions that shield investors from the credit risk of swap counterparties in structured finance deals has put the legal systems of England and the US on a collision course. It also has…
Interview with Vladimir Piterbarg
Vladimir Piterbarg talks about his new article published in the Cutting Edge section of Risk magazine
Funding beyond discounting: collateral agreements and derivatives pricing
Standard theory assumes traders can lend and borrow at a risk-free rate, ignoring the intricacies of the repo and collateralisation markets. Here, Vladimir Piterbarg shows that these force adjustments to discounting, forward prices and implied…
Ferc proposes credit reforms
The Federal Energy Regulatory Commission (Ferc) has outlined credit reform proposals aimed at balancing the need for market liquidity with appropriate risk management while ensuring reasonable rates.
