Collateral
Swap rate: cash-settled swaptions in the fallback
A fallback pricing method that reduces vanilla swaptions’ complexity is introduced
How to stop stablecoins from hoarding precious collateral
Repo markets expert and crypto bank chief exec think Fed reserves are the right answer
Is Citi’s SA-CCR hit a sign of things to come?
Higher capital costs for dealing in uncollateralised FX swaps and forwards could impact banks and clients alike
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
Isda set to draft China netting opinion
Banks could be in a position to turn on close-out netting in China by third quarter
Ice Clear Europe boosts liquidity buffer by 77%
More than half of the CCP’s loss-absorbing funds is now deposited in central bank balances
Ice Clear Europe hit by $1.03bn margin breach
The CCP’s futures and options division reported its second largest IM breach ever in Q4, as energy prices skyrocketed
At CME, central bank balances hit all-time high
Over 70% of the CCP’s loss-absorbing funds stashed at the Fed, as interest rate expectations drive liquidity pool expansion
Behnam urges wider CCP access to Fed deposit accounts
CFTC chair says recent market shocks highlight value of Fed accounts; Congressman agrees
LCH turns to central banks in rejig of liquidity pools
Central bank balances hit all-time high, despite aggregate fall in liquidity buffer in Q4
Ucits’ clash with IM rules could cause collateral damage
Strict collateral reuse guidelines may restrict popular investment vehicles’ hedging capabilities
OCC member default fund contributions jump 8%
CCP’s skin in the game fell slightly in Q4, making up 1.8% of the prefunded total
Eurex boosts liquidity buffer by 26%
Increase largely driven by the growth of the CCP’s IRS business
Sec-lending haircuts and indemnification pricing
A pricing method for borrowed securities that includes haircut and indemnification is introduced
Credit portfolio manager of the year: Intesa Sanpaolo
Risk Awards 2022: Italy’s largest lender is one of the EU’s strongest thanks to smart securitisations
How PGGM made 11% a year selling credit protection to banks
Dutch investor expects returns to drop over time unless rising inflation widens risk premia
Vanguard eyes DLT for FX forwards after smart contract success
Fund giant hopes roll-out of tech in 2022 will deliver greater efficiency and pricing benefits
Counterparties clash over ‘dirty’ CSAs
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion
Stable mates: the interoperability of cryptocurrencies
Why central bank reserves could be a better option for backing stablecoins than Treasuries
Approximating lifetime expected credit loss
Credit rating and collateral value's changes have a measurable impact on creditworthiness
NSCC caught $5 billion short in June
Worst-case losses would have wiped out the CCP’s available liquid resources on two separate days in Q2
State Street launches tri-party custody for IM clients
Third-party provider begins shifting phase five clients to full-service collateral model
Phase five margin queues spur calls for custody revamp
Custodians urged to update “antiquated technology” ahead of three-fold jump in phase six initial margin onboarding
From the margins: CGBs vie to join the collateral club
Can CGBs emulate US Treasuries as initial margin on cross-border derivatives trades?