Collateral
Asia Risk Awards 2019: The winners
The best of the best in Asia
Custodian of the year: BNP Paribas Securities Services
Asia Risk Awards 2019
How collateral scarcity reshaped the US yield curve
QE and demand for high-quality liquid assets have suppressed short-term rates, argue IMF economists
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
BAML leads US G-Sibs on swaps exposures to hedge funds
Bank has seen net current credit exposures to hedge funds rise 231% in three years
Peripheral EU banks free encumbered assets
Ratio of encumbered assets to total assets at Greek banks falls to 23.9% from 31.6%
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
Mifid redux? Esma insists on LEIs for repo collateral
Mifid-style ruling will bar firms from using securities without identifiers in financing transactions
Esma proposal may limit short-selling
Reporting requirement would bar securities without LEIs from being used in financing transactions
Margin reform – From challenge to opportunity
SmartStream Technologies explores how, as new initial margin regulations from the Basel Committee on Banking Supervision and the International Organisation of Securities Commissions become a pressing concern for more firms, technology service providers…
Fishing for collateral with neural nets
SocGen quant uses deep learning technique to optimise collateral substitution
Optimal posting of collateral with recurrent neural networks
Pierre Henry-Labordère applies neural networks to a control problem approach for managing collateral
Connectivity – Standards set to enhance collateral management
Regulatory changes in the over-the-counter derivatives space have seen firms scrambling to find solutions that will ensure they are prepared to manage the transition. As ever-larger transaction volumes place higher demands on firms’ transaction…
BoE is going to curb Libor collateral. But how much?
Harshest of three ideas to shift market to Sonia would largely ban Libor collateral from its market ops
BoE drops Libor for hedging UK forex reserves
Risk Live: Central bank adopts Sonia in Treasury swap programme, consults on restrictions for Libor collateral
LCH, Eurex create fix for floating repo’s Eonia problem
Clearing houses to adjust repo balances the following day once rate moves to T+1
Final rules on securitisation due by year-end, EBA says
European issuers forced to work with incomplete legislation for another six months at least
Local Asian custodians not ready for IM phase five
Banks’ sluggish preparations for initial margin rules could hit buy-side clients
Emergency docs: funds rush to meet EU’s revised Emir rules
Isda asks for six-month extension as previously exempt funds hit with margin requirements
