Funding
European split on NSFR worries dealers
Squabble over derivatives liabilities factor sparks fears of unlevel playing field
Dealers warn of FRTB impact on funding programmes
EMTNs issued by treasury functions may need to be moved to trading desk because of new market risk rules
Banks discount legacy swaps as ring-fencing looms
Expectation of higher funding costs post ring-fencing pushes UK banks to offload some trades faster
FCA moots synthetic Libor as rates fallback
Once Libor is allowed to die, replacement could be risk-free rate plus fixed credit spread
All MVA needs is a first-mover
Fair value adjustment for initial margin should be reflected in accounting statement
FSB asks whether CCPs could become shock-transmitters
Isda AGM: New analysis – due next month – looks at clearing network risks
Swaps market’s health seen as resting on sickly repo
Isda AGM: Panellists warn repo market is risky way to fund swaps margin
Fed funds-linked swaps outstrip Libor for first time
Banks point to money market reform, Libor changes and Fed expectations as catalyst
Margin rule mismatch spawns new VM funding cost for buy side
Settlement timing difference penalises back-to-back trades with US and EU banks
LCH margin changes aim to reduce banks’ funding costs
Changes to allow over-collateralisation by buy-side clearers should ease FCMs’ funding burden
Dollar deposit mystery highlights non-US bank funding risks
Liquidity resilience is uncertain as offshore deposit financing replaces prime money funds
What is the economic value of FVA?
To end the funding valuation adjustment debate, this key question needs to be answered
Derivatives funding, netting and accounting
Christoph Burgard and Mats Kjaer expand their semi-replication framework to multiple counterparties
UK banks face increased XVA burden after ring-fencing
Funding spreads to raise FVA and MVA; netting splits to hit CVA
Swaps play hidden role in UK banks’ ring-fencing plans
UK dealers avoid mass transfers of derivatives
BIS’s Shin links dollar strength to global malaise
Framework could answer many questions economists have struggled with in recent years
How banks weathered the money market storm
Bank funding desks tapped standalone accounts and offshore investors for cash as prime funds slumped
Repo traders brace for wild quarter-end
Overnight repo rate expected to widen dramatically on Friday
UK repo decline sparks NSFR tussle in Europe
BoE and EC concerned about repo liquidity, but Basel Committee unlikely to budge
L’exception française: why French banks dominate US repo trading
French banks are exploiting a quirk in the leverage ratio rules to expand repo trading
Dealers wake up to MVA impact of new funding rules
NSFR will force dealers to term-fund initial margin at a time when margin volumes are climbing
Funding flap: dealers slam NSFR impact on derivatives
Banks fume over “extremely punitive” funding costs from liquidity rule
NSFR to hike hedging costs for end-users, industry warns
Costs could increase by 10–15%, House Agriculture Committee hears