Haircuts
Fed’s Basel III rollback gives clearing units a capital break
Client-cleared trades will be exempt from CVA charges and G-Sib surcharge calculations, says Barr
Estimating the probability of insurance recovery in operational risk
The authors put forward a novel methodology for the estimation of probability of insurance recovery.
Rule change cuts ECC default fund by over a third
Member contributions hit two-year low and may fall further
Eurex repo haircutting to move to Prisma futures model
Switch will open cross-margining opportunities between repo and futures
US takes scissors to repos. In Europe, it’s not cut and dried
Stateside banks fear disadvantage over haircut rules that EU sees as not ready to implement
CCPs mull collateral options amid debt ceiling deadlock
Isda AGM: Raising haircuts and minimum maturities are among measures on the table to avoid a cliff-edge
First Republic taps Fed facilities in effort to plug funding hole
Discount window and BTFP provide temporary relief as deposits slump $72bn in Q1
How banks can avoid bad haircuts on hedge fund trades
HSBC quant makes case for looking at collateral and funding rates in concert
A model for small basket equities financing
A haircut model for equity baskets based on credit and equity indexes is introduced
SEC, Treasury warn against zero haircuts for Treasury repos
Gensler and Liang say more conservative treatment of hedge fund trades is desirable
Relative value trades face Treasury clearing squeeze
SEC’s clearing proposals may hurt levered basis trades and worsen illiquidity in off-the-run bonds
Illiquid assets throw UK pensions off balance
Collapse in equity and bond prices leaves some funds with outsized exposure to private holdings
Repo haircuts and economic capital: a theory of repo pricing
The author proposes a repo haircut model that will identify capital for repo default risk as the main driver of repo spreads and allow investors to settle at an optimal combination of the haircut and repo rate.
JP Morgan extends run as top repo dealer to US funds
Counterparty Radar: New data shows wide variation in haircuts, with biggest clients – like BlackRock and Pimco – getting best terms
Ukrainian debt holders brace for restructure
Investors could see a 40% haircut on the bonds, but it’s never that simple
Sec-lending haircuts and indemnification pricing
A pricing method for borrowed securities that includes haircut and indemnification is introduced
EU still undecided on how to implement minimum repo haircuts
Concerns over non-bank leverage may derail push to include haircuts in bank capital rules
Leaked doc: EU bans initial margin haircuts to resolve CCPs
Council will ban resolution authorities from dipping into clearing members’ initial margin
Recovery plans, CFTC equivalence and stress tests
The week on Risk.net, September 21–27, 2019
Watchdogs ask EC to delay repo haircut floors. Will it?
EBA says hedge funds will skirt the rules, but Basel and FSB want haircut minimums in place
