Credit Risk
FX Invest: Implications for collateralisation under new CCP model
Saima Farooqi looks at the wave of upcoming regulations relating to central counterparty clearing, and what it means for collateral management
Isda working group to draw up new, standardised CSA
Derivatives market set for shake-up as confusion over how to price multi-currency CSA trades drives a push towards a standardised collateral agreement
Eurozone faces “intractable” problems, says BarCap economist
Eurozone faces stunning economic and financial challenges, said Julian Callow, chief European economist at Barclays Capital.
Banks look to securitisation of counterparty credit risk
A number of banks are considering securitisations of their counterparty credit exposures, as they look to get their balance sheets in shape ahead of new Basel capital charges.
Market endorses 'elegant' CFTC proposal on margin
The Commodity Futures Exchange Commission (CFTC) tabled four proposals on segregation for client margin in cleared over-the-counter derivatives trades, and early feedback from the industry indicates a clear front-runner.
Lehman opts to settle over Dante flip-clause transactions
The Lehman Brothers Holding Inc (LBHI) administration has decided to reach an out-of-court settlement with Australian investment services group Perpetual Trustee over disputed collateral in a series of credit-linked notes issued by Saphir Finance - a…
Concern over scarcity of high-quality assets forces CCPs to broaden eligible collateral
Ice Clear Europe accepts gold for margin, while LCH.Clearnet is also working on extending eligible collateral
Dealer concern over proposed change to client margin segregation
Ice Trust estimates it might have to increase initial margin by 63% to cover risk.
Insurers, not banks, driving liquidity trade
Insurance sector's hunger for high yields, rather than banks' thirst for short-term funding, driving liquidity trade
CCP costs keep creeping up
While US regulators consult the industry over the exemption of foreign exchange products, the systemic risks and increasing costs of using central counterparty (CCP) clearers continue to be highlighted.
Cash variation margin requirements worry pension funds
Having to post cash as variation margin to central counterparties (CCPs) will cause substantial yield losses for pension funds that conduct liability-driven investment (LDI) strategies, according to fund managers.
Ban on rehypothecation could increase derivatives costs
Investors have become more aware about the security of collateral since the collapse of Lehman Brothers. A number of hedge funds are now insisting margin posted on derivatives trades is not rehypothecated – a trend that could drive up costs. By…
Asia-Pacific CVA Forum: Singapore live with CVA, Korea next?
Domestic banks in Singapore are starting to set up CVA desks at the behest of their regulator, but elsewhere in Asia there are significant obstacles to CVA.
Asian banks in OTC derivatives reconciliation drive
Efforts by Isda and international banks to get Asian counterparties to use portfolio reconciliation services for OTC derivatives are starting to pay off
Emeap: Cross-border collateral may alleviate dollar funding strains
Executives’ Meeting of East Asia-Pacific Central Banks says crisis revealed shortcomings in regional money markets; swaps deals, cross-border collateral could alleviate some problems
CFTC rules increase credit risk
NEW YORK - Proposed rules to limit leverage on margin FX trading accounts at retail forex brokers will have the unintended consequence of increasing counterparty risk, according to Josh Levy, managing director at Tactical Asset Management.
The challenges of CVA
The onset of the financial crisis spurred banks to charge for counterparty credit risk in their forex dealings. But how to do that is proving theoretically and practically challenging. By John Ferry
Questions raised about CCP collateral
Bank collateral managers raise concern about wrong-way risk in clearing house collateral
Investors concerned over German banks' exposure to southern Europe
Investors and economists have identified German banks’ exposure to Europe’s indebted peripheral sovereigns as a potential risk to state finances.
No margin for error
Are money market margins a new science or just an overhaul? By Carl Martin, group technology director at Eurobase Banking Solutions in London
Bilateral collateral agreements up in 2010
SAN FRANCISCO - Bilateral collateral agreements make up 83% of all collateral agreements in circulation in the over-the-counter derivatives market this year, versus 75% last year, according to a survey by the International Swaps and Derivatives…
Europe excluded from CCP talks
The exclusion of European Union institutions from a technical working group set up to review risk management standards for central counterparties (CCPs) could make it difficult for the EU to reflect those standards in its forthcoming legislation on over…
Credit concerns grow as Chinese companies shun new documentation
China derivatives market regresses on documentation standardisation
Indian banks sign up for FX forwards central clearing
CCIL forwards clearing initiative sees slow take-up