Plumbing (weekly)

  • Shadow banks gobble up cross-border loans

    Cross-border lending to borrowers in developed economies flickered back to life in the last quarter of 2018, with claims expanding by a net $76 billion. Of this, $64 billion consisted of loans to shadow banks.

    tags: Shadow Plumbing

  • Eurex cross-currency swap clearing faces continued delays

    Eurex Clearing is said to be planning to debut its cross-currency swap clearing service by the end of June, after repeated delays caused the launch to slip from the original end-2018 date. However, dealers have reservations over the liquidity of the cleared product and the increases in posted margin versus non-cleared trades.

    tags: Derivatives Plumbing

  • Sovereign swaps users should learn from Italy’s mistakes

    Would Italy have a different book of derivatives if it had always been required to post collateral to its dealer counterparties? It’s impossible to know, of course, but the question is worth asking because of the situation the country now finds itself in. The derivatives portfolio amassed by the Tesoro – the state treasury – had a notional value of €111.3 billion ($126 billion), with a mark-to-market value of negative €29.8 billion, as of December 31, 2018.

    tags: Derivatives Plumbing

  • Libor-in-arrears swaps face unwinds on benchmark death

    The death of Libor could result in the forced unwind of so-called Libor-in-arrears swaps, which require a forward rate to settle. That is likely to happen if Libor – a forward-looking benchmark – is replaced with a backward-looking fallback rate for swaps straddling the pre- and post-Libor worlds.

    tags: Swaps Plumbing LIBOR

  • Futures Guru Targets Libor Replacement

    Richard Sandor, known for creating interest-rate futures in the 1970s, has launched his own version of LIBOR called Ameribor, based on rates set on his American Financial Exchange, where banks lend to each other through mutual lines of credit.

    tags: Plumbing LIBOR

  • CPMI-IOSCO Quantitative Disclosures 4Q 2018

    Clearing Houses 4Q 2018 CPMI-IOSCO Quantitative Disclosures are now available, so lets look at what the data shows, similar to my CCP Disclosures 3Q 2018 article.

    tags: Plumbing Derivatives

  • Don’t fear the clearer

    “The perils of widespread central clearing are real but our analysis of this complex network suggests the tail risks are often overstated. Larger clearing members have enough capital to weather a crisis. Admittedly, smaller firms could be submerged in the waves created by a fellow member’s default, but even a chain of such losses would not threaten the system as a whole.”

    tags: Plumbing Derivatives

  • US swaps end-users cry foul over SA-CCR punch

    US commodity end-user (CEU) trades with banks will be hit by new harsh treatment for non-margined transactions and high supervisory factors on energy derivatives under the proposed Standardised Approach to Counterparty Credit Risk. Industry bodies are asking regulators to grant an exemption from margining for CEUs, and to strip out some gold-plating of the supervisory factors.

    tags: Plumbing Derivatives

  • Into the void: Europe’s new but hazy securitisation market

    “The two conflicting forces of finance are, by tradition, fear and greed. In the case of European securitisation, the dominant factor is fear as incomplete regulations are deterring originators and investors from entering the market.”

    tags: Plumbing Securitization Regulation

  • FRTB May Disadvantage Emerging Markets

    ISDA has released a new report outlining some of the challenges jurisdictions will face in implementing the new market risk capital standards, also known as FRTB (the Fundamental Review of the Trading Book).

    tags: Plumbing Regulation FRTB

  • Splintered Libor transition raises risks for banks

    The estimated $350tn of contracts tied to it represent a huge challenge that market participants, primarily banks, are expected to fix by themselves, but different parts of the market are developing at different speeds.

    tags: LIBOR Plumbing

  • Into the void: Europe’s new but hazy securitisation market

    The two conflicting forces of finance are, by tradition, fear and greed. In the case of European securitisation, the dominant factor is fear as incomplete regulations are deterring originators and investors from entering the market.

    tags: Regulation Securitization Plumbing

  • ISDA Margin Survey Year-End 2018

    The ISDA Margin Survey looks at the impact of regulatory and other changes on collateral practices, and analyzes the amount and type of initial margin (IM) and variation margin (VM) posted for non-cleared derivatives, and the IM posted for cleared transactions.

    tags: Plumbing Derivatives

  • Finding our way to the new Ibors

    With the objective of a migration that does not impair safety and soundness, which type of transition is worse (or better)? A quick and perhaps painful operational and financial transition, or a long period of persistent costs and overhang of the tasks at hand?

    tags: Plumbing LIBOR

  • HKEx clearing head talks margin and auctions post-Nasdaq

    CCPs have work to do to restore confidence in clearing, but Roland Chai has a plan

    tags: Plumbing Derivatives

  • Two banks dominate EU securitisations

    The 11 systemically important EU banks were exposed to €401 billion of securitisation risk at end-2018, with more than a third held by Banco Santander and Deutsche Bank.

    tags: Securitization Plumbing

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