The debate on indemnification just won’t go away. And for good reason. A panelist at one session of the IMN Beneficial Owners conference called it a “central building block” to…Read More
During the CCP panel at the IMN Beneficial Owners Conference in San Francisco (which I moderated), there was an unspoken message: how do we break the news that eventually using…Read More
An article in Bloomberg on January 20th “How Swiss Shock Humbled the King of Leveraged Currency Trading” by David Evans explained how adding leverage to currency trades makes them more volatile.…Read More
Last week in the York Fed’s Liberty Street Economics blog they published an article “FRN Follow-Up: Who Are the Market Participants?” We thought it was interesting and take a look.…Read More
Fed’s Dec. 2014 Senior Credit Officer Opinion Survey (SCOOS): balance sheet tightening, margins and volatility
The December 2014 Senior Credit Officer Opinion Survey (SCOOS) on Dealer Financing Terms has been released. As is usually the case, the interesting parts are the special questions. Continue readingRead More
ISDA released the results of a survey of derivatives users; focusing on how prepared they were for margin on non-centrally cleared trades. Looks like there is still a lot of…Read More
Last month Debevoise & Plimpton published a nice guide to the Net Stable Funding Ratio (NSFR), “Client Update Basel Committee Adopts Net Stable Funding Ratio: How Much Liquidity Is Enough?”.…Read More
A week ago Monday (Dec. 8th) we wrote about the OFR / Federal Reserve project to collect data on the securities financing markets. Today we take a look at what that…Read More
Part II: The Fed releases rules on capital for GSIBs, includes extra requirements for securities financing trades
This is part II of our post on the Fed’s new capital rules. We look at the calculation methodology and some observations about the rules. Continue readingRead More
Part I: The Fed releases rules on capital for GSIBs, includes extra requirements for securities financing trades
The Fed has released the latest capital rules for Global Systemically Important Bank Holding Companies (GSIBs). One critical part of this set of rules is the inclusion of a second…Read More
Earlier this month the US Treasury, Office of Financial Research (OFR) released their 2014 Annual Report. It’s 150 pages plus and full of interesting stuff. This post will focus on…Read More
Nomura won an Insurance Risk innovation award for 2014 and we offer our congratulations. The interesting part is what they did to earn the award. This is part of an…Read More
Fed releases request for public comment on regulating GE Capital. These rules will keep GECC busy for a while.
The Federal Reserve just came out with a request for public comment on the regulation of General Electric Capital Corp (GECC) as a Sifi, “Application of Enhanced Prudential Standards and…Read More
Bank of New York Mellon and the CME have announced a collaboration to produce indices based on tri-party repo and futures contracts on those indices. This was long expected but…Read More
Earlier in November there was an interesting article in IFR by Christopher Whittall, “Fixed income trading enters new era”. It was focused on the principal versus agency models in fixed…Read More
Manmohan Singh, the IMF economist, has published a new paper “Limiting Taxpayer “Puts”—An Example from Central Counterparties” (IMF Working Paper WP/14/203), November 2014. We have long admired his work on…Read More
Corporates: how to invest their cash? Is non-intermediated access to centrally cleared tri-party repo coming?
Two articles on how corporates invest their cash caught our attention. Both were published on November 3, 2014. The first is from the Wall Street Journal “New Rules, New Corporate…Read More
The Bank of England has just updated the Sterling Monetary Framework “Red Book”, adding explicit language about providing liquidity support to CCPs. This new liquidity backstop makes sense, but its easy…Read More
On October 30th the FSB released “Global Shadow Banking Monitoring Report 2014”, their annual examination of the world of shadow banking. Shadow banking is described as “non-bank credit intermediate with…Read More
Earlier this month there was a conference sponsored by SIFMA on US tri-party repo. It was an excellent view on what has been done to strengthen tri-party and a little…Read More
The Bank of England recently published a paper “Dear Prudence, won’t you come out to play? Approaches to the analysis of central counterparty default fund adequacy” (Financial Stability Paper No.…Read More
The new Senior Credit Officer Opinion Survey (SCOOS), produced quarterly by the Federal Reserve, was just released. There were a couple things that deserved some investigation. Continue readingRead More
We spotted this visual guide to the Supplementary Leverage Ratio (SLR) in the Harvard law School Forum. It was produced by the law firm Davis Polk and is great background…Read More
European rules on investment managers reporting securities financing to trade repositories — will they scare away lenders?
An excellent post in COO Connect “Regulation of repo and securities loan in Europe will increase the burden of reporting” (October 6, 2014) by Dominic Hobson caught our eye. He…Read More
Fed's Potter outlines how they will raise rates….using higher IOER as a magnet. We think RRP is a better tool.
Simon Potter spoke at the SIFMA Conference on Securities Financing Transactions yesterday in New York. Potter is the Fed’s man in charge of open market operations and he explained how…Read More
An article in Risk by Lukas Becker, dated Oct. 1st “Banks avoiding covered bonds for LCR buffer over liquidity fears” caught our attention. For those not familiar with covered bonds – they are…Read More
The combination of quarter-end and new rules for the Fed’s RRP program were felt in full force today. The $300 bio daily maximum was hit, with $407.167 bio of bids…Read More
Pimco Total Return Fund reduces cash & repo in favor of futures exposure. Are they feeling the lack of liquidity in repo?
A September 17th article in Bloomberg “Bill Gross Used $45 Billion Derivatives to Lift Fund Gain” by Miles Weiss and Susanne Walker left us wondering if Pimco is having second…Read More
There were two recent posts by Michael Fleming, Frank Keane, Antoine Martin, and Michael Morrow on the NY Fed’s Liberty Street Economics blog about settlement fails. They do an excellent…Read More
An article in Securities Lending Times reported that SL-x, the securities lending electronic marketplace, closed after their funding was withdrawn. It is too bad.Continue readingRead More
The BIS recently published a piece on collateral management. It is interesting to understand where they see both the opportunities and risks. We take a look at “Developments in collateral…Read More
The latest incarnation of the Liquidity Coverage Ratio (LCR) rules were released. “Liquidity Coverage Ratio: Liquidity Risk Measurement Standards” clocks in at 399 pages – there is a lot minutiae…Read More
US regulators propose margin rules on non-cleared derivatives. Did they give non-financial end users a pass or not?
The underlying agenda of the regulators is to get as much of the derivatives market on cleared platforms. But they recognize that it isn’t going to be possible to get…Read More
Required Collateral on Cleared Derivatives at FCMs has been growing, but overall numbers remain remarkably low
Required Collateral for Cleared Derivatives reached just under $38 billion at the end of July, 2014 for the top 15 FCMs. Although the figures are up 73% since August, 2013,…Read More
At the Fed’s Workshop on the Risks of Wholesale Funding on August 13th, there were presentations on repealing the repo safe harbor. This is an idea that has gotten some…Read More
The Fed's Liberty Street Economics gets it right on gating and fees to prevent runs: they don't work
An August 18th post in the Federal Reserve Bank of New York’s Liberty Street Economics “Gates, Fees, and Preemptive Runs” by Marco Cipriani, Antoine Martin, Patrick McCabe, and Bruno M.…Read More
The Harvard Law School Forum article "Nationalize the Clearinghouses" — the author may have jumped the gun
An article in the August 8, 2014 Harvard Law School Forum on Corporate Governance and Financial Regulation entitled “Nationalize the Clearinghouses!” brought up some interesting issues. We take a look. Continue…Read More
An August 5, 2014 article in Reuters, “Unlikely booster for money market funds: beat-up Puerto Rico bonds” by Tim McLaughlin caught our attention. But it seems to be missing some…Read More
WSJ writes about increase in bank UST positions being a Volcker Rule dodge. We wonder if it might be about LCR compliance?
A July 21st article in the Wall Street Journal “The Volcker Risk Bubble” by John Carney described a study by economists Jussi Keppoy and Josef Kortez about how banks are taking…Read More
"Reforming Major Interest Rate Benchmarks" from the FSB looks at using GCF repo as derivatives benchmark
The Financial Stability Board published on July 22nd a major report “Reforming Major Interest Rate Benchmarks”. They look at how the ‘IBORs could be reformed. The LIBOR scandal may have…Read More
"Embedded Financing: The Unsung Virtue of Derivatives”: An article from the Journal of Derivatives that every securities financing professional should read
Earlier in the summer there was a paper in the Journal of Derivatives that every person in securities financing should read. It is called “Embedded Financing: The Unsung Virtue of…Read More
The Economist writes about repo: “Neither liquid nor solid” and blames tight specials markets on regulatory change. Sorry, but no.
Repo seems to be getting a wave of confusing press. An important article by virtue of its large circulation was in the July 12th Economist, “Neither liquid nor solid”.Continue readingRead More
The latest post on the FRB-NY’s Liberty Street Economics blog is “Lifting the Veil on the U.S. Bilateral Repo Market”. Written by Adam Copeland, Isaac Davis, Eric LeSueur, and Antoine…Read More
Zoltan Pozsar's new paper “Shadow Banking: The Money View”: some very interesting ideas on how to use the Fed's reverse repo program
Zoltan Pozsar, one of our favorite economists, has written a new research piece “Shadow Banking: The Money View” (July 2, 2014). He has some fascinating ideas on the Fed’s reverse…Read More