TRS as the next financing tool? Reuters and the FT have the story and we have some conclusions (Finadium subscribers only)
WSJ writes about increase in bank UST positions being a Volcker Rule dodge. We wonder if it might be about LCR compliance?
OTC Derivatives Market Notional Tops $700 trillion. But Gross Credit Exposure — the number to watch — drops to $3 trillion.
The Net Stable Funding Ratio (NSFR) and repo market liquidity: A Basel accident or an effort at extreme risk mitigation?
“Matching Collateral Supply and Financing Demands in Dealer Banks” in the NY Fed’s Economic Policy Review. They really don’t like repo netting.
Tuesday news roundup: modeling risk assets, illiquid collateral, EU money markets and CCP transparency
Eurex interview with Finadium: “Market participants are most concerned about netting of counterparty exposures”
White paper argues up to 97% savings from using a securities lending CCP, but best to look a little closer before repeating those figures
The CFTC and liquidity rules for DCOs: do they need committed repo facilities for their US Treasuries?
Why gross up exposures for fully collateralized transactions? The ICMA and ISLA respond to new Leverage Ratio proposals.