Pro-cyclicality

Derivatives, Pro-cyclicality, Regulatory

ESRB, Margin, OTC derivatives, SA-CCR, securities finance, topstory

The European Systemic Risk Board published last week an innocuously titled document called “Mitigating the procyclicality of margins and haircuts in derivatives markets and securities financing transactions“. The early pages,…

Do EU margin requirements on anti-procyclicality for CCPs help or hurt risk management?

January 15, 2018

CCP, Credit Exposure, Derivatives, ESMA, Europe, OTC Derivatives Clearing, Pro-cyclicality, Regulatory, Risk Management

CCPs, Clearing, ESMA, Procyclicality, topstory

EMIR wants CCPs to hold more margin, in effect making CCPs into virtual fortresses. But the costs associated are high and the potential to push risk into markets or firms…

Bank of England on hedge fund and PB risk: better than it used to be but issues remain

January 4, 2018

Bank of England, Credit Exposure, Europe, Hedge Funds, Investments, Prime Brokerage, Pro-cyclicality, Risk Management, Systemic Risk

Bank of England, hedge funds, Initial Margin, prime brokers, Procyclicality, topstory

Bank for International Settlements, Funding/Liquidity, systemic risk, topstory

A recent publication from the Bank of England shows that hedge fund systemic risk is generally lower than it used to be; that’s a good thing for the markets. Hedge…

Get ahead on key issues with Finadium research: an example from the BIS Annual Report

July 12, 2017

Richard Stinchfield

Cash management, Collateral Management, ECB, Europe, Liquidity Management, Market infrastructure, Money Market Funds, Pro-cyclicality, Regulatory, Repo, Risk Management, Systemic Risk

The Bank for International Settlements (BIS) released their 87th annual report on June 25th including an important section on risks in the US dollar funding market. The section outlines concerns…

Broker/dealer balance sheets and illiquidity: is regulation to blame?

September 2, 2015

Basel III, Dodd-Frank, Federal Reserve, Market infrastructure, Pro-cyclicality, Regulatory, Securitization

broker/dealer leverage, electronification, Liquidity, program trading, topstory

The fifth and last of the Federal Reserve Bank of New York’s Liberty Street Economics blog series on liquidity was called “What’s Driving Dealer Balance Sheet Stagnation?”. Authored by Tobias…

Tackling the question of insurance companies and pension plans in systemic risk

August 4, 2014

Bank of England, Investments, Pensions, Pro-cyclicality

Bank of England, insurance companies, pension plans, Procyclicality

The Bank of England has published a useful discussion paper on insurance companies and pension plans as procyclical investors. This important topic is one of the few that has not gotten significant…

"Embedded Financing: The Unsung Virtue of Derivatives”: An article from the Journal of Derivatives that every securities financing professional should read

July 17, 2014

Corporate Bonds, Derivatives, Dodd-Frank, Pro-cyclicality, Regulatory, Repo

Bruce Tuckman, CDS, derivatives, Interest Rate Swap, Journal of Derivatives, NYU Stern School

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…

Zoltan Pozsar's new paper “Shadow Banking: The Money View”: some very interesting ideas on how to use the Fed's reverse repo program

July 7, 2014

Bank of England, Money Market Funds, Pro-cyclicality, Regulatory, Repo, RRP, Shadow Banking, Systemic Risk

RRP

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…

The Bank of England on procyclicality: no great solutions

May 19, 2014

Bank of England, CCP, Collateral Management, Credit Exposure, Derivatives, Pro-cyclicality, Repo, Systemic Risk

pro-cyclicality

The procyclicality and margin debate is one of those topics that reads like a damned if you do, damned if you don’t. Earlier this month the Bank of England published an…

Our analysis of the FSB’s securities lending and repo policy framework

September 2, 2013

Pro-cyclicality, Re-Hypothecation, Regulatory, Repo, Securities Lending, Shadow Banking

Financial Stability Board, FSB, Repo, Securities Lending, Shadow Banking

It’s not the big bang, but there are a number of important points in the new FSB publication, “Strengthening Oversight and Regulation of Shadow Banking: Policy Framework for Addressing Shadow…

Benoît Cœuré on why low interest rates set the markets up for systemic fragility

July 4, 2013

Basel III, ECB, Europe, Pro-cyclicality, Regulatory, Repo, Systemic Risk

Benoît Cœuré, ECB

Benoît Cœuré, Member of the Executive Board of the ECB, gave an interesting speech late last month at a Euromoney “The Global Borrowers & Investors Forum 2013“ Conference. Much of…

Five important points from the new BIS paper on collateral

May 29, 2013

Basel III, Collateral Management, Liquidity Management, Pro-cyclicality, Regulatory, Repo, Securities Lending, Systemic Risk, Trade Repositories

BIS, collateral, Committee on the Global Financial System, optimization, Repo, Securities Lending, transformation

The Bank for International Settlements affiliate, the Committee on the Global Financial System (CGFS), has released a new report on collateral, “Asset encumbrance, financial reform and the demand for collateral…

Important conclusions from a Bank of England paper on CCPs and financial resources

April 29, 2013

Bank of England, CCP, Collateral Management, Pro-cyclicality

Bank of England, CCPs, Default Fund, Initial Margin, regulatory capital

A new research report from the Bank of England has modeled out how CCP financial resources can affect their stability in times of stress. The conclusions have some important policy…

Pro-cyclicality: ISDA and the FSB use the same term but want very different things

December 4, 2012

CCP, Collateral Management, Derivatives, Pro-cyclicality, Regulatory, Repo, Systemic Risk, Tri-Party Repo

FSB, Initial Margin, ISDA, Minimum repo haircuts, Total Return Swap, Variation Margin