At the Office of Financial Research and Financial Stability Oversight Council conference “Assessing Financial Intermediation and Analysis” held December 6, 2012 there was a lot to take in. One of…Read More
The term pro-cyclicality seems to always get people on edge. If you are in the securities financing or derivatives business these days, you never want to be associated with that…Read More
On November 27, 2012 ISDA released a presentation entitled “Initial Margin For Non-Centrally Cleared Swaps, Understanding the Systemic Implications”. ISDA does a great job in highlighting the wide range of…Read More
Sandra Krieger, chief risk officer at the Federal Reserve Bank of New York spoke at a conference late last week and had some things to say about repo. There were…Read More
The Financial Stability Board (FSB) released “OTC Derivatives Market Reforms, Fourth Progress Report on Implementation” at the end of October. This report’s focus is on infrastructure readiness; specifically looking at…Read More
A paper from IMF Economist Manmohan Singh entitled “Puts in the Shadow” was published earlier this month. It is thought provoking and worth a read. We want to focus in…Read More
Liberty Street Economics Blog on bilateral and tri-party repo haircut differences: they can't explain it. We can.
On the FRBNY Liberty Street Economics blog there was post on Monday, September 17, 2012 entitled “The Odd Behavior of Repo Haircuts during the Financial Crisis” that caught our eye.…Read More
Recently the question has come up about which are less risky in today’s financial environment: bilateral counterparties or CCPs. Both have their own pros and cons, and it is well…Read More
A “Commentary” piece in the Telegraph by Lord Turner, Executive Chair of the FSA, was published on September 8, 2012. While a lot of it is hashing what we already…Read More
Singh and Stella on the velocity of collateral: banks just don't trust each other. We think there is more to it.
A July 2, 2012 post by IMF Economist Manmohan Singh and consultant Peter Stella in the blog Vox revisits a familiar topic: the velocity of collateral. We’ve written about this…Read More
We’ve found so much important in the world of securities finance that today’s article needed to summarize the latest news. Topics include progress on Basel III, the Fed on money…Read More
“Replumbing Our Financial System: Uneven Progress” by Darrell Duffie: turn tri-party clearing into a "dedicated regulated utility"
A recent paper authored by Darrell Duffie, Finance Professor at Stanford GSB is worth taking a look at. “Replumbing Our Financial System: Uneven Progress” was presented at the Fed conference…Read More
Bank of New York Mellon targets DTC-cleared paper in the next step in tri-party reform. This one is going to hurt.
Bank of New York Mellon (BNYM) has told their tri-party customers about the next step in reducing the systemic risk….and some market players fear it will create some nasty unintended…Read More
Moody’s is reviewing 17 global banks for downgrades that may come as early as June. The news is starting to fill with stories on how much extra collateral banks will…Read More
Pro-cyclicality is every regulator’s favorite whipping boy right now. Regulators pound the table over ways to offset the tendency to ease financing terms when the market is strong, only to…Read More
A new opinion piece from Woodbine Associates published on April 4, 2012 “Beyond Volcker: Seeing the Forest through the Trees” caught our eye. About half-way into the piece the author…Read More
The back and forth about Greece’s debt restructuring has obvious knock-on effects to the CDS market. But it also impact the repo market too. A voluntary restructuring means, in ISDA’s…Read More
The European Repo Council, part of ICMA, came out with an interesting paper today, “Haircuts and initial margins in the repo market”. It was authored by Richard Comotto, Senior Visiting Fellow…Read More
"Collateral Crises": a new research paper examines the impact of small shocks that create big problems
From Yale economists Gary Gorton and Guillermo Ordoñez comes an important, albeit highly technical, paper entitled “Collateral Crises.” The idea of the paper is to look at how crises get…Read More
Along with our commentary on the risky role of CCPs in the failure of MF Global, we also recognize that CCPs really are the next too big to fail institutions…Read More
Basel III LCR rules may change, allowing corporates and equities. Nestle debt looks a whole lot better than Portugal.
The irony of sovereign debt being used for Basel III Liquidity Coverage Ratios (LCR) yet becoming more risky by the hour from a credit perspective is coming home to roost.…Read More
Today’s news of coordinated action by the major central banks to reduce the cost of FX swaps by 50bp and extending the program’s authorization until February, 2013 certainly captured the market’s…Read More
Satyajit Das, author ‘Extreme Money: The Masters of the Universe and the Cult of Risk’ talks to the FT on CCPs
Satyajit Das , the author of recently published ‘Extreme Money: The Masters of the Universe and the Cult of Risk’ has been giving interviews in support of his book. We think…Read More
We can commiserate with ISDA in their post ”Sad Proof” dated November 7th complaining that the New York Times article entitled ”Sad Proof from Europe’s Fallout” pinned the fall of MF…Read More
The European sovereign debt crisis has any number of knock-on effects to the financial markets, but one we are interested in is the uncollateralized exposure on swaps. Sovereign exposure is…Read More