Funding and Capital Economics

2015 Annual ISLA Conference

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The international Securities Lending Association, together with the Conference Advisory Group and this year's conference Co-Chairs Mark Whipple from Goldman Sachs and Philip Morgan from Nomura International have published the conference agenda for the 24th Annual Securities Finance and Collateral Management Conference.

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Eurex Clearing CRR Netting Opinion

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Eurex Clearing has implemented documentation compatible with the market standard client clearing documents and has published UK and German Capital Requirements Regulation (CRR) opinions.

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Cross Margining of EUR IRS & Euro Fixed Income Futures

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An analysis was carried out of three relative value DV01 neutral Euro Asset Swap trades, 1) Euribor Strip versus Two Year IRS, 2) Schatz Futures versus Two Year IRS and 3) Bund Futures versus Ten Year IRS comparing the margin clearing the products at two separate CCPs to the cross margining benefits of clearing both products at Eurex Clearing. The analysis showed (see below) margin savings of between 62% and 70% by clearing both products at Eurex Clearing:

 

Byron

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OTC IRS Clearing - Cross Margining Benefits - Cross Currency versus Cross Product - What Generates The Greater Margin Savings?

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An analysis was carried out over the margin savings between cross currency / cross margining savings - in this analysis between EUR IRS and USD IRS - versus cross product cross margining savings i.e. between EUR IRS and Eurex Euro Denominated Fixed Income Futures. The analysis below showed that the Cross Product Margin Savings between EUR IRS and Eurex Euro denominated fixed income futures far outweighed i.e. margin savings up to 70% those of the cross currency margin savings.

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Increasing the Margin Period of Risk

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As the CCP market continues to expand, with clearing houses offering an increasing number of clearable securities and netting efficiencies, there is an increased focus on the fate of OTC derivatives that are as yet unclearable.

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Deluge or Drought in Liquidity Markets? | A One Day Conference on Feb 6th

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This event will address the issues of greatest concern for firms: collateral availability, strategies to comply with regulations and dispute management. 20% discount for OTCS readers, see code within this article.

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Exchange For Swaps (EFS) Facility

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Eurex Trade Entry Services' Exchange For Swaps (EFS) Facility allows for the seamless off exchange execution of the Eurex Bond Futures leg of an IRS versus Bond Futures Euro Asset Swap trade.Here is an exampe of the Eurex Trade Entry Services' EFS Facility GUI:

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Rocket Edition 2 | Downloadable PDF

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The 2nd edition of our magazine Rocket is now available to download, a bumper 68 page edition. Readers who have given their postal address should receive their copies soon.

 

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CCP IRS Switches - What Are The Benefits?

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Basis Swaps (or IRS Switches) between pairs of CCPs are increasing in volume.

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COLLATERAL TRANSFER PRICING: LESSONS LEARNED & BEST PRACTICES FOR BANKS & ASSET MANAGERS

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This report outlines a conceptual blueprint for the implementation of an effective policy for collateral transfer pricing (CTP) to improve overall efficiency in asset usage for firms

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