Tag Archives: collateral

Comparing Collateral Segregation Regimes for Uncleared Swap Margin

The proposed margin rules from the CFTC and the prudential regulators, when considered alongside the existing CFTC collateral segregation rules, present the potential for three different collateral segregation regimes applying to initial margin posted to a swap dealer. To compare the differences, we have created a chart of the three collateral segregation regimes.… Continue Reading

ESMA Updates its Collateral Diversification Rules for MMFs

By Todd Zerega and Tom Watterson On December 20, 2013, the European Securities and Markets Authority (“ESMA”) proposed a revision (the “Proposed Revision”) to the collateral diversification requirements in the Guidelines on ETFs and other UCITS issues (the “Guidelines”). The Guidelines included a requirement that UCITS diversify the collateral held under “financial derivative transactions,” including repos, by … Continue Reading

ESMA Collateral Diversification Rules with Respect to Repo May Hamper Operation of Government MMFs in Europe

By Todd Zerega and Tom Watterson In December of 2012, the European Securities and Markets Authority (“ESMA”) adopted Guidelines on ETFs and other UCITS issues (the “Guidelines”) that included a requirement regarding the diversification of collateral held for derivatives and repos. Section 43 e) of the Guidelines requires that UCITS diversify the collateral held under … Continue Reading

Financial Stability Board Issues Final Policy Recommendations for Securities Lending and Repos and Proposes for Further Comment Minimum Haircut Levels

By Todd P. Zerega and Sarah L. Eddy In November 2012, the Financial Stability Board ("FSB") published policy recommendations for addressing financial stability risks in the securities lending and repo markets. On August 29, 2013, the FSB issued final policy recommendations with respect to certain of the November 2012 policy recommendations and reproposed policy recommendations … Continue Reading

The Coming Documentation and Collateralization of TBAs and Delayed Delivery MBS Trades? Behold the MSFTA

In mid-November, the Treasury Market Practices Group (“TMPG”) of the New York Fed recommended that forward-settling agency mortgage-backed securities (MBS) be margined in order to prudently manage counterparty risks.  The TMPG has encouraged market participants to COMPLETE the implementation process by EARLY JUNE 2013. The TMPG collateralization recommendation was issued as part of broader set of best … Continue Reading

“Mitigating Collateral Damage: Current Themes in Managing and Mitigating Counterparty Credit Risk for OTC Derivatives”: A BNY Mellon InteDelta 2011 White Paper

On January 24th, BNY Mellon and InteDelta issued a white paper entitled, “Mitigating Collateral Damage: Current Themes in Managing and Mitigating Counterparty Credit Risk for OTC Derivatives”  The publication can be accessed by clicking here. In the white paper, BNY Mellon and InteDelta discuss the results of their survey of a number of U.S. and European asset … Continue Reading

Reminder: Public Meeting November 19th – Fifth Series of CFTC Proposed Rules

 WHAT: CFTC to hold Public Meeting on Fifth Series of Proposed Rules. Topics to be discussed: 1) Swap data repositories 2) Real-time public reporting of swap transaction data 3) Protection of collateral of counterparties to uncleared swaps, and treatment of securities in a portfolio margining account in a commodity broker bankruptcy 4) Data recordkeeping 5) Issuance of … Continue Reading

The 2nd Half Report from the CFTC Roundtable on Individual Customer Collateral Protection

The second half was all about costs – how will increase and who will pay for those increases. An hour’s worth of very good and technical discussion about the of mutualization of losses. Issues discussed were: Use of initial margin vs. increases to a guarantee fund vs. doing both Making independent seg optional vs. mandatory … Continue Reading

A Half-Time Report from The CFTC Roundtable on Individual Customer Collateral Protection

This roundtable is now on break and here is the half-time report. BUYSIDE COMMENTS: Not all clients choose tri-party control agreements, but those who do understand that there are incremental costs and are willing to pay those incremental costs. The re-tooling of the market as a result of movement from bi-lateral to cleared OTC markets … Continue Reading

SPOT FX: Say What You Mean, Mean What You Say

Sometimes you run into an issue that is so blatantly obvious -and with such great frequency – that you say to yourself, “I have got to be seeing ghosts – this can’t really be an issue, can it?” The definition of what constitutes “Spot FX” is one of these issues that is on our minds today … Continue Reading