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Archive for: May, 2012

Kathleen Tyson-Quah - Granularity Ltd - London | 16/05/2012 | 2295 views | 1 comment

Repo and OTC Derivatives as Financial Crisis Accelerators

Following links a few days ago led me to a fascinating journal article by Professor Mark Roe of Harvard Law School. He suggests that the preferential treatment of OTC derivatives and repo collateral transfers in advance of bankruptcy skews incentives to make the financial system much more leveraged and more risky than it would be otherwise. The t... Tags: Trade execution

Gary Wright - BISS Research - London | 15/05/2012 | 2191 views

Collateral liquidity

The markets are struggling today with collateral management as never before. The fragmentation of market infrastructures, volatility in markets, increased margining requirements and counterparty risk requirements are all sucking in quality collateral, leaving the dregs to be shared throughout the market, leaving financial services firms to either p...

Kathleen Tyson-Quah - Granularity Ltd - London | 14/05/2012 | 2636 views

Initial Margin: Theory and Practice

The news that the CME CCP will be accepting corporate bonds and that LCH-Clearnet will accept RMBS for initial margin has me thinking about the dangers of demutualisation of clearing houses. Managements of shareholder owned clearing houses are keen to compete for market share and volume to increase revenues, bonuses and profits (not necessarily in... Tags: Trade execution

Gary Wright - BISS Research - London | 14/05/2012 | 1783 views

Payment convergence

T+2 is due in 2015 in Europe, and the USA are already investigating T+1, so it looks inevitable that shortening the settlement cycle is well and truly on the development map. Regular readers will know my views on this so I won’t go over already trodden ground, but the operational issues to achieve T+ whatever has to be addressed and a key is ...

Kathleen Tyson-Quah - Granularity Ltd - London | 13/05/2012 | 2121 views

Are CCPs Increasing Risks? Part IV - With Slides!

The Post Trade Forum debate on Are CCPs Increasing Risk? was held at the London Stock Exchange [a couple weeks ago]. Cheers, Gary, for letting me take part in such a fun event! My slides are available to download here: Are CCPs Increasing Risk? Short story is that I see rising risks from mandatory margin of OTC derivatives with CCP fragmentation,... Tags: Trade execution, Risk & regulation