MFA Comment Letters

Topic: hedged portfolios

MFA Submits Comment Letter in Response to Basel-IOSCO’s Consultative Document on Margin Requirements for Non-Cleared Derivatives09.28.12


MFA submitted a comment letter to the Working Group on Margining Requirements (WGMR) of the Basel Committee on Banking Supervision […]

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Topics: asset classes Basel Committee on Banking Supervision, best practices, bilateral exchange, bilateral exchange of variation margin, buy-side firms, CCP, CDS, CDS spreads, central clearing, central counterparty, CFTC, cleared derivatives, clearing, clearing house, commodities, Commodity Futures Trading Commission, concentration limits, correlated financial instruments, cost mitigation, credit, credit default swap, credit risk, cross-product master netting agreements, currency, custodian accounts, delta, Denominated in G7 Currencies, derivatives, derivatives markets, diversification, Dodd-Frank Act, eligible collateral, equities, EU, Eurodollar futures, European Union, financial instruments, foreign exchange, forwards, G7, haircuts, harmonization, hedge, hedge funds, hedged portfolios, implementation timeline, initial margin, interest rates, International Organization of Securities Commissions, International Swaps and Derivatives Association, IOSCO, ISDA, liquidation, liquidity, liquidity characteristics, liquidity costs, liquidity mechanism, major swap participants, mandatory clearing, margin, margin requirements, margin threshold, margining, market advantage, market infrastructures, market liquidity, market participants, market practices, market value, minimum transfer amount, MTA, mutually offsetting transactions, netting, non-centrally cleared derivatives transactions, non-cleared derivatives, non-cleared interest rate swaps, non-compliance, notional value, novating parties, novation, novation arrangements, over-collateralization, party stepping in, party stepping out, phase-in period, portfolio margining, Portfolios, prudential regulators, prudentially regulated financial counterparties, quantitative impact study, re-hypothecation, Regulators, regulatory arbitrage, regulatory authorities, remaining party, replacement transaction, repurchase agreements, risk characteristics, risk management, risk offsets, risk profile, risk/reward profile, segregated account, segregation, SIFI, standard practice, swap dealers, swaps, systemic importance, systemic risk, systemic risk level, systemically important, systemically important non-financial firm, third-party segregation, transparency, two-way margining, U.S. Treasury futures, uniformity, United States, unlevel playing field, unsecured credit extension, variation margin, Working Group on Margining Requirements,

MFA Submits Comments to ESMA on Short Selling and Sovereign CDS03.09.12


MFA submitted comments in response to ESMAs public consultation on possible delegated acts concerning the Regulation on short selling and […]

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Topics: aggregation of positions AIFMD, Alternative Investment Fund Managers Directive, anti-avoidance provision, anticipated correlation, asset managers, Austria, bank name CDS, Belgium, BNP Paribas, broad-based indices, buffer periods, Buttersworth Journal of International Banking and Financial Law, CDS transaction, central clearing, CESR, civil law, clearing house, consolidated accounts, contract of insurance, convertible bond positions, convertible bonds, convertible debt, convertible debt securities, corporate bonds, correlation test, credit default swap, credit protection, credit quality, debt instruments, default risk, delegate, delta adjusted method, derivative instrument, disaggregation, emergent systemic risk, ESMA, ETF, EU Member State, European Securities and Markets Authority, Eurostoxx, eurozone, Financial Agency of Spain, financial institutions, financial instrument, forward rate agreement, France, FSA, fund management activities, future, Greece, group, hedged portfolios, holding a share, ICO, illiquid shares, indices, indirect exposures, Instituto de Credito Oficial, insurable interest, interest rate swap, interest rates, intra-Member State correlation, Ireland, IRS, IRS curve, issued share capital, Italian CDS, Italian CONSOB, Italian lira, Italy, legitimate market operations, Leonard Ng, Level 2 process, liquid market price, listed securities, long positions, margin level, market participants, Markit iTraxx SovX Western Europe Index, maturity bucket, Member State regulator, Ministry of Economy and Finance, money market instruments, narrow-based indices/baskets, natural or legal person, net short positions, netting, notional basis, option, OTC instruments, pan-European short selling disclosure regime, Portugal, proprietary models, publicly available information, quantitative threshold for high correlation, RBS, redenomination, reference asset, Regulation on short selling and certain aspects of credit default swaps, Secretariat of State for the Economy, sector-specific, securities law, sensitivity adjusted method, severe market turmoil, short sale, short selling, short selling bans, Societe Generale, sovereign bonds, sovereign CDS, sovereign CDS transactions, sovereign debt, sovereign issuer, Spain, static or dynamic hedging strategy, subordinated debt, supra-national European body, swap, tail risk, tail risk hedging, threshold of liquidity, trust preferred securities, UCITS, UK Financial Services Authority, uncovered credit default swap, uncovered position, uncovered short sales and credit default swaps, underlying shares, yield curve,
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