MFA Comment Letters

Topic: over-collateralization

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 Letter to ESMA on Draft Technical Standards on OTC Derivatives08.05.12


MFA submitted a comment letter to the European Securities and Markets Authority (“ESMA”) in response to its Consultation Paper on “Draft Technical […]

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Topics: "delta" hedge administrator, affiliated market participants, agency basis, Asia, back testing, Basel Committee on Banking Supervision, Basel III, bespoke non-cleared trades, bilateral counterparty credit risk, bilateral non-cleared OTC derivatives transactions, capital, CCP, CCP governing bodies, CDS, central clearing, central counterparty, CFTC, clearing member, client protections, close-out, collateral, Commodity Futures Trading Commission, compliance, confidence interval, conflicts of interest, contractual relationship, Council of the European Union, counterparty risk, coupon, CPSS-IOSCO, CPSS-IOSCO standards, credit default swap, credit institutions, credit risk, Cross-Border, currency, Dealer, debt-security based swaps, default, default fund, Derivative Contracts, derivatives, derivatives contracts, direct client, Dodd-Frank Wall Street Reform and Consumer Protection Act, duplicative regulation, EMIR, ESMA, EU, EU Member State, Euro, Europe, European Parliament, European Securities and Markets Authority, European Union, execution, extraterritorial application of EMIR, extraterritoriality, fiduciary duty, financial instrument, floating rate payment, foreign exchange, gross basis, hedging, in-the-money swap, index, indirect clearing, indirect client, initial margin, interest rate derivatives, interest rate swaps, interlocking governance arrangements, internal controls, International Organization of Securities Commissions, interpretive guidance, IOSCO, LCH Clearnet, Lee Underwood, liquidation horizons, liquidity fragmentation, major swap participants, margin, margin requirements, margin valuation, market participants, maturity, money market instruments, mutual recognition, negative correlation, net basis, netting, non-cleared OTC derivatives, non-linear products, omnibus account, OTC derivatives, OTC derivatives market, OTC derivatives transactions, over-collateralization, over-the-counter derivatives, portability, portfolio compression, portfolio reconciliation, posted collateral, principal basis, Proprietary Trading Strategy, proprietary trading tools, public disclosure, Regulators, regulatory arbitrage, regulatory technical standards, risk committee, risk management, risk management framework, risk mitigation, risk profile, SEC, Securities and Exchange Commission, security-based swaps, segregation, self-regulatory organization, settlement prices, SRO, Stan Ivanov, straight-through processing, stress testing, swap dealers, swaps, systemic risk, third country regime, total return swaps, trade repositories, trading costs, trading venues, transaction fees, transparency, upfront payment, variation margin,

MFA Submits Comments to European Supervisory Authorities in Response to Joint Discussion Paper on Risk Mitigation Techniques04.02.12


MFA submitted a comment letter to the European Supervisory Authorities in response to their Discussion Paper on Draft Regulatory Technical […]

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Topics: assurance undertakings asymmetry, bankruptcy-remote, Basel Committee on Banking Supervision, Basel II, Basel III, Basel rules, best practices, bilateral arrangements, bilateral exchange, bilateral initial margin arrangements, buy-side firms, capital, CDS, central clearing, CFTC, collateralization, Commodity Futures Trading Commission, competitive advantages, counterparty credit risk, covered swap entities, credit default swap, credit exposure, credit institutions, creditworthiness, current market practice, daily valuation of collateral, de minimi exception, deep and liquid markets, derivatives markets, discriminatory distortions, dispute resolution procedures, due diligence, eligible collateral, EMIR, ESA, ESMA, EU, Eurodollar futures, European Banking Authority, European Commission, European Insurance and Occupational Pension Authority, European Securities and Markets Authority, European Supervisory Authorities, European Union, exposures, haircuts, hedging, highly correlated assets, incremental compliance costs, independent third party custodian, initial margin, insolvency estate, institutions for occupational retirement provision, insurance undertakings, interest rate swap, internal model method, internal models, international harmonization of regulations, intraday change, investment firms, Joint Committee of the European Supervisory Authorities, legally required transparency, liquidity, major swap participants, margin, margin calculations, mark-to-market, market transparency, net margin, netting, NFCs+, non financial counterparties above the clearing threshold, non-cleared derivative contracts, non-cleared derivatives, non-cleared OTC derivatives, non-financial assets, non-prudentially regulated financial counterparties, NPRFC, OTC derivatives, over-collateralization, over-the-counter derivatives, party-specific variables, perceived systemic relevance, physically-settling forwards, posting party, PRFC, prudential regulators, prudentially regulated financial counterparties, receiving party, regulatory arbitrage, reinsurance undertakings, repurchase agreements, revaluation, risk mitigation techniques, risk-based margin requirements, security lending agreements, segregated account, segregation, segregation of counterparty assets, segregation regime, standardized method, substantial counterparty exposure, substantial position in swaps, systemic importance, tri-party custodial arrangements, uncollateralized, uniformity of application, variation margin,

Comment Letters to Prudential Regulators on their Proposed Rules for Margin and Capital Requirements for Covered Swap Entities07.11.11


MFA submitted a comment letter to the Prudential Regulators in response to their notice of proposed rulemaking on Margin and […]

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Topics: "too big to fail adverse pricing, asset class, Ben S. Bernanke, bilateral exchange of variation margin, Board of Governors of the Federal Reserve System, call option, capital charge, Capital Relief for Cleared Swaps, central clearing, central clearinghouse, CFTC, cleared swap transactions, clearing eligible, Commodity Futures Trading Commission, commodity swaps, consistency, counterparties, counterparty risk, covered swap participants, credit default swap, cross-product netting agreements, CSEs, customized transactions, DCO, delivery of margin, derivatives clearing organizations, equity swaps, Eurodollar futures, Farm Credit Administration, FCM, FDIC, Federal Deposit Insurance Corporation, Federal Housing Finance Agency, financial entity counterparties, five-day time horizon, funding costs, futures commission merchant, Gary Gensler, House Committee on Financial Services, illiquid security, indirect transmission, interest rate swap, interest rate swaps, liquidation value, liquidity, major swap participants, mandatory clearing requirements, minimize risk, multi-lateral netting agreements, non-cash collateral, non-cleared commodity options, Notice of Proposed Rulemaking on Margin and Capital Requirements for Covered Swap Entities, Office of the Comptroller of the Currency, operational costs, over-collateralization, paired products, pension plans, physically-settling forwards, proprietary models, referenced bond, repurchase agreements, risk management, risk reduction tool, risk-based margin requirements, robust netting arrangements, SDs, SEC, Securities and Exchange Commission, security lending agreements, security-based swaps, swap dealers, swap documents, swap markets, swap portfolio, systemic risk, ten-day liquidation time horizon, Timothy Geithner, total return swap, trading contracts, transparency, Treasury, uncleared swaps, uncollaterized swap positions, university endowments, unsecured counterparty credit risk, valuation formulas, variation margin,

Comment Letter to the SEC and CFTC on Definitions of “Swap Dealer, Security-Based Swap Dealer (together, SDs), Major Swap Participant, Major Security-Based Swap Participant (together MSPs) and Eligible Contract Participant (ECP)02.22.11


MFA submitted a comment letter to the SEC and CFTC on their joint proposed rule to further define swap dealer, […]

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Topics: abnormal price movement acknowledgment requirements, applicable MSP thresholds, asset mix, bank capital standards, capital markets, cash settled swaptions, CDS, CDS protection, central clearing, centrally cleared positions, CFTC, Chicago mercantile exchange, clearing member defaults, clearinghouse, CME, commercial hedging, commercial loans, Commodity Futures Trading Commission, counterparty domicile, counterparty exposure, credit default swaps, credit ratings, credit spreads, creditworthiness, currency based institutions, current uncollateralized outward exposure test, daily mark requirements, daily variation margin calls, daily volatility, Dealer, dealers, default risk, delta weighting, deregistration period, discount factor, ECP, eligible contract participant, end-users, feeder fund, financial counterparty, Financial Industry Regulatory Authority Inc., Financial Stability Oversight Council, FINRA, fixed downside risk, Form PF, Form PQR, FSOC, fund domicile, future exposure discount, hedge fund managers, hedge funds, high yield credit swaps, high-grade corporate securities, highly leveraged, highly liquid assets, independent amount of collateral, independent variable, index CDS, index derivatives, index reference entity, inflation, initial margin, interest rate swap, investment grade, investment-grade credit swaps, ISDA master agreements, jump-to-default risk, know your counterparty requirements, large private fund, liabilities to equity, LIBOR, limited purpose designations, liquidity, liquidity rights, longer-term leverage, Major Security-Based Swap Participant, Major Swap Participant, manager domicile, margin methodologies, mark-to-market exposure, market activity, market growth, market location, market-standard discount rate, master-feeder fund, minimum duration of status, mitigating commercial risk, msp, MSP definitions, MSP determination, MSP test, MSP thresholds, multiplier, non-ECP, non-investment grade, non-U.S. market, non-U.S. regulators., non-US domiciled fund, non-US entities, non-US securities, offshore fund, option expiration date, options on a swap, over-collateralization, overnight borrowing, physically settled swaptions, portfolio risk, potential future exposure calculation, potential future exposure test, potential systemic risk impact, Proposed Form PF section 1b, proposed form PF section 2(a), proposed form PF section 3, proposed form PF section 4, proposed Form PQR, quarters, question 11, question 27, question 38, question 47, question 5, question 68, reevaluation period, reference entity domicile, reproducible test, retail cash, Retail Forex Pool, risk factor multiplier, risk factor multipliers, risk mutualization, risk-mitigating tools, schedule B, SD, SD obligations, SEC, secured debt, Securities Exchange Commission, Security-Based Swap Dealer, security-based swaps, Senator Hagan, Senator Lincoln, short-term financing, short-term leverage, single-name CDS, smaller private fund, spread bank designation, substantial counterparty exposure, substantial position, swap rate, swap underlier, Swaps dealer, swaptions, systemic risk, systemically important, systemically important financial institution, term borrowings, threshold levels, tools of credit protection, trade verification, trading entity, traditional commodity pool, U.S. banking system, uncollateralized exposure, underlying instrument, undiversified market participant, United States financial markets, unpaid premiums, unsecured debt, upward adjustment, US entities, US Treasuries, valuation of collateral, variation margin, volatility,
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