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An interest rate cap is essentially an insurance policy on a floating-rate, most frequently 1-month LIBOR. It has three primary economic terms: notional, term, and strike rate.
Ensuring an effective, compliant hedging program means assessing both visible and hidden costs across all hedging activities, including strategy and pricing, legal and regulatory, and accounting.
Swap fee, credit charge, mark up...it has many names, but do you know the price before you go to closing?
Considerations for LIBOR Alternatives in Loan Documentation
Chatham Financial covers some of the issues that should be considered as market participants prepare for the unavailability of LIBOR and the resulting impact on loans and derivatives.
REITs should prepare for likely transition from LIBOR
Gavin Duckworth, director of hedging and capital markets at Chatham Financial, participated in a video interview at REITwise 2018, Nareit’s Law, Accounting & Finance Conference in Hollywood, Florida.
Treasurers: What Your Team Needs from a Treasury Risk Management System
Treasurers, whether you know it or not, your team is beset with dangers. They are already a lean team doing more than their fair share of work, managing cash and risk and other important missions.
If you are in the process of researching treasury systems for your team, you are likely spending time considering what your accountants need.
Learning Curve: The Promise and Perils of Deal-Contingent Hedging
Deal-contingent hedging can be a great way to hedge risks associated with mergers and acquisitions, but a number of pitfalls can flummox first time users of these specialist derivatives.
Working on a lean treasury team can be a difficult job. The large number of areas that have to be covered and the amount of information that needs to be gathered, analyzed and understood is daunting.
A Vine Copula–GARCH Approach to Corporate Exposure Management
Our results suggest that, while more traditional models may be adequate to capture either tail behavior or dependence adequately for a given portfolio at a given time, vine–GARCH models more...
The State of Play on Derivatives Regulation
The State of Play on Derivatives Regulation Now more than a year since a new Presidential administration took residence on Pennsylvania Avenue, consequential changes to derivatives laws are...
Increase Your FX Penetration and Better Serve Customers
About 95% of bank accounts outside the US are denominated in some currency other than USD. Yet the percentage of wires going to international destinations in a foreign currency is in single digits.
A Practical Guide to Using Receive-Fixed Interest Rate Swaps to Reduce Asset-Sensitivity
Banks use several techniques to convert some of their asset-sensitivity to current period earnings. Traditional non-derivative approaches take time and can create capital implications for the bank.
Derivatives: Deal-contingent hedgers set sights on infrastructure
Derivatives: Deal-contingent hedgers set sights on infrastructure January 3, 2018 “There is a complication,” says Conly. “It is one thing if the hedge is for a standard sale and purchase...
Regulators have indicated that a financial institution desiring to conform its loan level hedging program to a permitted form of proprietary trading should pursue the market making exemption.
NeuGroup FXMPG Summit 2018
NeuGroup FX Summit, hosted by Chatham Financial, discussed new hedge accounting policies and FX management implications of U.S. tax reform.
Crypto Token Financial Risk Management: Analogy
Looking at bitcoin through the historical view of traditional commodity markets.
A Return to Emotional Hedging?