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No clearing sweeteners for European SSAs, argue dealers
As public entities eye CCP membership, dealers warn of heightened risk exposure from support waivers
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Risk Quantum
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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
LCR rises for EU banks in Q1, but liquidity strategies diverge
Eurozone banks are still hoarding liquidity, but as vaccines take effect a rethink may be needed
Editors' choice
Page 19901: the benchmark that time forgot
CFTC probe into swap price rigging revives the ghosts of Libor manipulation
Big Figure
Time for action
Late or insufficient action to tame climate change could significantly affect some of the main benchmark rates, the Bank of England projected in its 2021 biennial exploratory scenario (BES) exercise. The BES considers two pathways to net zero greenhouse gas emissions: an early action (EA) and a late action (LA) scenario. It also includes a no additional action (NAA) scenario. Under the LA scenario – where governments rush to reach a 2050 net-zero target in just two decades – the sterling overnight interbank average rate (Sonia) is expected to plummet from a projected annual average of 85 basis points in 2030 to just 6bp the following year as policies are suddenly implemented. Under the same scenario, the secured overnight funding rate (SOFR) would drop from a projected annual average of 83bp to 11bp.
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Derivatives
No clearing sweeteners for European SSAs, argue dealers
As public entities eye CCP membership, dealers warn of heightened risk exposure from support waivers
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