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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.
Editors' choice
CCP discount switch drives record SOFR swap volumes
Historic move off fed funds discounting leads to trading surge
Big Figure
Treasury trove
French bank BNP Paribas was the top commercial bank counterparty to US money market funds (MMFs) for Treasury repo at end-September, and has grown its share of this business consistently following the coronavirus-inspired market panic. US MMFs piled $1.07 trillion of cash into repo markets on September 30, of which $629.6 billion used US Treasury bonds as collateral. Funds conducted 13% of these US Treasury repo trades with BNP Paribas. This is up 11% from end-June and less than 7% at end-March. The Fixed Income Clearing Corporation was the number one trade counterparty, though, with a 22% share of the end-September total, up from 20% three months prior.
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7 days in 60 seconds
Covid bank tests, swap fix deferred and SOFR switch
The week on Risk.net, October 17-23, 2020
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