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Isda to finalise spread mechanism for Libor fallback
Industry body consults on length of lookback period and type of average
Volume-starved SOFR leaves quant hankering for data
At T. Rowe Price, a top quant is tired of SOFR being “yanked around by the liquidity premium”
EU seeks to offer reassurance on Brexit clearing exemption
Commission can act quickly to stave off no-deal market disruption, insists official
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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
SOFR discounting switch splits Goldman and JP Morgan
CFTC committee calls on clearing houses to align timing and compensation mechanisms
Big Figure
UK interest
Dealers in the UK accounted for $3.67 trillion of the average daily global turnover of interest rate derivatives in April 2019 – 50.2% of the total. This is up from $1.2 trillion in 2016, when UK sales desks accounted for 38.8% of turnover. US dealers accounted for 32.2% of turnover, down from 40.8% three years prior. Hong Kong followed with a 6% share, up from 3.6% in 2016.
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Comment
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Our Take
When regulators become nationalists
Span 2: a fine balance
Time for a (proper) G-Sib speeding ticket
Backtesting expected shortfall: mission accomplished?