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Isda sets two options for Libor fallback spread
Historical spread adjustment to be based on five-year median or 10-year mean
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”
Mid-sized US banks’ LCRs vary
Average ratio of 15 non-systemic lenders was 135% at end-June
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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
How collateral scarcity reshaped the US yield curve
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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?