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TMX backs down on blanket margin hike after members revolt
Canadian CCP will review methodology and apply margin multipliers at the product level
Banks fear time-limit on Fed leverage ratio reprieve
Capital constraints not covered by relief also weigh on balance sheet strategy
Lloyds and Riverside rehitch revolving loan to Sonia
£100m Sonia facility overcame late operational hurdles to be among the first done since the onset of coronavirus
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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
RBS exits listed derivatives trading and clearing
Clients served eviction notices last week as bank moves to downsize NatWest Markets unit
Big Figure
SOFR, so bad
Some US Treasury repos used to calculate the secured overnight financing rate (SOFR) transacted at negative rates on March 27 and March 30, meaning certain traders were paid to borrow cash. On March 27, a sliver of transactions – in the first percentile of the volume-weighted distribution of SOFR-eligible repos – traded at -0.01%, and on March 20 at -0.02%, the lowest since the benchmark started printing in April 2018.
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RBS, dividend curves and system failures
The week on Risk.net, March 28-April 3, 2020
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