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Hong Kong eyes SOFR solution for term fixing
New ‘proxy’ Honia could help change discount rate from Hibor to OIS for local swaps, says HKEX
Post-crisis rules roil US cross-currency basis – IMF
EU leverage ratio causes basis spikes at quarter-ends
Barclays, IBM test quantum computing for settlement
New research suggests quantum machines will dramatically improve settlement efficiency
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Risk Quantum
Data insights, delivered daily
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
Deal misfires expose risk of contingent hedging
Banks hike premiums on deal contingent swaps amid Brexit uncertainty
Big Figure
Clear failure
LCH Ltd posted the highest number of operational failures among big central counterparties (CCPs) over the 12 months to end-June, Risk Quantum analysis shows. The London-based clearing house disclosed that core systems used for clearing failed 15 times over this period. These failings caused the systems to be offline for seven hours and 35 minutes in total. Ice Clear Europe reported seven failures, lasting a combined total of three hours and 45 minutes.
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Comment
Credit data: sustainable companies are better credit risks
Op risk data: Rogue trading costs Mitsubishi $320m
Computer says no: combating bias in machine learning models
How collateral scarcity reshaped the US yield curve
Our Take
UK swaps carrot for stick in Libor switch
Futures rise to the occasion as SOFR surges
US clearing houses need not take collateral damage from Brexit
In stress-test window-dressing, timing is everything