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Latest on Derivatives
Sterling option volatility spikes on Brexit deal news
Trading reaches crescendo on Friday; insiders warn of further volatility
Podcast: Mats Kjaer on how trades affect the balance sheet
Bloomberg quant has developed a balance-sheet model for XVA pricing
UK swaps carrot for stick in Libor switch
BoE committee mulls policy action, which could include capital hikes on Libor exposures
Latest
Quotes
There is some uncertainty on how volatilities should be on [Sonia] instruments compared to Libor swaptions
Sabri el Jailani, global head of rates options trading at Barclays
Brexit uncertainty caused marginal receiver flow to shift to Eurex and that’s what drove the basis
Euro rates head at a US dealer
If [FX dealing] disclosures aren’t publicly available then it doesn’t really pass the smell test
James Binny, global head of currency at State Street Global Advisors
Editor's Choice
Libor switch spells trouble for loan systems
Lenders face costly updates to ageing legacy platforms to cope with new risk-free rates
Big Figure
Margins of error
Clearing house CME reported two margin breaches totalling $79 million in the first quarter of the year. The CME attributed the shortfalls to increased volatility, without identifying either the parties or the positions involved. The bigger of the two breaches, $47 million in size, was the largest since public disclosure began in 2015.
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Comment
Swaps data: are the new RFRs on track to replace Libor?
How collateral scarcity reshaped the US yield curve
Our Take
UK swaps carrot for stick in Libor switch
Why Asia is so desperate for a term SOFR