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Latest on Derivatives
CDS fix seeks support for January lift-off
Manufactured defaults protocol opens on September 13, forcing users to consider valuation impact
Libor takes a back seat as insurers await regulatory clarity
Eiopa silence on discount curves holds back transition plans
LCH sets €STR swap clearing launch date
Clearing house to offer the swaps from October 21, discounted at Eonia
Latest
Quotes
We stopped offering a lot of structured products payoffs because we feel uncomfortable selling them with misleading Kids
Senior structurer at a major dealer
Natixis was very innovative in gaining market share ... [but] they found an innovative way to lose money
Hong Kong-based structuring head at a rival dealer
When people get smacked across the head a few times, they tend to prep a bit more or even over prep
Head of treasury at a European bank
Editor's Choice
Dealers consider ditching FRAs prior to Libor’s death
Forward rate agreements won’t work with backward-looking rates; banks explore single period swaps instead
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
How collateral scarcity reshaped the US yield curve
Swaps data: Fed’s change of tack on rates fuels volume rise
Our Take
Why Asia is so desperate for a term SOFR
The machines are coming for your pricing models