Risk.net
Latest on Derivatives
Japan’s term RFR toil may mean bigger Tibor role
Derivatives-based methods for constructing curve challenging amid negative rate environment
Rumble in the IM jungle: how new platforms match up
After testing rival margin services, banks now have to pick a favourite – one has better tech, the other is cheaper
Libor fallbacks set to split cash and swaps
Basis could appear when benchmark dies, with swaps, bonds and loans embracing different fallbacks
Latest
Quotes
Anyone who says that as an industry we can novate all those positions from London to EU-based entities in time for go-live is wrong
Compliance director at a large US dealer
It’s idiotic. It’s absolutely insane. We get RFQs with 10-plus participants
Head of rates at one European bank
There is a chance that the reform of Euribor will be successful. In my view, in this case, contracts can continue referencing Euribor
Cornelia Holthausen, ECB
Editor's Choice
Day one of a no-deal Brexit: swaps and chaperones
Banks, trading platforms, repositories tee up EU entities – and dread the repapering crunch that would follow
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.
Read the full article
Comment
Swaps data: cleared vs non-cleared margin
Swaps data: OTC margin up; futures margin down
Our Take
Lobbing out the Clobs?
How replication simplifies pricing of vol exotics