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Latest on Derivatives
Volatility becalmed, trade in forex options plummets
With central banks in tandem on policy, market churn has lessened considerably, and trading as well
Banks step up stress-testing of Hong Kong dollar peg risk
Flurry of forex options trades makes banks re-evaluate exposures
Euribor fallbacks could hit thin legal ice
In Italy and Germany, compound interest – the foundation of Euribor fallbacks – is actually illegal
Latest
Quotes
The concept of pure bid/offer is evaporating in terms of the ability to say ‘on this ticket, we’re making this much'
Nirubhan Pathmanabhan, co-head of global interest rate product trading at Goldman Sachs
CDSs are there to do a job in a credit event, and if they stop doing that, it creates a negative perception of the product
Adeel Khan, global head of credit at Barclays
All banks need to be more efficient, so when you have a player that’s as dominant as Ion it’s a worry for everyone
E-commerce specialist at one bank
Editor's Choice
Banks team up for ‘Ion replacement’ project
Consortium weighs building fixed income software in potential threat to Ion, the dominant vendor
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 article7 days in 60 seconds
Zombie Libor, climate risk flaw, Mifid’s closed door
The week on Risk.net, December 7–13
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Swaps data: third-quarter clearing volumes increase across all asset classes
Swaps data: CCPs – a systemically important market infrastructure
Our Take
Hedging rate exotics, Bergomi-style
MVA taking the long road to acceptance