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Latest on Derivatives
BAML may rejoin China swaps market after US policy shift
Clearing exemption removes swaps deterrent as bank seeks to hedge growing China exposure
Giancarlo speech drives LCH-JSCC basis fall
CFTC chief backs US swap clearing on foreign CCPs, sparking 46% move in basis
Spotlight on auction in €114m Nasdaq clearing blow-up
Four-member auction may have turned 39% margin breach into huge default fund loss
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
Rise of the cyborgs: tech remakes the front office
Dealers “have no choice” but to change, says UBS’s Orcel – and plenty of changes are coming
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
CCPs, handling default, and cyber risk
The week on Risk.net, September 15–21, 2018
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Swaps data: OTC margin up; futures margin down
Swaps data: the big get bigger in cleared swaps
Our Take
Offshore Eonia? A weird idea for weird times
To Hull and back: a 20-year hiatus in bank e-trading plans