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Latest on Derivatives
First Ameribor bond bolsters SOFR alternative
Signature Bank sets sub debt milestone for aspiring Libor replacement; swaps expected to follow
Euro inflation CCP basis expected as Eurex taps buy side
First crop of Eurex inflation swaps trade flat to LCH, but traders predict four-basis point difference as activity builds
Asic to weigh in on Libor transition conduct risk
Australia’s markets regulator will publish guidance on firms' conduct obligations in move to RFRs
Latest
Quotes
You cannot have TRY/JPY butterflies that low with TRY/USD flies that high, it didn’t make any sense at all
London-based FX options trader
The problem is the MTF rules are crafted quite generally, and I think there can be some ambiguity
Steven Burrows, senior associate at law firm Fieldfisher
What the IASB indicated in that October Libor paper isn’t what we’ve done in practice today at all
Jessica Taurae, partner at PwC
Editor's Choice
Dealers eye model change to cure CVA capital headache
With hopes of EU regulatory carve-out fading, some banks are taking matters into their own hands
Big Figure
Soaring spreads
As funding stresses grew in mid-March, investors liquidated bond holdings in a dash for cash. As a result, asset swap spreads jumped significantly. For instance, the asset swap spread on JP Morgan’s 4.62% bond maturing in May 2021 jumped from 14.37bp on January 17 to a peak of 607bp on March 20, before ending the quarter at 123bp
Read the full article7 days in 60 seconds
Covid bank tests, swap fix deferred and SOFR switch
The week on Risk.net, October 17-23, 2020
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Swaps data: initial margin soars in Q1 2020
Beware of cliff edge in Libor fallbacks
Our Take
Time to rethink Korean structured products
‘Big bang’ sends basis swaps on roller-coaster ride