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Latest on Derivatives
Fed’s Quarles critical of opaque Libor data
ARRC chair Sandra O’Connor also questions IBA transparency
Trade war threatens Korea autocall losses
Dealers warn of $240 million in hedging losses if HSCEI index slides further
First SOFR swaps trade as banks test new benchmark
First OTC trades include two basis swaps and an OIS trade, with JP Morgan thought to be a counterparty
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
The sharing economy comes to banking
A start-up some are calling the Airbnb of capital is bringing a Silicon Valley idea to Wall Street
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
Swaps data: the big get bigger in cleared swaps
Swaps data: the allure of liquidity
Our Take
‘People who bought this swap also bought Apple’
Putting swaptions pricing in the fast lane