Risk.net
Latest on Derivatives
Dollar funding squeeze eases after March madness
Fed action helps restore equilibrium, leaving fears of quarter-end crunch unfounded
How carbon-cutting Drax manages currencies and credit
Interview: UK power giant uses option selling – and other tactics – to create hedging headroom
Dividend delays upend pricing of Eurostoxx futures, options
Investors that rolled futures contracts before companies axed AGMs “could have lost a lot of money”
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
Morgan Stanley FX loss leaves ill-feeling, questions in wake
Options traders saw odd quotes by US bank months before losses were publicised
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
Pandemic disruption, alt data and Argentinian rates problems
The week on Risk.net, March 21–27, 2020
Receive this by email
Comment
Swaps data: cleared volumes drop for all markets – except FX
Signing the Libor fallback protocol: a cautionary tale
Our Take
Secrets and Libor fallbacks
EU compounding confusion creates headaches for banks