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Latest on Derivatives
New Tradeweb/IBA benchmark tipped as ‘competitor’ to SOFR
Forward-looking risk-free rate aimed at US mortgage market could have broader applications
Indonesia eyes netting changes to enable derivatives CCP
Central bank says legal amendments will pave way for locally cleared NDFs and interest rate swaps
Swaption compensation consensus proves elusive
ECB-sponsored recommendations fail to rally market behind compensation exchange solution
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
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Covid liquidity, block trades and Fed op risk
The week on Risk.net, August 1-7, 2020
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Our Take
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