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Quotes
Electronic trading saw a breakdown in functionality during the height of the volatility spike
Jason Fromer, Manulife Investment Management
Some clients will show a side like, ‘I’m looking for left-hand-side euro/US dollar’... What we saw was very sharp market impact
Al Saeed, Citi Velocity
The industry needs to be able to demonstrate that we can transition to new benchmark rates in a way that’s fair for market participants, and that it does not result in arbitrary value transfer
Jonathan Campbell, Credit Suisse
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Two quants use options pricing tools to model Covid-19
New tool aims to gauge wider cost of virus control measures
Big Figure
Margin calls the shots
Investment funds made over €10 billion ($11 billion) in variation margin (VM) payments to derivatives counterparties in the week beginning March 16, up from an average of €2 billion a week throughout the first half of February, partial data from the European Central Bank shows. The absolute value of VM payments that week was likely far higher, and could have peaked at €40 billion on March 16. The ECB estimates rely on data gathered under the European Markets Infrastructure Regulation, which is spotty.
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Climate charges, CCP contagion and the post-Libor world
The week on Risk.net, May 23-29, 2020
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Comment
Collateral must be part of monetary policy equation
Negative oil prices put spotlight on investors
Our Take
Libor deadlines – the dominoes start to fall
Full stream ahead for bonds