Euro
EU firms run the most euro swap risk – Eurex exec
LCH data shows trades with at least one EU counterparty make up a quarter of volumes, but German CCP claims EU firms run more risk
Repair the leverage ratio, revive the repo market
Domestic currency government bonds and repo should be exempted, suggests former supervisor
Brexit drives swaps trading to US platforms
Lack of equivalence forces dealers to shift euro and sterling swaps out of European and UK venues
US election scenarios: meltdown fears if poll contested
Crowd-sourced election scenarios show sharp falls and correlation breaks if Trump challenges results
Covid scenarios, pt II: apocalypse how?
Second crowd-sourced scenario exercise reveals polarised views in equities and FX
Non-cleared euro swaps market wrestles with discount rate switch
Buy-siders prepare for valuation change from move to €STR
Slump in €STR swap volumes at LCH leaves market guessing
Market participants are counting on July 27 discounting switch to revive key euro benchmark
SocGen’s digitised bond passes settlement test
Banque de France-backed deal pips private consortiums in dummy run for digital currency trades
Risk-free rates may fail liquidity test for hedge accounting
Experts fear trades referencing SOFR and €STR will not be eligible for hedging relief
Swaptions compensation method divides market
US and European firms back redress payments, but disagree over how they would work
Too much regulation of spot FX could hurt European markets – MEP
A sub-section in the Markets Abuse Regulation could be sufficient oversight, says Ferber
IFRS 17 – Preparing for the transition
This webinar explores the key elements of the International Financial Reporting Standards, the key challenges of implementing the systems and related data issues, and how the regulatory landscape may look post-implementation
Discounting delay risks swaptions mess – Eurex
Swaptions hurdles seen as yet another reason to keep June €STR switch date
Dollar funding squeeze eases after March madness
Fed action helps restore equilibrium, leaving fears of quarter-end crunch unfounded
Virus turmoil threatens swaps discounting switch
Clearing houses expect deadlines to be met, but swaps users are not so sure
FX vol revived by Covid-19 – but for how long?
Traders split on whether virus impact, or central bank responses, will prove most powerful
India exchange to debut rupee derivatives settled in US dollar
Launch of onshore futures and options unlikely to dent offshore volumes, though
Dealers turn to mid-cap and EM deal-contingent trades
Premiums of more than 25% are attractive to banks battling low vol and increasing competition
FX options volumes surged last week amid market panic
USD/JPY options traded volumes highest since at least the start of 2018
Dealers cast doubt on swaptions compensation plans
Redress scheme for victims of post-Libor valuation change may fail due to “cherry-picking” fears
Who killed FX volatility?
Beyond central bank policy, traders see a range of hidden structural factors at work
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
ICAAP/ILAAP – What’s new and what’s next?
The European Central Bank’s ICAAP and ILAAP guidelines aim to harmonise European banks’ approach to capital and liquidity management
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…