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CME asks clients about changing implied UST futures coupon
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
Strengthening supervisory co-operation in derivatives markets
Heath Tarbert and Jon Cunliffe set out a framework for regulating the global derivatives markets
Covid policy risk hangs over bank stress tests
Banks and regulators are second-guessing the policy response to new outbreaks
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Risk Quantum
Data insights, delivered daily
Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
Editors' choice
Europe’s clampdown on fund outsourcing chills market
Esma proposals spark worries AIFMD review could wreck existing delegation models
Big Figure
Watermark down
Initial margin (IM) held by top central counterparties (CCPs) fell back from the high watermarks hit at end-March over the second quarter, with holdings of cash collateral dropping the fastest. IM held by the 10 large CCPs tracked by Risk Quantum hit $1.25 trillion at the end of the first quarter. Three months later, though, the total was down 10% at $1.12 trillion. IM held in cash at central bank accounts amounted to $215.7 billion at end-June, down 23% from $279.2 billion three months prior.
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7 days in 60 seconds
Big bangs, FinCEN leak and prime exodus
The week on Risk.net, October 10–16, 2020
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