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Latest on Derivatives
Tighter RMB rates basis brings new hedging opportunities
Increasing alignment between CNH and CNY benchmarks opens door to more cross-currency hedging by foreign lenders
Citi turns to decrement indexes for single-stock autocalls
US bank claims new Stoxx indexes for 23 single names will slash hedging costs and boost coupons
Credit Suisse held just 10% margin against Archegos book
Swiss bank gave family office 10 times leverage, compared with four or five times at Goldman
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
CME looks to life after Eurodollars, as rivals circle
Eurodollar futures will die with Libor but there is no obvious ready-made replacement
Big Figure
Bond exodus
Liquidity in Treasuries saw a sharp deterioration on February 25, with bid/offer spreads across the whole curve tripling. Belly flies such as 2/5/10s cheapened over 17bp, seven times greater than in a typical session. This had a knock-on effect on off-the-run Treasuries. The head of rates at a US buy-side firm says one popularly traded deep off-the-run 30-year bond that regularly trades two ticks wide blew out to 12-13 ticks wide on February 25.
Read the full articleRegulation
Swipe left: repo reporting no match for Brexit, or collateral
A happier start than Emir, but SFTR honeymoon is over now that trades report separately in UK and EU
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Government bond swaptions and how they might work
My kingdom for the right copula
Our Take
A look at future exposures, through a 19th century lens
Putting the H in XVAs