Last week’s default at Nasdaq Clearing in the power market, generated a lot of press, both because member defaults are few and far between events at CCPs and the fact that it coincided with the ten year anniversary of the Lehman’s bankruptcy. There are few analogies that we can draw between the two events; the […]

ESTER will be the European Risk Free Rate (RFR), following an announcement from the European working group. This means that ESTER will replace EONIA (and EURIBOR) as the most important interest rate in Europe. Pre-ESTER data is now available, including volumes. The race starts now to be the first to trade ESTER swaps! What You Need […]

My monthly Swaps Review in Risk Magazine discusses Libor and looks at derivatives volumes in the Alternative Reference Rates that have been selected to replace it. I look in detail at SOFR Futures, SONIA and EONIA Swaps. Please click here for free access to the full article on Risk.net.

It is a year since we last looked at the Capital and RWA of European banks, so today I will look at what the past year’s data shows. Background One of the lessons learned from the Great Financial Crisis was that Banks were under capitalised commensurate to their risk exposure; leading to new Basel III […]