The Default at Nasdaq Clearing has re-invigorated industry discussions on default management practices and we are now seeing the fruits of these labours. For example CCP12 recently published a CCP Best Practices Paper and LCH published Best Practices in CCP Risk Management. Today I will look at the BIS CPMI-IOSCO “Discussion paper on central counterparty […]

Singapore has unique benchmark interest rates. SOR is an FX-derived synthetic SGD interest rate from FX swaps. SOR will therefore be impacted by changes to USD LIBOR as a result of the latest ISDA consultation. Cross Currency in SGD trades versus the SOR index. Why isn’t the basis therefore zero? Singapore Interest Rates In response […]

LIBOR fallbacks and Uncleared Margin Rules are hot topics across the industry. We highlight the Basel guidance that any amendments to LIBOR contracts as a result of Benchmark reform will not trigger the need to post margin. This is important guidance to ensure the uptake of new RFRs is simple. Two of our big blog […]

The demise of Libor has sett off a battle for market share in futures referencing new risk-free rates. My monthly Swaps Review looks at: The three largest IBOR contracts SOFR Futures market share SONIA Futures market share CME, ICE, CurveGlobal, Eurex Please click here for free access to the full article on Risk.net.