Capital and RWA for European Banks
Following on from my recent Capital Ratios and Risk Weighted Assets for Tier 1 US Banks article I wanted to look at the equivalent metrics from European Banks. Background One of the lessons learned from the Great Financial Crisis was that Banks were generally under capitalised commensurate to their risk exposure, leading to new Basel III regulations […]
MAC Swap Trading
Tod last took a look at MAC swaps in 2016. Has anything changed since? (Spoiler: not much!). But there is certainly some activity over at ERIS. What are MAC Swaps? A brief reminder that a MAC swap is a particular flavour of forward starting interest rate swap, starting on an IMM date (third Wednesday of […]
Our Response to the ESMA Trading Obligation Consultation
ESMA published their latest Consultation on Trading Obligation for Derivatives under MIFIR on 19th June 2017. As we stated back in June, we have concerns about the quality of the data used to determine the Trading Obligation. We have therefore offered to make all of our SDR data available to ESMA as part of our response to the […]