Subject: CME’s curves, corporate collars, and XVA aids

7 DAYS IN 60 SECONDS
THIS WEEK'S TOP STORIES
Risk management
Can Citi’s XVA desk help solve risk data failings?
Resolution plan reviews exposed material limitations in banks’ ability to unwind derivatives
15 Jul 2024   |  News
Markets
CME launches term SOFR curve as clearing talks ebb
Give-and-get pricing tool addresses pressing transparency need in $2.5 trillion swaps market
17 Jul 2024   |  News
Markets
Corporates look to collars amid rates uncertainty
Selling the floor can cover majority of cap’s premium
15 Jul 2024   |  News
Regulation
Study finds just 10 banks plan to apply for FRTB models
Research provides extra insight on reasons for decline in internal models
18 Jul 2024   |  News
Regulation
EU banks hedge net interest income to pass new IRRBB test
Would-be outliers look to cut sensitivity of cashflows to rate moves, but at what cost?
16 Jul 2024   |  Feature
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STAT OF THE WEEK

CCPs vulnerable from reverse repo investments – Esma

Esma stress test finds CCPs analysed reported €164.7 billion ($178.1 billion) in cash secured via uncleared reverse repos at the time of the tests. 

QUOTE OF THE WEEK

Podcast: Lorenzo Ravagli on why the skew is for the many

“Across different trading desks, [I found that] different people were using different metrics for proposing a tentative explanation of the P&L of a very basic skew position. I’ve tried to vulgarise some concepts that were somehow expressed in a very theoretical framework and bring them down to a language which could be accessible by a wider range of clients” – Lorenzo Ravagli, JP Morgan

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