Risk.net
Technical clarification allows subsidiary capital to be assigned as funding for consolidated group Print this page
A seemingly minor clarification in the final US net stable funding ratio (NSFR) could represent a major change to how bankers interpret the rule, by effectively allowing large banks to assign funding more easily across the group in order to comply with the ratio at a consolidated level.
“Everybody was so happy about it,” says one senior regulation official at a global systemically important bank (G-Sib). “It’s a big, big, big benefit.”
Two other liquidity managers from G-Sibs confirm this
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
Risk.net Print this page
In January, $222.7 billion of swaps linked to the secured overnight funding rate (SOFR) changed hands, the highest notional volume on record, surpassing last October’s total by more than $5 billion.
The majority of SOFR-linked instruments traded last month were swaps covering the basis between SOFR and other floating rates, like Libor. Overnight index swaps (OIS) were the second-most traded, followed by SOFR cap and floor products.
Basis swaps saw particularly active trading, with volumes of
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
Risk.net
European regulators issue Brexit relief for UK pension funds
Some EU watchdogs are not enforcing mandatory clearing for trades between region’s banks and UK pension schemes Print this page
Four sources say European Union national regulators are allowing banks to continue exempting over-the-counter derivative trades with UK pension funds from mandatory clearing requirements, despite UK funds technically losing the exemption on December 31.
“I believe various European banks have had regulatory clearance from their respective regulators to continue trading under this [exemption],” says a senior trader at a UK pension fund.
Two of the sources, including a regulatory expert at a