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UK inflation swap basis set to widen on green energy push

Hedging of planned wind farms will make bilateral receiver swaps cheaper versus cleared, say traders

United kingdomNited kingdom ukInflation swapsBasis riskEnergy trading

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United statesUnited kingdomYork mercantile exchangeWhat is basisBasis riskBritish thermal unitsNew york mercantile exchange

FRTB managers face hard facts about risk factors

There are ways to reduce the capital charges caused by NMRFs, but they come at a price

Basel committee on bankingFundamental reviewTrading bookBasel committeeBasel committee on banking supervision bcbsOn modellable risk factors nmrfNternal models approach imaCapital requirementsP ampl attribution testMarket riskMarket risk modellingData privacyExpected shortfall esCredit riskEmerging marketsHistorical data

Swap dealers look internally to ease SOFR basis headaches

Traders are using their own banking units as a new outlet for reducing SOFR-versus-term SOFR risk

United states usBasis riskInterdealer marketRegional banksNterest rate swapsRisk free rates rfrsSwap dealer

How repo roll risk could spoil US Treasury basis trade

Financing worries emerge as popular trade becomes increasingly reliant on overnight repo

New yorkUnited statesVictor masottiSociete generaleGennadiy goldbergSubadra rajappaInternational settlementsDerivatives associationUs treasury office of financial researchFederal reserveInternational swapsCommodity futures trading commission commitment of tradersIncome clearing corporationGoldman sachsFederal reserve bankCommodity futures trading commission

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