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  • GoldMoney Weekly Market Report And Customer Metrics: Return Of Gold's Safe Haven Lure?

    Date 07/05/2015

    Click here to download the latest GoldMoney market report and customer metrics.

  • Moscow Exchange: The Additional Trading Session Starts Later On 14 And 15 May 2015

    Date 07/05/2015

    Please note that the Derivatives market evening trading session will begin five minutes later, i.e. at 7:05 pm MSK, on 14 and 15 May 2015, as these are the last trading days for options contracts (in accordance with clause 7.2 of the Rules of organized trading for the Moscow Exchange Derivatives Market).

  • EBA: Consultation Paper On ITS On Mapping Of ECAIs Credit Assessments

    Date 07/05/2015

    The European Banking Authority (EBA) launched today a consultation on draft Implementing Technical Standards (ITS) on the mapping of External Credit Assessment Institutions’ (ECAIs) credit assessments for securitisation positions. These ITS will be part of the Single Rulebook in banking aimed at enhancing regulatory harmonisation across the European Union (EU) and will allow the credit ratings of all registered credit rating agencies to be used for the purposes of calculating institutions’ capital requirements. The consultation will run until 7 August 2015.
     

  • Moscow Exchange: Risk Parameters Change For The securities PGIL, SNGS, AFKS

    Date 07/05/2015

    The following risk parameters will be changed:

    For PGIL

    • Minimum level of Interest Risk Margin (Delta_1(2,3)_min) to 77% for the period from May 8, 2015 to May 15, 2015
    • Lower REPO Penalty Rate (LPenRate) to −200% for May 13, 2015.

  • Office Of Financial Research Update

    Date 07/05/2015

    The OFR released two working papers today that focus on the potential risks of central clearing of over-the-counter derivative transactions:

    Systemic Risk: The Dynamics under Central Clearing develops a model for concentration risks that clearing members pose to central counterparties. Over time, larger clearing members crowd out smaller clearing members. Systemic risk is created because high clearing member concentration results in relatively lower lending, higher cost of capital, and increasingly costly hedging. To address this risk, the paper proposes a self-funding systemic risk charge.

    Hidden Illiquidity with Multiple Central Counterparties focuses on the systemic risks in markets cleared by multiple central counterparties (CCPs). Each CCP charges margins based on the potential impact from the default of a clearing member and subsequent liquidation of a large position. Swaps dealers can split their positions among multiple CCPs, effectively “hiding” potential liquidation costs. A lack of coordination among CCPs can lead to a “race to the bottom” because CCPs with lower perceived liquidation costs can drive competitors out of the market.

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