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CFTC Swaps Report Update

Date 21/06/2022

CFTC's Weekly Swaps Report has been updated, and is now available.

CME Group To Launch First-Ever TBA Futures For Mortgage Backed Securities Market On October 3

Date 21/06/2022

CME Group, the world's leading derivatives marketplace, today announced it will expand its suite of long-term interest rate products to offer the first-ever 30-Year Uniform Mortgage-Backed Securities (UMBS) TBA futures contracts on October 3, pending regulatory review.

EBA Clarifies The Use Of COVID-19-Impacted Data For Internal Credit Risk Models

Date 21/06/2022

The European Banking Authority (EBA) today published four draft principles to support supervisory efforts in assessing the representativeness of COVID-19-impacted data for banks using internal ratings based (IRB) models. These principles will be part of a supervisory handbook, which the EBA will publish later in 2022 with the objective to ensure a harmonised approach in the use of COVID-19 data, especially where the use of moratoria and other public measures may have led to changes in default rates.

Euronext Clearing Introduces A New VaR-Based Margin Methodology

Date 21/06/2022

Euronext Clearing, Euronext's multi-asset clearing house formerly known as CC&G, today announced the introduction of a new VaR-based margin methodology on government bonds traded on MTS cash and repo platforms and BrokerTec and on MOT, EuroTLX and Hi-MTF platforms.

EEX: Trading At Trading Hub Europe’s Virtual Trading Point Upon Activation Of The Emergency Level

Date 21/06/2022

THE, EEX and the Federal Network Agency agree that, in principle, the natural gas spot market will remain open even if the emergency level should be called out.

LCH RepoClear SA Goes Live With New Value At Risk (VaR) Model

Date 21/06/2022

• VaR as the new risk methodology[1] will be applied across 13 Euro debt markets
• VaR offers better recognition of diversified portfolios, supports stability and predictability of the margin requirement, and enhanced capacity to adapt to market volatility
• Reaffirms RepoClear SA’s commitment to improving margin efficiency for its members

BIS: Annual Economic Report 2022

Date 21/06/2022

A special chapter outlining the monetary system of the future, combining digital features with trust in central banks, was pre-released on 21 June.

Cboe Global Markets To Launch FLEX Micro Options On June 27

Date 21/06/2022

• Will have a one-multiplier instead of the standard 100
• Available for key broad-based index options including SPX, XSP, RUT, DJX, MXEA and MXEF
• Smaller notional contract will allow greater precision when hedging portfolios

SEC Charges Egan-Jones Ratings Co. And CEO With Conflict Of Interest Violations

Date 21/06/2022

The Securities and Exchange Commission today charged Haverford, PA-based Egan-Jones Ratings Company, a nationally recognized statistical rating organization (NRSRO) registered with the Commission in certain ratings classes, with violating conflict of interest provisions. The SEC also charged the company’s founder and chief executive officer, Sean Egan, with causing certain of those violations.

BIS - Using CBDCs Across Borders: Lessons From Practical Experiments

Date 21/06/2022

Key takeaways

• The BIS Innovation Hub (BISIH) is leading practical experiments to show how central bank digital currencies (CBDCs) could help deliver faster, cheaper and more transparent cross-border payments.
• These experiments demonstrate that common systems encompassing multiple CBDCs are operationally feasible and could bring efficiencies. Yet policy, legal, governance and economic questions remain.
• The BISIH is uniquely positioned to bring central banks together in the collaborative efforts that will be necessary to make further progress on this question.