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ISDA derivatiViews: Getting Crypto Capital Requirements Right

Date 18/07/2022

For participants in the crypto-asset market, these have been unsettling times, with plummeting asset values, falling market capitalization and several high-profile casualties. Promoting appropriate risk management in this fledgling market has never been more important. That is why we welcome the Basel Committee’s work to develop a robust capital framework for bank exposures to crypto assets.

CFTC Swaps Report Update

Date 18/07/2022

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

Bank Of England: Some Reflections On Monetary Policy Past, Present And Future − Speech By Michael Saunders, Member Of The Monetary Policy Committee, Given At The Resolution Foundation

Date 18/07/2022

Michael Saunders is near the end of his term on the committee responsible for setting interest rates. In this speech, he reflects on his experience. Then he looks at the effect of demographic changes on the jobs market and gives his view on interest rates.

CFTC Extends Public Comment Period On Request For Information On Climate-Related Financial Risk

Date 18/07/2022

The Commodity Futures Trading Commission is extending the deadline for the public comment period on a Request for Information on Climate-Related Financial Risk (RFI) to October 7.

BIS: Capital flows And Monetary Policy Trade-Offs In Emerging Market Economies

Date 18/07/2022

Summary

Focus

Emerging market economies (EMEs) commonly combine inflation targeting monetary policy regimes with macroprudential tools, capital flow management measures and FX intervention, to meet the challenges they face from swings in capital flows. These swings raise difficult trade-offs for monetary policy and require policymakers to resort to complementary policy tools to enhance macro-financial stability. We provide a characterisation of these trade-offs, distinguishing between times of stress and normal times when vulnerabilities build up, and assess how complementary policy tools can address them.

Cboe Expands Implied Correlation Index Suite, Adds Eight Additional Volatility-Related Indices

Date 18/07/2022

• Cboe Implied Correlation Indices are the first widely disseminated market estimates of the average correlation of the stocks that comprise the S&P 500® Index (SPX)
• Suite of volatility-related indices recently expanded to include additional tenors and skews
• Helps allow market participants to gain a view of potential factors driving volatility in equity markets

ACER Grants An Extension For Regulators To Decide On The Minimum Activation Period Of Frequency Containment Reserves (FCR) Providers

Date 18/07/2022

The EU Agency for the Cooperation of Energy Regulators (ACER) adopted a decision granting National Regulatory Authorities (NRAs) of the Continental Europe Synchronous Area (CE SA) an extension of six months to decide on the minimum activation period of frequency containment reserves (FCR) providers.

BIS: The Holt-Winters Filter And The One-Sided HP Filter: A Close Correspondence

Date 18/07/2022

Summary

Focus

The Hodrick-Prescott (HP) filter is heavily used in economics and by policymakers. In many cases, the two-sided, full sample version is applied to determine trends. But the one-sided filter that is estimated recursively also has important applications. Most notably, it is embedded in the Basel III framework for the countercyclical capital buffer. In this paper, we show that the trend of the one-sided HP filter has a very close correspondence with the trend of the Holt-Winters (HW) filter.

Bank Of England: Marjorie Ngwenya: Treasury Select Committee Appointment Hearing (3.15pm)

Date 18/07/2022

ESMA: Working Group On Euro Risk-Free Rates - 17 June Meeting Minutes

Date 18/07/2022

Summary

1. Introductory remarks, approval of the agenda and obligations of the working group members under competition law

Mr James von Moltke (Chair) opened the call. He welcomed all the members of the Working Group (WG) to the second WG meeting of 2022 and the first hybrid meeting (with both in-person attendees and attendees connecting virtually) under his chairmanship.