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  • BIS: What Drives Repo Haircuts? Evidence From The UK Market

    Date 06/07/2022

    Summary

    Focus

    Contract terms are rarely disclosed in repo markets, except for repo financed by US Treasury securities. As a result, we still know relatively little about the market-wide relationships between haircuts, collateral and counterparty characteristics. This is especially true of the European repo market, where there is a shortage of high-quality collateral since government bonds are of heterogeneous quality. Our paper fills this gap in the literature by estimating these relationships using a transaction-level UK data set and, importantly, by showing what types of market friction (eg adverse selection) are relevant for repo haircuts in general.

  • ESMA Publishes Latest Edition Of Its Newsletter

    Date 06/07/2022

    The European Securities and Markets Authority (ESMA), the EU’s securities markets regulator, has today published its latest edition of its Spotlight on Markets Newsletter.

  • Eris Launches Web Site Dedicated To BSBY

    Date 06/07/2022

    • Eris has launched BSBY Watch, a web site focused on tracking the development of the Bloomberg Short Term Bank Yield index (BSBY)
    • BSBY Watch aggregates news, data and analysis, offering readers a single source for BSBY-related information
    • BSBY offers the market a forward-looking, credit-sensitive interest rate based on the actual transactions of instruments used by global banks to fund themselves

  • Readout: US Secretary Of The Treasury Janet L. Yellen’s Third Meeting With The Heads And Private-Sector Leads Of The Multilateral Development Banks To Discuss Climate Finance, With A Focus On Adaptation

    Date 06/07/2022

    Today, Secretary of the Treasury Janet L. Yellen convened the heads and private sector leads of several of the multilateral development banks (MDBs) for a third time. This meeting follows two previous meetings in 2021 where she urged the MDBs to rapidly align their portfolios with the goals of the Paris Agreement and to redouble their efforts to mobilize significantly more private capital for climate. Participants included U.S. Special Presidential Envoy for Climate John Kerry and representatives from the African Development Bank, the Asian Development Bank, the European Bank for Reconstruction and Development, the Inter-American Development Bank Group, and the World Bank Group.

  • Eris Sets 21k ADV Record In June

    Date 06/07/2022

    • CME Eris Swap Futures set a new record in June with 21,100 contracts average daily volume (ADV)
    • This mark surpasses the previous record of 18,659 ADV in March 
    • 2-year Eris Libor (LIT) saw the largest share of this daily volume, as participants hedged recent volatility at the short end
    • June saw multiple end users switch to Eris SOFR and the first trades in CME's new Eris BSBY Swap Futures

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