Chris Davis
Journalist
Chris Davis is a derivatives reporter for Risk.net. His topics of interest include benchmark reform, over-the-counter derivatives pricing and collateral management.
Davis was previously a feature writer for Treasury Today magazine.
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Articles by Chris Davis
NDF nightmare: banks seek fix for benchmark ‘mess’
European firms face bar from using three Asian fixings from 2020, raising concerns about legacy trades
Three Asian FX fixings threatened by benchmark rules
European regulations would block use of fixings that account for 40% of LCH NDF volumes
RBA’s Debelle warns against buy-side Libor complacency
Central banker also says Australian dollar swaps may gradually migrate to cash rate if other Ibors end
Reform fails to solve collateral woes in Korea
Korean swaps users wary of collateral reuse, leaving dealers with LCR burden
Vol virus: how a CCP basis leapt from swaps to swaptions
A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product
South Korea prepares for EU benchmark equivalence
New regulatory framework aims to allow European firms to continue using local benchmarks
Broker hid yen swaptions basis after trader backlash
Japan’s Totan had been first to show volatility basis; sources speculate traders wanted to avoid re-marking books
LCH-JSCC basis drops as hedge funds arrive
Capula and Rokos Capital among funds to have gained access to JSCC in recent months
JSCC margin changes ease Japan interest rate pain
Negative rates prompted switch in the CCP’s margin calculation model for interest rate swaps
After Libor: Japan, Australia look to multi-rate future
Using new risk-free rates alongside Libor equivalents gains industry support
Nikkei sell-off puts Japanese autocall dealers on alert
Risk recycling may backfire if index slump continues
JSCC to aid yen Libor transition with new OIS swaps
Market participants sceptical launch will boost liquidity enough to help move off yen Libor
Scrapping of Eonia revamp piles pressure on ECB
Dealers fear central bank's new rate won’t arrive in time to create swap curve by 2020
Non-EU banks consider updating benchmark fallbacks
Move follows Iosco call for contingency planning that mimics new EU standards
Mifid costs data leaves swaps users in the dark
Dealer charges can’t be compared, critics complain; banks already bracing for review
Taper talk drives wild swings in JSCC-LCH basis
Difference between pay-fixed yen swap rates at LCH and JSCC neared 16bp before falling 30% last week
Transneft quits OTC market after settling $1bn swaps case
Russian market participants edgy after settlement leaves disclosure duties unclear
Buy-side firms ice repo clearing plans as spreads tighten
Resurgent bilateral market a headwind for services at Eurex and LCH
Blackstone-Hovnanian CDS deal revives credit rules debate
Rumoured triggering-for-financing arrangement sparks calls for more legal protection for sellers
Eonia jump forces rethink of euro swap pricing
Traders say volatility of discount rate should be taken into account after "unprecedented" 12bp move
The fraught search for a Libor fallback
Banks and buy side disagree over how to prepare for Libor’s death
Industry mulls auction-based Libor swaps transition plan
Stanford’s Darrell Duffie proposes solution for switch to referencing alternative risk-free rates
Europe’s Eonia dilemma
As Europe begins formal search for new risk-free rate for swaps, it is unclear whether Eonia will survive
LCH set to clear 50-year Sonia swaps
Clearing house says it will clear long-dated swaps linked to the sterling overnight rate by end of 2017