Articles by Helen Bartholomew
Citi turns to decrement indexes for single-stock autocalls
US bank claims new Stoxx indexes for 23 single names will slash hedging costs and boost coupons
CME unveils term SOFR in face of ARRC doubts
Exchange group says benchmark aligns with ARRC principles – but committee has pushed back endorsement plans
FCA could get legal with USD Libor laggards
Incoming powers permit regulator to ban use of benchmarks with known cessation dates – but only for UK-supervised firms
Would margin rules have checked Archegos? Perhaps not
Regulator-prescribed margin methodology permits six-times leverage on equity swaps
Isda preps swaps blueprint for new Bloomberg rates benchmark
Credit-sensitive SOFR add-on could be included in Isda’s interest rate definitions by mid-April
Industry group backs wider use of term Sonia in derivatives
Swaps used to hedge tough legacy products and some new loans could reference a forward rate
US stumbles in pursuit of term SOFR
Flaky swaps liquidity sees June 2021 target slip; CME claims indicative settings already meet international standards
Tradition to launch first SOFR order book
Streaming swap prices are a critical step to creating term rates for loan markets
EU’s initial margin relief may come too late for phase five
Long-awaited easing of model governance requirements unlikely to take effect by September
Isda plans ‘modular’ RFR conventions
Swaps definitions will be updated in response to divergent compounding styles in loan markets
BoE to consult on Sonia clearing mandate
Long-dated Sonia swaps set to lose clearing exemption as liquidity shifts from Libor
Basis spreads reprice as FCA confirms Libor end-dates
Fallback adjustments for US dollar Libor swaps were not fully priced in by the market
IBA rolls out Sonia indexes for lending markets
Alternative to BoE index includes 0% floors and support for both lag and shift conventions
Non-cleared margin logjam looms after squandered delay
Fewer than half of phase five firms have submitted documentation necessary to open custody accounts
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
Swaps users shun cash compensation in LCH Libor switch
Members push for spread adjustment to maintain risk profiles, ignoring warnings of market bifurcation
Euribor fallbacks expose loan market divisions
Consultation reveals splits over one-year transition period and internal transfer pricing models
Vix vulnerable to retail short squeeze, analysts warn
Volatility products could see more wild swings as dearth of vol sellers exacerbates spikes
Acadiasoft brings IM standards in-house with Quaternion buy
Deal will help data standardisation efforts and cut outsourcing risk in Simm calculation service
Options pricing framework buckles under GameStop frenzy
Wild retail trading sees calls sink below intrinsic value ahead of expiry as puts break spot correlation
Shell bides time over Isda fallbacks
Oil major will adopt Isda protocol as “insurance policy” despite hedge accounting concerns
FCA sees ‘no case for delay’ on Libor cessation ruling
Synthetic Libor powers set for spring consultation as fallbacks become effective and IBA analyses cessation feedback
IBA, Refinitiv go live with regulated term Sonia rates
First deals linked to new benchmarks are likely to be in trade finance
EU firms face margin threat as Brexit tips futures into OTC regime
Mid-2021 clearing, margin thresholds loom as LME, Ice futures lose exchange-traded status in EU