Articles by Helen Bartholomew
WisdomTree shuts oil ETPs after Shell terminates swap deal
Counterparty departure forces closure of eight oil trackers with $580 million of assets
US loan market will move to SOFR by Q1 of 2021 – Wells Fargo
Libor head predicts quick transition for loans following ‘big bang’ shifts in swaps
UK regulator rules out extending Libor deadline
Despite Covid disorder, FCA will not compel banks to submit Libor quotes after 2021
Markit plans SOFR credit spread add-on using CDS data
Vendor taps vast pool of credit market data to create new benchmark “not dissimilar” to Libor
Simm may come with a side benefit – a common data standard
Buy-side firms using Acadiasoft for Simm calculations must adopt the ORE XML data format
Pressure grows on structured products as losses mount
Dividend-related losses at BNP Paribas may be higher than previously reported
How axed dividends left SocGen in a €200 million hole
Collapse in equity trading revenues prompts rethink of autocall hedging
Covid loans support six-month extension for Libor lending
UK working group delays Libor loan end-date to March 2021 as emergency loan scheme shuns Sonia
Sonia term rate contenders tested by market mayhem
Regulator-proposed quote approach falters as dealers pull swap prices from screens
RFRs hit Main Street as Swiss banks launch Saron mortgages
Negative rates ease path for compounded Saron home loans without lags or lookbacks
CCPs postpone euro discounting switch to July
Five-week extension agreed after working group proposal for September delay fails to find consensus
After coronavirus rout, concerns raised about Simm
Annual recalibration means March volatility will not be reflected in margin until end-2021
Dividend delays upend pricing of Eurostoxx futures, options
Investors that rolled futures contracts before companies axed AGMs “could have lost a lot of money”
Hedge funds see big gains on dividend curve trades
A popular relative value strategy delivered unexpected profits when companies axed payouts
Industry calls for suspension of IM compliance dates
Associations warn phase five deadline may no longer be possible for hundreds of buy-side firms amid Covid-19 disruption
Swaps benchmark vanishes as traders flee firm price venues
Dollar Ice swap rate fails to publish in March rout; patchy Sonia Clob prices could delay term rates
Exchange shutdowns could trigger derivatives unwinds
Eight-day closure would invoke subjective valuation clauses; hedge disruption could cancel trades
Autocalls hit peak vega, where hedging costs mount
Eurostoxx and Nikkei losses flip structured product dealers into painful short vol territory
Pandemic threatens Libor transition plans
Resources diverted to Covid-19 response, as RFR-Libor basis spikes on stress
Dispersion trades suffer in coronavirus selloff
Losses put at roughly $150m – even before markets tanked on March 9
FCA: sign up to fallback protocol or face ‘serious questions’
UK regulator urges derivatives users to accept Isda swap fallbacks to ensure compliance with benchmark law
BoE to publish ‘golden source’ compounded Sonia index in July
UK to align with US in effort eliminate interest calculation mismatches and turbo-charge adoption
Synthetic Libor faces legal obstacles
EU benchmark rules may thwart ‘tough legacy’ fix, reviving calls for blanket legislation