Articles by Robert Mackenzie Smith
Hedge fund Parplus said to be source of ABN’s $200m loss
New York-based volatility fund had close ties to defaulted prop shop Ronin Capital
Rate volatility highlights benchmark flaws
Libor and SOFR in spotlight following market rout, as both decouple from commercial paper
US Treasury market holds its breath after high drama
Intermediation broke down after off-the-run bonds were dumped on banks
FCMs clamour for formal rule on separate account margin
Costly compliance effort will be to no avail if CFTC relief expires in June 2021
Cross-border trading could suffer under IM rules
Conflicting US and EU cash reinvestment rules may force buy side to post bonds
Fund securitisation makes capital vanish – and watchdog growl
Probe into possible “abuses” of CFO structure could hit wider investments, experts say
FCA dismisses Libor credit component concerns
UK regulator bemused by distress raised by US regional banks to Fed
Fast-track SOFR term rate, says JP Morgan’s Pluta
Traders divided on whether liquidity in SOFR futures is sufficient to support a forward rate
The corporate bond revolution will be streamed
Dealers are piping feeds of live, executable prices direct to select clients
Regulators urge buy-side action on Libor shift
ARRC set to release ‘checklist’ for buy-side firms, while FCA assesses exposures
Squeezed or saved? Market divided over year-end repo stress
Fears of a cash-crunch hang heavy despite Fed’s repo giveaway and move to term funding
BMR rift fuels zombie Libor uncertainty
False rate could limp on for months under EU’s benchmark regulation
SEC revisits security-based swaps proposal
Sefs expect new trading rules for single-name CDS to be published “pretty soon”
Ice adds insurance to default waterfall
Protection promises partial recovery of guarantee funds at three CCPs
Fed’s repo operations will not fix rate spikes, dealers say
Risk USA: leverage constraints remain, even after massive injections of emergency liquidity
Goldman’s Granet: repo tumult does not undermine SOFR
Risk USA: Libor transition head says SOFR is more stable than the rate it is set to replace
All clear? Structural shifts add to repo madness
Many things contributed to 10% repo, among them a FICC programme and a surge in overnight funding
LCH won’t back single fix for swaptions switch
Clearing house pledges to “support” multiple solutions to discounting problem
CFTC set to eliminate post-trade name give-up
Practice has been a mainstay of Sef trading but chairman Tarbert wants it gone
CCPs dismiss bank, buy-side criticisms
CME, Ice bat away suggestions of flaws in clearing house risk management
Buy side seeks non-cleared margin relief for SMAs
Sifma AMG calls for $50 million IM exchange threshold to be set annually
Volume-starved SOFR leaves quant hankering for data
At T. Rowe Price, a top quant is tired of SOFR being “yanked around by the liquidity premium”
CFTC refuses to budge on margin treatment of SMAs
Asset managers must agree new protocols for dealing with margin shortfalls in SMAs by September 2020
CLO investors find silver lining in Libor’s demise
A backward-looking SOFR rate will reduce the asset-liability mismatch that sank CLO equity in 2018