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Quotes
AIFs have had a free ride so far and are simply not required to do any transaction reporting. Changing the rule was something the industry was expecting at some point, so I’m not surprised [the authorities] are thinking of that
Leonard Ng, Sidley Austin
There’s a risk you’re going to give everyone basis swaps SOFR plus five on Friday, and then the markets tell you the price of that swap is SOFR plus eight [on Monday].
Derivatives trader at a US insurer
I see people moving into this kind of [new Isda interest rate derivatives] definition if the standard CSA is already what they have in place as their real CSA, and I see it to be more complex if not
Andres Krapf, Axa Investment Managers
Editor's Choice
Quants try to explain why value works better in credit
Equity value may be in the doldrums, but the strategy works in credit – investors think they know why
Big Figure
Credit Suisse puts Pimco in the pink
The five largest Pimco mutual funds, with combined assets under management of $244 billion as of Q1, executed trades worth a collective $639 billion with Credit Suisse over the 12 months to end-March, regulatory filings show. The US-based securities dealer of the Swiss bank was the top trading counterparty for both the Pimco Total Return Fund and Pimco Income Fund over this period, with principal transactions worth $201.9 billion and $404.2 billion, respectively.
Read the full article7 days in 60 seconds
Big bangs, FinCEN leak and prime exodus
The week on Risk.net, October 10–16, 2020
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Op risk data: record $920m fine for JP metals ploy
Quants are key to judicious ESG
Our Take
Time to rethink Korean structured products
Corporate bond markets need more transparency – not less