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‘Stigma’ around some fund liquidity tools must end, say CROs
Fund managers are wary of using redemption gates and fees to manage outflows during crisis periods
UK and EU regulators diverging on double volume caps
Rule that limits anonymous equities trading to be reviewed in UK, but EC has bigger fish to fry
Asic to weigh in on Libor transition conduct risk
Australia’s markets regulator will publish guidance on firms' conduct obligations in move to RFRs
Latest
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
It makes sense for [the buy side] to sign up to the [Isda Libor fallback] protocol after the pre-cessation trigger because then you know what the adjustment spread is, so you can get a more accurate position
Guy Usher, Fieldfisher
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
Covid bank tests, swap fix deferred and SOFR switch
The week on Risk.net, October 17-23, 2020
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