News
Goldman, IBM lay out quantum road map for derivatives pricing
Researchers estimate 7,500 logical qubits and 46 million T-gates would be needed to price options
US Fed facility bought Libor bonds with ‘weak’ fallbacks
Industry surprise over purchase of floaters linked to doomed benchmark
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
Quant Guide 2021: Princeton still top, but runners-up close gap
Baruch takes second spot; Zurich, top-ranked European programme, rises to fourth
Asia moves: HSBC appoints Apac CIO, Crédit Agricole names regional transaction banking head, and more
Latest job news across the industry
Fears EU’s ‘tough legacy’ fix could tie risk managers’ hands
Proposal bans use of replacement rate in new products, which some fear could hamper hedging and novations
US banks fear Q1 stress capital buffer reset
Fed left buffers on hold after latest stress test, but can change them until March 31, 2021
JFSA pushes for JSCC to clear US customer trades
Discussions with CFTC over bankruptcy protections for US clients are ongoing
EU benchmark drama set for cliffhanger end
Access to key FX rates due to be decided six months before potential cut-off
FCMs fret over S&P 500 options settlement changes
Dealers say CME, Cboe settlement time shift for S&P 500-linked options causes risk management headache
LCH plans Libor swap switch to RFRs
Proposal would see trades moved to compounded RFRs, with cash compensation paid to those who lose out
Trend followers fall under speeding equity markets
Riding trends in equity markets is proving to be a risky pastime for quant investors
US regulator casts doubt on key SA-CCR netting benefit
OCC rejects suggestion banks can net certain cleared client exposures; Fed stays silent
Mifid transparency battle pits dealers against non-banks
Dealers fight to preserve reporting exemptions, but prop traders want US-style regime
Slow €STR swap take-up threatens term rate fallbacks
Esma’s Maijoor calls for greater use of new benchmark to help develop forward-looking rates
Libor Telethon playback: regulators stress ‘no new use’
Watch BoE, FCA, Fed and industry speakers tackling prickly cessation questions
US swap market may become multi-rate world, say dealers
If alternative rates gain traction in cash market, traders say users will want hedges linked to them
Algo users seek apples-to-apples info
BIS study raised concerns; standards now a work in progress at GFXC
SOFR credit debate is “hindrance” to corporate transition
Libor Telethon 2020: NACT chair calls for clear path towards SOFR adoption before 2023 switch-off
Cross-currency swaps will use RFRs on both legs, says JP exec
Despite slow start, all-RFR swaps will become the market standard within a year, according to Tom Prickett
Machine learning will create new sales-bots – UBS’s Nuti
Technologists working to automate indications of interest from trading desks
Fed and FCA see path to synthetic dollar Libor
Reprieve for popular dollar settings could buy time for UK-style tough legacy fix
FSB offers loud warning and muted response on climate risk
Global regulators say risks are near-term and cross-border, but propose only data collection
EC looks to GFXC on potential regulation of spot FX
GFXC to meet this week about revising global FX code, which may influence European legislator stance