News
Most active CDS users get biggest savings – research
CFTC economists see benefits to having many counterparties since move to Sef trading
Splits emerge over ‘pre-cessation’ fallback triggers
CCPs say cleared swaps will move to new rates if Libor is no longer representative of markets
NLP sniffs out contracts harbouring Eonia as fallback
Test finds wide range of 4,000 Libor euro contracts examined could end up in the flagging Eonia rate
Pimco deploys neural net model in agency bonds
Old models for $7 trillion mortgage market overstate risk in some cases, asset manager says
Six big forex market-makers call for end to last look
Citadel Securities, Jump and Virtu among those repudiating controversial practice
Podcast: McClelland on why you need a good MVA model
Numerix quant presents a model aimed at showing the total cost of a trade
Goldman improves execution ‘by 50%’ with new algos
Bank uses neural networks and other AI tools to cut slippage in stock trading
Singapore banks begin to phase in XVA
DBS, OCBC and UOB start using valuation adjustments, but face hedging hurdles for CVA
LCH plans October 2020 SOFR discounting switch
Cash and basis swaps will reverse value transfer on US dollar derivatives
JP Morgan first to issue SOFR-linked preferred stock
BofA, Goldman Sachs and others are also preparing for Libor’s end
Basis swaps spike amid US rates chatter
Budgetary wrangling and talk of Fed cuts spark Libor-OIS basis shift
Dual IM relief may slash 2020 docs burden by 90%
Isda sees around 8,000 counterparty relationships lifted from phase-five repapering
IM big bang split confirmed with new $50bn threshold
Addition of sixth compliance phase looks set to slash September 2020 in-scope entities by more than half
Sonia users face three-way choice in term rate
Trio of rival forward-looking versions of sterling Libor successor set to be available
LCH tightens harness on market experts in defaults
CCP sets punctilious rules for loaned traders to be ready for defaults – or to pre-empt them
Quant Lipton pans Facebook’s Libra
Former Bank of America exec sees more potential in rival projects, such as utility settlement coin
AllianceBernstein uses AI to sidestep ‘growth trap’
Random forest model aims to sort success stories like Amazon and Netflix from fast-growth losers
Finra plans machine learning push against market rigging
ML trained to find spoofing and layering
PanAgora uses NLP to cut through Chinese cyber speak
Fund builds Mandarin-reading algo to gauge sentiment of retail investors
Sterling RFR group urges Eiopa to end mismatch on rates
In letter, group points to discrepancy in requirement to use Libor-linked rates as Libor fades out
Resampling ‘slashes’ credit risk VAR underestimates
Academics claim Vasicek model’s underestimation tendency can be slashed to near-zero
Regulators plan to delay IM ‘big bang’ – market sources
Most see final phase of initial margin rules coming a year later, in September 2021
Swaptions face valuation hit on discounting switch
Move to new reference rates could hurt some swaptions holders, while others enjoy “windfall gain”
Debelle swings at ‘buyer beware’ disclosures in FX
“They don’t give you free licence to do whatever you want,” says new GFXC chair