News
40% of insurers fail to specify climate as a key risk – LCP
Despite regulators’ urging, many UK and Irish insurers omit climate from risk statements, says report
Fed’s repo facility won’t end US Treasury woes, experts say
Dealer facility does little to address root causes of recent liquidity shocks
Citi clearing head departs for crypto firm
Senior departure is latest among swaps giant’s clearing ranks
EU ‘unlikely’ to force swaps relocation – ex-MEP Swinburne
Multinational corporates would resist clearing move if CCP equivalence is lost, says former lawmaker
Climate laggards need to make double the carbon cuts – MSCI
Asset managers that wait until 2025 will have to cut emissions by 14% a year to limit warming
Brokers may flout deadline to darken US dollar Libor screens
SOFR First step raises transparency concerns; threatens publication of Ice swap rates
OCC quants tout anti-procyclical margin method
Technique aims to lower initial margin calls in times of stress without sacrificing risk sensitivity
Podcast: Colin Turfus on short-rate models and Libor’s end
Deutsche Bank quant proposes a lean model to quickly produce benchmark prices
Capitolis to acquire LMRKTS
Deal for multilateral compression provider latest in wave of post-trade tie-ups, as SA-CCR bites
Federal tough legacy fix gives nod to alternative rates
Legislation does not “disfavor” alternative rates, but safe harbour may not stretch beyond SOFR
Eurex plans hedging contest in default auction revamp
New step in the default management process would enhance transparency in hedge provider selection
Archegos report details margin failings at Credit Suisse
Dynamic margining and a $150,000 software fix for ‘bullet swaps’ could have saved the bank $3 billion
Cross-currency swaps set to ditch Libor in ‘RFR first’ drive
A plan to oust Libor in September is expected to spur voluntary RFR adoption for euro legs
CME’s term SOFR rate gets the official nod
Endorsement comes just three days after ‘SOFR first’ drive, cementing availability in fallbacks
Ex-regulators back PTFs’ call to reform Treasuries clearing
G30 proposal comes just weeks after PTFs requested improvements to Ficc sponsored clearing
Mixed signals as swap dealers begin quoting ‘SOFR first’
Swaps referencing Libor successor revert to year averages after initial spike on conventions switch
Banks hail UK plan to pare scope of taxing pre-trade reporting
UK wants to exempt bonds and OTC derivatives from Mifid rules on pre-trade transparency
Don’t fret about elevated skew, vol experts say
Extreme relative cost of tail risk hedging is driven by flows more than fear
Swaptions get fallback safety net, but crave CCP fix
Isda’s Ice swap rate fallbacks calm fears, yet CCP action needed to protect physical settlement
Isda disputes excessive FRTB charges for carbon trading
EU carbon certificates show lower volatility and higher netting than Basel approach assumes
Term SOFR gets cautious blessing for derivatives
ARRC use cases for forward RFR could accelerate derivatives’ availability, though dealers must warehouse basis risk
EU considers postponing CSDR’s mandatory buy-ins
Industry faces unnecessary compliance costs if rules are enforced, despite being under review
New BoE climate risk scenarios spark race for extra data
Banks need information from clients or third parties to populate 1,760 stress test variables
Quants split on who wins in the alt-data gold rush
Scale helps in handling new data, but alpha may be found in niche strategies