News
SocGen’s digitised bond passes settlement test
Banque de France-backed deal pips private consortiums in dummy run for digital currency trades
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
Hacking threats growing in work-from-home era, fear CISOs
Covid-enforced remote working creates new threats and vulnerabilities for bad actors to exploit, say cyber experts
Bargain-hunting equity hedgers turn to FX
Currency options are cheap relative to stock index puts, but correlations are uncertain
Banks eye post-pandemic shake-up of op risk scenarios
Firms seek better handle on impact of global shocks, and hope to avert regulatory attention
Contagion can spread via cross-asset links, ECB study shows
Research throws more light on the hidden risks of central clearing
Podcast: should negative oil prices be allowed?
Did negative oil prices signify the market was operating effectively, or that something was wrong?
Firms hone use of new data to pick Covid-19’s winners
Investment managers are starting to use alternative data to assess the pandemic’s effect on individual stocks
European regulator U-turns on synthetic securitisations
Deals with use-it-or-lose-it mechanism can qualify for capital relief, EBA policy expert says
Attention turns to Esma after UK quashes CSDR buy-ins
Esma launched informal review just before UK Treasury opted out of settlement regime
Funds warm to Esma liquidity rules after Covid crisis
Funds are embracing stress-testing, and swing pricing, after “a real liquidity crisis” in March
Risk-free rates may fail liquidity test for hedge accounting
Experts fear trades referencing SOFR and €STR will not be eligible for hedging relief
Why CME couldn’t sell its reg reporting arms
Costs and competition proved fatal for Abide and Nex businesses and trade repositories
Bond-CDS basis keeps investors interested
Difference between cash bond spreads and derivatives tightens but still offers value, dealers say
RMB hedging comes onshore as regulators liberalise FX market
Foreign investors turn to CNY for bond hedges as rule changes spur more competition
Shifting Libor fallback window jolts basis market
Fallback spreads widened more than 20% after UK regulator says Libor’s end could be announced this year
FCMs feared systemic incident during March back-office meltdown
Trade breaks following Covid-19 spike in futures volumes required massive clean-up job, says BofA exec
EU banks expect further margin reprieve for equity options
Exemptions for intra-group and equity options from non-cleared margin rules expire by January 2021
Higher margins would aid clearing stability – Ice Clear chief
Using volatility floors to aid “higher margins in peacetime” would have to be globally applied policy, warns Serafini
Sonia term rate nears ‘beta’ release, while SOFR struggles
ARRC chair says current liquidity in SOFR derivatives is insufficient to create a term rate
Lagging futures market holding back swaptions RFR transition
“Elephant in the room” is hindering non-linear growth and swap market liquidity, say rates traders
US banks face capital hit from resurgent advanced approaches
Banks pushed onto internal models wrestle with procyclical capital charges
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking
How UBS kept workers plugged in during the pandemic
Swiss bank’s A3 virtual desktop system offers a blueprint for remote working