News
India preps margin regime as parliament debates netting law
Lawmakers thrash out bill on close-out netting; margin rules likely to follow in H1
FCA consults on new climate risk disclosures
Push would stop short of compulsory reporting
Oil price shock triggers big margin calls
Banks and exchanges worked through weekend in anticipation of oil collapse
For FX dealers, virus brings volumes
Mixed feelings for sell-side traders as Covid-19 spurs wave of speculation and hedging
Dispersion trades suffer in coronavirus selloff
Losses put at roughly $150m – even before markets tanked on March 9
India exchange to debut rupee derivatives settled in US dollar
Launch of onshore futures and options unlikely to dent offshore volumes, though
Dealers turn to mid-cap and EM deal-contingent trades
Premiums of more than 25% are attractive to banks battling low vol and increasing competition
Factor strategies seesaw in coronavirus-hit markets
Quants struggle to second-guess ongoing effect of virus on investments
Sonia swaps surge not mirrored by futures
Popularity of short sterling futures takes shine off Sonia’s RFR succession
Japan selects term risk-free rate vendor
Sketchy volumes in overnight index swaps hold up calculation methodology
Fed funds swaptions offer SOFR alternative
Investors dry-run systems using familiar overnight rate, as markets wait for SOFR liquidity to build
ECB mulls wider clearing house access to account facilities
Including CCPs in the Eurosystem may remove the need for them to seek a banking licence
IT disruption chief concern in Top 10 Op Risks survey 2020
Risk managers cite data compromise, theft & fraud and third-party risk among other top worries
FCMs clamour for formal rule on separate account margin
Costly compliance effort will be to no avail if CFTC relief expires in June 2021
BoE’s new Sonia index gets a thumbs-up from issuers
Calculating coupons based on compounded Sonia was “a real nightmare” for some
Dealers cast doubt on swaptions compensation plans
Redress scheme for victims of post-Libor valuation change may fail due to “cherry-picking” fears
CME, Eurex rebuff calls to compensate members for losses
BlackRock and BNP want CCPs that recover from a default to reimburse members and clients
Sonia’s share of sterling swaps tipped to hit 80% by year-end
Ahead of Monday’s convention switch, dealers already view Sonia as the primary sterling rate
FCA: sign up to fallback protocol or face ‘serious questions’
UK regulator urges derivatives users to accept Isda swap fallbacks to ensure compliance with benchmark law
Cross-border trading could suffer under IM rules
Conflicting US and EU cash reinvestment rules may force buy side to post bonds
FX options see record volumes as yen goes off-script
Coronavirus outbreak and recession fears trigger frenzied trading in USD/JPY options
BoE to publish ‘golden source’ compounded Sonia index in July
UK to align with US in effort eliminate interest calculation mismatches and turbo-charge adoption
Who killed FX volatility?
Beyond central bank policy, traders see a range of hidden structural factors at work
BNY Mellon nabs Hallinan for enterprise risk role
Hiring of former Credit Suisse op risk head follows last year’s appointment of Senthil Kumar as CRO