News
Rate volatility highlights benchmark flaws
Libor and SOFR in spotlight following market rout, as both decouple from commercial paper
In choppy forex markets, algos buck expectations
Goldman, Nomura and others report increased volumes, although some clients revert to principal quotes
EC: No plans to delay IM phase five
EC official says Europe will go ahead with phase five initial margin requirements set to come into effect in September
Swaps benchmark vanishes as traders flee firm price venues
Dollar Ice swap rate fails to publish in March rout; patchy Sonia Clob prices could delay term rates
Podcast: Horvath and Lee on market generator models
Quants explain the application of the latest techniques
Covid transparency would soothe markets – Harvey
“Why aren’t our policy-makers sharing their models?” asks Duke University economist
Exchange shutdowns could trigger derivatives unwinds
Eight-day closure would invoke subjective valuation clauses; hedge disruption could cancel trades
CECL working as intended amid Covid-19 crisis, says FASB
Suspending new standard would be a decision for regulators, not accountants, say observers
Banks think SFTR delay a ‘done deal’ amid virus outbreak
Industry letter urges regulators to postpone first two phases of reporting until October
Coronavirus rout revives attacks on futures margining
FCMs call for permanently higher margins following “unprecedented” number of breaches
China regulator to outline legal thinking on close-out netting
Coronavirus could delay things, but authorities are taking small steps on a thorny issue
Central banks activate contingency plans amid pandemic
Rotating and remote team working aims to reduce contagion risk
More NDF changes could follow Argentine chaos
Lat Am contracts may be tweaked to avoid repeat of contentious peso freeze
CECL muddies stress tests for US banks
Accounting forecasts differ from Fed’s CCAR scenarios; banks seek middle way to avoid upfront capital hit
Banks rail against China CCPs’ loss-sharing policy
Controversial loss allocation technique remains unused during recent market routs, but banks want it banned
Autocalls hit peak vega, where hedging costs mount
Eurostoxx and Nikkei losses flip structured product dealers into painful short vol territory
US Treasury market holds its breath after high drama
Intermediation broke down after off-the-run bonds were dumped on banks
Pandemic threatens Libor transition plans
Resources diverted to Covid-19 response, as RFR-Libor basis spikes on stress
Vanishing hedges hurt HK warrants issuers
Traders suspect big losses after Hang Seng gapped down at start of wild week
Swaps liquidity slumps as Treasury stress spreads
Big buy-side participants report “worst day” for market depth in 10 years, as spreads widen and prices gap
Spot FX could be dragged into Mifid II
EC tells Risk.net it is studying Australian-style approach to regulating currency trading
Bonds and swaps struggled in virus volatility
Low liquidity and wider spreads amplified by remote working, traders claim
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