News
Three firms plan to start issuing Hong Kong warrants
Morgan Stanley, Citi and Guotai aim to grab a share of fast-growing market
In Netherlands vs Deutsche Bank, bets are on Deutsche
A decision is looming on Dutch appeal after being denied payment on interest rates gone negative
Prep now for one-day lag in Eonia, market told
Overnight batch calculations will have to run during the day, following change to doomed benchmark
Podcast: Hong on quanto derivatives and Asia’s quant drought
Credit Suisse quant talks about new paper on valuing quanto options
Critical EU benchmarks to be approved by year-end
Authorisation of Euribor is being expedited and could be granted in the summer
Data reveals Emir swaps report matching rates at 40%
Figure is better than some feared, but still calls into question the value of dual-sided reporting
Crowding can be good for quants (sometimes) – Goldman
Study finds timing dictates different results for convergent and divergent strategies in herd moves
No-deal Brexit could force European swaps trading to US venues
Lack of equivalence between UK and EU regimes would create “conflicting obligations” for large dealers
Credit Suisse and Rayliant team up for China quant launch
Firms want to tap investors' zeal for systematic strategies in A-shares
LCH plans major forex clearing expansion
CCP to tackle cash-settled options, deliverable swaps and standalone service for deliverable forwards
Digital forex settlement volume tipped to rise tenfold
DLT platform aims to settle $100 billion of currency trades by year-end
Stoplight system could spot imminent meltdowns – study
Proposed traffic light system sifts through transaction data for signs of trouble
Modelling cyber losses could get easier – study
Cyber losses behaved much like non-cyber losses when grouped by severity, so perhaps less data is needed
Eurex cross-currency swap clearing faces continued delays
Clearing house eyes June release; dealers voice concerns over liquidity and margining
Libor-in-arrears swaps face unwinds on benchmark death
Backward-looking fallbacks are incompatible with the product, which relies on forward rates
Podcast: Kaminski on lessons from commodity market defaults
Professor Vince Kaminski analyses Nasdaq and PJM defaults
Irish central bank welcomes ‘culture board’
Board must push changes called for by central bank reports, says CBI’s financial conduct head
SOFR swap surge points to Q2 repo hedging
Strategists say 27 swaps traded last week with July 3 expiries likely to be quarter-end US repo rate hedges
The biggest stories from Isda’s 2019 AGM
From new uses of SOFR to non-modellable risk factors in Asia – here are the 10 best stories from the conference
Podcast: Mathieu Rosenbaum on the rough Heston model
Combination of rough volatility and the classical Heston model gives promising results
CCAR disclosure sheds new light on modelling default losses
Regulator reveals loss rates for loans and credit cards, but banks say disclosures don’t go far enough
Basel NMRF changes don’t solve Asian data challenges
Isda AGM: Asian regulators may still need to soften FRTB standards locally, warn bankers
Australia central bank: repo collateral will require fallbacks
Isda AGM: Debt instruments will need the provisions to be eligible for Reserve Bank of Australia repo programme
MetLife executes $250 million SOFR-linked repo
Isda AGM: US insurer's hedging chief says systems issues hindering its use of derivatives, however