News
Bitcoin futures ETF loses 9% a year to fees and contango
Cost of rolling futures contracts from one month to another exacerbates ProShares ETF’s losses
EU looks to close Brexit escape route from ECB supervision
Changes to capital regulation would stop national rulebook arbitrage deployed post-Brexit
Vanguard eyes DLT for FX forwards after smart contract success
Fund giant hopes roll-out of tech in 2022 will deliver greater efficiency and pricing benefits
JP Morgan testing deep hedging of exotics
Neural network trained to hedge complex options using simulated data expected to go live this year
LSEG beefs up non-cleared ambitions with Quantile deal
Agreement to buy optimisation firm for £274m strengthens LCH’s FX foothold as SA-CCR bites
Princeton, Baruch and Berkeley top for quant master’s degrees
Eight of 10 leading schools for quantitative finance programmes are based in US, latest rankings show
Bitcoin’s carbon footprint rises with prices – DNB research
Total carbon emissions produced by crypto assets rose by 25% in 2020, study finds
Private companies ‘lack data transparency’
Investors held back over issues around data quality and availability
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Experts urge OCC to include climate risk in bank exams
Regulator’s proposed principles are step in the right direction, but still behind Europe
People moves: Ice rings changes, new CFTC appointees, and more
Latest job changes across the industry
Buy-side traders start to cool on ESG-deficient dealers
Managers adopting ESG metrics in counterparty evaluations may exclude dealers that aren’t up to scratch
Down but not out: US Libor trading continues amid ban
Outgoing rate hits market share lows in US swaps but little dent made in listed markets
B2C2 platform seeks to bring banks into crypto derivatives
By using a Japanese bank as intermediary, market-maker hopes to tap into growing trading demand from dealers
Don’t apply OTC equity rules to bonds, says SEC’s Peirce
Republican commissioner warns proposed transparency rule could deter electronic trading of bonds
Quants turn to single stocks to revive intraday trend strategy
Retail trading boom has made intraday single-stock strategies more viable
Interest rate swap activity surges ahead of Fed tightening
Counterparty Radar: Managers react to fastest rise in inflation in three decades
Margin rules lead to rise in Asian NDF clearing volumes
LCH and Eurex position themselves for NDF clearing uptick ahead of next UMR phase
Buy side turns to extreme value theory to spot tail risks
Asset managers reappraise decades-old technique to gauge downside risks amid fears of volatile 2022
Pimco, Capital Group lead expansion of index CDS market
Counterparty Radar: Total positions reach new high driven by growth of swaps referencing CDX NA IG
CCPs unlikely to be wiped out by op losses, research suggests
Former LCH risk chief says sharing loss data would help CCPs avoid risk of holding too little capital, or too much
JP Morgan flies into top FX options spot
Counterparty Radar: Renminbi/US dollar trades also keep Morgan Stanley IM in front
Morgan Stanley on heels of Goldman in Q3 CDS data
Counterparty Radar: Sold protection, corporate names fuel growth in US funds’ single-name books