News
OCC quants tout anti-procyclical margin method
Technique aims to lower initial margin calls in times of stress without sacrificing risk sensitivity
Podcast: Colin Turfus on short-rate models and Libor’s end
Deutsche Bank quant proposes a lean model to quickly produce benchmark prices
Capitolis to acquire LMRKTS
Deal for multilateral compression provider latest in wave of post-trade tie-ups, as SA-CCR bites
Federal tough legacy fix gives nod to alternative rates
Legislation does not “disfavor” alternative rates, but safe harbour may not stretch beyond SOFR
Eurex plans hedging contest in default auction revamp
New step in the default management process would enhance transparency in hedge provider selection
Archegos report details margin failings at Credit Suisse
Dynamic margining and a $150,000 software fix for ‘bullet swaps’ could have saved the bank $3 billion
Cross-currency swaps set to ditch Libor in ‘RFR first’ drive
A plan to oust Libor in September is expected to spur voluntary RFR adoption for euro legs
CME’s term SOFR rate gets the official nod
Endorsement comes just three days after ‘SOFR first’ drive, cementing availability in fallbacks
Ex-regulators back PTFs’ call to reform Treasuries clearing
G30 proposal comes just weeks after PTFs requested improvements to Ficc sponsored clearing
Mixed signals as swap dealers begin quoting ‘SOFR first’
Swaps referencing Libor successor revert to year averages after initial spike on conventions switch
Banks hail UK plan to pare scope of taxing pre-trade reporting
UK wants to exempt bonds and OTC derivatives from Mifid rules on pre-trade transparency
Don’t fret about elevated skew, vol experts say
Extreme relative cost of tail risk hedging is driven by flows more than fear
Swaptions get fallback safety net, but crave CCP fix
Isda’s Ice swap rate fallbacks calm fears, yet CCP action needed to protect physical settlement
Isda disputes excessive FRTB charges for carbon trading
EU carbon certificates show lower volatility and higher netting than Basel approach assumes
Term SOFR gets cautious blessing for derivatives
ARRC use cases for forward RFR could accelerate derivatives’ availability, though dealers must warehouse basis risk
EU considers postponing CSDR’s mandatory buy-ins
Industry faces unnecessary compliance costs if rules are enforced, despite being under review
New BoE climate risk scenarios spark race for extra data
Banks need information from clients or third parties to populate 1,760 stress test variables
Quants split on who wins in the alt-data gold rush
Scale helps in handling new data, but alpha may be found in niche strategies
Green push from SEC could trigger another ‘Enron’, says Peirce
SEC commissioner warns that mandating ESG disclosure standards would distort capital flows
No mandate, no problem: SOFR swaps embrace clearing
Almost 70% of RFR derivatives cleared and half traded over Sefs in voluntary adoption of post-crisis norms
EBA to consult on banks’ machine learning use
Watchdog will set out stance on ML-based capital models amid conflicting guidance from supervisors
US mutual funds’ crypto holdings doubled to over $1bn in Q1
BlackRock and MSIM are among 16 US fund managers dipping their toes into crypto investing
Euro RFR group calls for statutory Eonia fix
Legal designation for €STR as replacement rate would avert “confusion” in €9trn of legacy contracts
New Isda definitions pave way for bespoke swaps clearing
Pick-and-mix grid of floating rate options will make it easier to clear post-Libor bond hedges