News
Singapore calls time on new SOR swaps from September
Report calls on market participants to end reliance on SOR in coming quarters
Bill Dudley: exclude reserves, not Treasuries, from SLR
Former head of NY Fed says standing repo facility and reform of G-Sib buckets also key
Dealers applaud proposal to halt yen Libor swaps after Q3
BoJ working group timetable viewed as likely to boost liquidity in nascent Tonar market
US markets fret over ‘unrepresentative’ fallbacks
Two-year gap between spread fixing and cessation leaves fallback signatories tied to outdated basis
Refuge of ‘chancers’: Spacs draw criticism from big investors
Poor disclosure, sub-par returns and share dilution are highlighted as risks of so-called ‘blank-cheque’ companies
Market dispels fears over USD Libor cross-currency swap shift
Traders confident market convention will shift to RFRs on both legs of deals
Hong Kong banks await guidance on IRRBB for risk-free rates
HKMA will steer how historical volatility data can be used for valuing new options contracts
Industry group backs wider use of term Sonia in derivatives
Swaps used to hedge tough legacy products and some new loans could reference a forward rate
Japan debuts swaptions linked to risk-free rate
Sparse liquidity in Tonar swaps may put premium on swaption pricing, dealers warn
Calls grow for more oversight of ESG ratings
Current metrics are too fragmented and should have regulatory oversight, panel argues
ECB: don’t expect equivalence extension for UK CCPs
Central bank official says EC likely to stick to June 2022 deadline
Amundi puts a Darwinian spin on bond portfolio rebalancing
‘Genetic’ algorithm picks bonds to buy or sell from quadrillions of possible combinations
US regulators seek to tighten cyber incident reporting
New federal rule, mindful of Covid, will force firms to report serious incidents within 36 hours
Demand escalates for reform of EU bank resolution rules
SRB chair, Spanish MEP and Danish resolution chief join push to end regional bank bailouts
Fed group: SOFR term rate unlikely in 2021
ARRC chair says use case of a forward-looking benchmark would be limited
Fed’s Lindo: Basel op resilience rules imminent
Committee has also formed new group to oversee supervisory policy harmonisation, says senior regulator
CFTC’s Behnam wants federal oversight of crypto markets
Proposal would make US first Western country to regulate crypto exchanges and traders
Tradition to launch first SOFR order book
Streaming swap prices are a critical step to creating term rates for loan markets
CDS trading remains stubbornly human
Buy-siders sceptical of benefits of algo execution for credit derivatives
AQR quant on the network effects behind GameStop frenzy
New model captures how ‘fanatical’ investors can influence asset prices
Philippines weighs options for replacing swaps benchmark
Industry group identifies two alternatives but overnight rates are off the table. For now.
New licence forces rethink over Australian trading presence
Overhaul of regime will drive changes to booking models for trades with Australian clients
Deep hedging strays when volatility gets rough – study
In the most realistic simulations, data-driven approach fared 30% worse than conventional hedging
Funds breathe out as EU regulators ease ESG data rules
Majority of mandatory indicators become optional in final draft of sustainability regulation