United States
First SOFR versus CORRA cross-currency swap hits market
JP Morgan and National Bank of Canada extend SOFR cross-currency trading into Canadian market
Fed could postpone stress buffer beyond CCAR – experts
Delays prompt speculation that new rules will only be known after stress-test results in June
Goldman, JPM kick off SOFR swaptions
US dealers spearhead non-linear trading but patchy liquidity weighs on vol market ambitions
FCA dismisses Libor credit component concerns
UK regulator bemused by distress raised by US regional banks to Fed
Fast-track SOFR term rate, says JP Morgan’s Pluta
Traders divided on whether liquidity in SOFR futures is sufficient to support a forward rate
FCMs’ required client margin up 29% in 2019
Citi still far and away the largest FCM
BNP leads a comeback for Europe’s clearers
Brexit, leverage ratio tweaks and concentration fears could help European banks compete with US FCMs
US banks anticipate fresh guidance on resolution liquidity
Consultation in first half of 2020 expected to clarify intra-group and forecasting requirements
CCAR more severe than EU stress tests
Real GDP decline greater for US banks under Fed tests than for EU firms grilled by the EBA
Quant Guide 2020: programmes tap banks for teaching talent
Unis are adding machine learning and data science courses, but need instructors to teach them
Fed’s stress tests to gauge banks’ leveraged loan risks
CLOs to suffer “severe corrections” under 2020 scenario
Isda plans February rerun of Libor pre-death trigger poll
Lack of consensus would add pre-cessation option to post-cessation protocol for bilateral swaps
Quant Guide 2020: Princeton University
Princeton, New Jersey, US
Quant Guide 2020: Johns Hopkins University
Baltimore, Maryland, US
Quant Guide 2020: University of Illinois at Urbana-Champaign
Urbana and Champaign, Illinois, US
Quant Guide 2020: University of Washington
Seattle, US
Quant Guide 2020: Stony Brook University
Brookhaven, New York, US
Quant Guide 2020: Rutgers University
Piscataway, New Jersey, US
Quant Guide 2020: North Carolina State University
Raleigh, North Carolina, US
Quant Guide 2020: Cornell University
Ithaca and New York City, New York, US
Quant Guide 2020: Carnegie Mellon University
Pittsburgh and New York City, US
