Benchmark
Squashing CVA still dominates XVA desks’ priorities
Dealers favour options-based strategies to manage charges; some explore contingent CDSs amid rising exposures
Rumblings over UK review of ‘bad apples’ regime
Plans to reform Senior Managers and Certification Regime raise concerns over backsliding on conduct in financial industry
Hedge before the fix to avoid predatory traders – research
In simulations, slow and steady hedging for 4pm benchmark orders shaved up to 25% from costs
Libor appeals leave future misconduct cases Hayes-y
UK authorities must develop a more effective framework for punishing bad bankers
Repo clearing rule could raise SOFR volatility – OFR analysts
Analysis of 2022 data finds large divergence in tail rates but no change in median
New FX swap matching platform aims to bridge voice and e-trading
FXswapX seeks to electronify “the last bastion of voice trading” in the interdealer market
Inside the company that helped build China’s equity options market
Fintech firm Bachelier Technology on the challenges of creating a trading platform for China’s unique OTC derivatives market
High CNH rates curb appetite for Hong Kong’s new repo scheme
Dealers remain hopeful initiative is a prelude to full onshore repo market access
JP Morgan QIS notionals hit $100bn
Dealer sees 15% annual growth in ‘imperfect’ notional measure, eyes rates and FX for next phase
Hong Kong dealers make Honia transition push
Standard Chartered ramps up swaps quoting for Hibor alternative; calls for industry transition group
Lenders scramble to get ahead of Italian fallback mandate
New law requiring robust fallbacks for Euribor will take effect on January 10
Acadian model detects gaps between climate goals and reality
Quant shop builds tool for net-zero alignment assessment, using NLP and Bayesian models
CME launches late term €STR bid
Exchange group becomes third provider with rate built on €135 billion of daily transactions
Snap! Derivatives reports decouple after Emir Refit shake-up
Counterparties find new rules have led to worse data quality, threatening regulators’ oversight of systemic risk
Canada benchmark shaken by T+1 hedge fund influx
Shortened settlement cycle swept hedge fund trades into Corra, making the rate more volatile
Basis swaps surge amid US repo concerns
Fed funds-versus-SOFR swap volumes nearly triple as declining Fed reserves impact funding rates
Quants dive into FX fixing windows debate
Longer fixing windows may benefit clients, but predicting how dealers will respond is tough
New benchmark to give Philippine peso swaps a fillip, post-Isda add
Isda to include new PHP overnight rate and Indonesia’s Indonia in its next definitions update
A comparison of FX fixing methodologies
FX fixing outcomes are mostly driven by length of calculation window
ARRC replacement aims to dodge rates ruckus
Fed’s new reference rate committee wants to avoid reigniting battles about term and credit-sensitive rates
Pricing and funding woes hit gilt repo
QT-driven funding cost rises combined with clients’ price demands see at least two banks pull back