Indexes
A BMR-shaped hole in the US Libor transition
US could benefit from copying EU Benchmarks Regulation as market moves to shaky Libor successors
The Libor replacement stakes: runners and riders
Credit-sensitive rates Ameribor and BSBY nose ahead of Ice, Markit and AXI; regulators keep watchful eye
Page 19901: the benchmark that time forgot
CFTC probe into swap price rigging revives the ghosts of Libor manipulation
Is short vol taking the long count?
Short volatility players try to box clever after strategy’s Covid rout
Citi turns to decrement indexes for single-stock autocalls
US bank claims new Stoxx indexes for 23 single names will slash hedging costs and boost coupons
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
CME looks to life after Eurodollars, as rivals circle
Eurodollar futures will die with Libor but there is no obvious ready-made replacement
IBA rolls out Sonia indexes for lending markets
Alternative to BoE index includes 0% floors and support for both lag and shift conventions
Quants say they can fix value’s broken ratio
Price-to-book metric can be tailored to the new economy, researchers believe
EU fund managers confused by new ESG designations
Vague rules leave managers unsure which categories to apply to their funds
Libor transition – What is the endgame?
No-one expected the transition away from Libor to be easy. At the outset, some doubted whether the transition was even possible. However, with less than a year left before the expected cessation of Libor as a regulated benchmark, the transition certainly…
Haitong set for warrants wins as China sanctions hit US banks
China securities firm doubles HKEX warrant output as US banks pull listed products on vetoed names
Bloomberg joins race for SOFR credit add-on
Benchmark provider building bolt-on adjustment from short-term bank lending data
Credit Suisse bets on intraday vol signals to revive FIA sales
New line of fixed indexed annuities will use intraday data for more precise vol targeting
New HKEX warrant buyers surf vol in unfamiliar waters
While stock volatility is boosting inline warrant turnover, it’s driving bets more suited to wholesale products
FX swap volumes set to rise on China bond index inclusion
Traders expect greater use of FX derivatives if FTSE Russell adds bonds to WGBI this week
Index provider of the year: MSCI
Asia Risk Awards 2020
CVA desks arm themselves for the next crisis
March’s volatility forces dealers to fine-tune hedging strategies
China Minsheng Bank MStar shines in volatile markets
Investors in China are continuing to turn away from once-favoured products that offer an implied guarantee return – instead flocking into floating-return solutions linked to global financial markets
Stanford’s Duffie shakes up SOFR credit race with AXI index
Academics propose new credit index that ditches Libor tenors for a single funding spread
Markit plans SOFR credit spread add-on using CDS data
Vendor taps vast pool of credit market data to create new benchmark “not dissimilar” to Libor
Bond managers relaxed ahead of bumper index rebalance
Fed’s credit facilities boost confidence as downgrades hit corporate bond indexes
When are index delays justified? Industry standards are vital
Relying on discretion is not sustainable, argues index executive in wake of rebalance delays
Left out of Fed action, lower-rated CMBS overheat
BBB yield-to-worst spirals as highly-rated bonds recover after central bank and government intervention