Risk magazine/News
Eurex scrambles to avert Treasury collateral ban on US default
Current policy prevents CCP from selectively excluding eligible collateral
Capitolis registers swap dealer in strategy refresh
Vendor’s SBSD registration may facilitate unique multi-seller platform for equity swap business
New buy-side tools seek to break grip of bank FX algos
Proprietary algorithms come of age to provide alternatives for the buy side
Citi quants’ AI model aims to hedge earnings surprises
Machine learning tool forecasts effect of shocks on implied volatility surfaces in minutes
Esma warns new foreign clearing house rules could backfire
Löber says euro swaps trading may move away from CCPs that face toughest EU scrutiny
Market welcomes SOR fallback consensus
Clarification of five-year median spread adjustment is helpful, but “no magic bullet”
JP Morgan appoints two new equities quant research co-heads
New heads will share responsibilities previously held by deep hedging pioneer Hans Buehler
LME tear-up may have averted ‘multiple defaults’ – CEO
Decision to cancel nickel trades on March 8 forestalled ‘unprecedented’ margin call, argues exchange chief
India’s bespoke Basel rules leave foreign banks feeling exposed
End of non-cleared derivatives exemption leaves local branches scrambling for capital
After nickel-gate, Esma may seek data from more non-EU CCPs
Supervisor concerned lack of granular data on exposures could leave it flat-footed on LME-style risk events
JP Morgan appoints new head of derivatives clearing
Richardson promoted to top job as Rustad takes leave of absence
Banks adopt Python for faster XVA data analysis and pricing
Some banks claim the coding language permits XVA pricing in milliseconds
Wrong-way add-on helped LCH mop up VTB default
Margin supplement bought precious time to formulate wind-down strategy
In U-turn, EC extends euro clearing consultation deadline
Responses to over 200 questions on the future of euro clearing must now be submitted by March 22
Market begs EC for more time to mull euro clearing proposals
Firms given one month to respond on wide-ranging consultation around relocation of euro swaps
Dealers slam alternative for Tibor Tokyo swap rate
Refinitiv activates synthetic version, but TSR’s cessation is on hold pending further consultation
FCA: dealer polls pose further Libor transition hurdle
Schooling Latter warns further work needed to migrate products that require dealer quotes when Libor ceases
BofA clearing vet leaves to launch start-up
Brooks Stevens plans new venture after 27 years with Bank of America and Merrill Lynch
Wells Fargo clearing and futures head departs
Veteran who oversaw bank’s swift rise to swaps clearing juggernaut retires
Citi clearing head departs for crypto firm
Senior departure is latest among swaps giant’s clearing ranks
Electronic swaptions trading sparks market’s interest
Regulatory demands and Covid have upped e-trading in swaptions, but trade complexity remains a hurdle