Articles by Robert Mackenzie Smith
Volume-starved SOFR leaves quant hankering for data
At T Rowe Price, a top quant is tired of SOFR being “yanked around by the liquidity premium”
CFTC refuses to budge on margin treatment of SMAs
Asset managers must agree new protocols for dealing with margin shortfalls in SMAs by September 2020
CLO investors find silver lining in Libor’s demise
A backward-looking SOFR rate will reduce the asset-liability mismatch that sank CLO equity in 2018
SOFR discounting switch splits Goldman and JP Morgan
CFTC committee calls on clearing houses to align timing and compensation mechanisms
An old fight over margin protections rears its head
CFTC rules on margin and loss limits for separate accounts are being torn up for asset managers
Sefs stall, but more liquidity may be coming
The hoped-for competition among Sefs never was. But banks and prop traders might be facing off on swaps
CME-LCH basis collapses amid rates downturn
Brexit and recent LCH initial margin raise could also be factors
Splits emerge over ‘pre-cessation’ fallback triggers
CCPs say cleared swaps will move to new rates if Libor is no longer representative of markets
Six big forex market-makers call for end to last look
Citadel Securities, Jump and Virtu among those repudiating controversial practice
JP Morgan first to issue SOFR-linked preferred stock
BofA, Goldman Sachs and others are also preparing for Libor’s end
trueEX to shut swaps trading platform
Would-be disruptor will exit business on July 19, leaving swaps market in hands of incumbents
Citi culls HFTs from FXPB client list
HC Technologies, Jump Trading and Virtu Financial among those told to find a new prime broker
Libor leaders: Prudential takes SOFR for a test drive
Test trades have allowed US insurer to start getting used to a life without Libor
A mystery: why did the NY Fed use a survey to get SOFR?
Almost a week later, still no word on why SOFR was set using a market survey instead of submissions
New tools needed for bespoke SOFR trades – Wells Fargo
US bank’s Libor transition head wants ‘simple’ way to calculate compound rates for any given period
A powder keg in forex: the prime broker business
Brokerages look at high-speed algo trading paired with bloated credit limits – and shudder
DTCC in talks to clear MarketAxess bond trades
Market-first move could cut platform’s costs and counterparty risks
Talk of delaying IM ‘big bang’ sparks backlash
EC official's recent comments may hamper compliance preparations, dealers say
Born again: Citi’s forex prime brokerage
After a $180 million gut-punch, the apex brokerage is now evangelising to amused rivals about the perils of mispricing
Ice creates daily credit risk monitoring tool
Company muscles into Bloomberg’s fixed income data territory with bond analytics service
US Treasury won’t issue SOFR notes until at least 2020
Project Titan will delay issuance of floating rate Treasury notes linked to new reference rate
Risky notes replace easy money for exotics desks
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
Fed repo facility may fix SOFR’s image problem
‘Overnight standing repo facility’ could stop year-end rate spikes, and extend Fed’s reach
Dealers go quiet on Turkey research
Seven banks have not covered this week’s lira meltdown, following investigation of JP Morgan