Derivatives
Korean regulator likely to probe issuers of rate-linked products
Mis-selling enquiry may extend to structuring banks as global rates plunge threatens retail notes
Dealers rush to redeem high-yielding structured notes
An estimated $60 billion of structured notes are at risk of being called before year-end
CME no longer looking back to Lehman
Changes to rates margin model move CCP into line with rivals
Buy side continues with IM prep despite delays
Firms looking at custodian types, docs and trading strategies to optimise margin
CME-LCH basis collapses amid rates downturn
Brexit and recent LCH initial margin raise could also be factors
Most active CDS users get biggest savings – research
CFTC economists see benefits to having many counterparties since move to Sef trading
Splits emerge over ‘pre-cessation’ fallback triggers
CCPs say cleared swaps will move to new rates if Libor is no longer representative of markets
The machines are coming for your pricing models
Deep learning is opening up new frontiers in financial engineering and risk management
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
Fishing for collateral with neural nets
SocGen quant uses deep learning technique to optimise collateral substitution
LCH plans October 2020 SOFR discounting switch
Cash and basis swaps will reverse value transfer on US dollar derivatives
Basis swaps spike amid US rates chatter
Budgetary wrangling and talk of Fed cuts spark Libor-OIS basis shift
Swaptions face valuation hit on discounting switch
Move to new reference rates could hurt some swaptions holders, while others enjoy “windfall gain”
trueEX to shut swaps trading platform
Would-be disruptor will exit business on July 19, leaving swaps market in hands of incumbents
No forward-looking rates? No problem
A commonly used quant model could be the answer to the replacement of forward-looking Libor
Ahead of the curve: how traders profited from Libor fallbacks
Market second-guesses spread for new risk-free rate, spicing up Libor-Sonia basis market
Libor leaders: Prudential takes SOFR for a test drive
Test trades have allowed US insurer to start getting used to a life without Libor
Libor leaders: how seven firms are tackling the transition
BMO, Prudential, Associated British Ports, LCH and others reveal their plans to move off troubled benchmark
Libor leaders: BMO sets the pace in RFR transition
Early mover switches £10 billion of pension liability swap hedges to Sonia
Local Asian custodians not ready for IM phase five
Banks’ sluggish preparations for initial margin rules could hit buy-side clients
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
FCA: Sonia derivatives liquid enough to create term rates
Andrew Bailey says a forward-looking rate can work, but its use should be limited
Sonia advances: liquidity builds as banks eye interdealer shift
Libor’s successor has some solid footholds. Wider acceptance could come as soon as later this year
Banks quiet on Libor legacy transition, say Asian clients
Hong Kong Electric Company and APG Asia say dealer engagement on amending products is limited