News
Bonds go back to the future as electronic volumes grow
Surge in bond ETFs and portfolio trades accompanies investor return to platforms
Friary deal clears path for Sonia switch revival
Consent solicitation for Libor-linked pass-through notes is first transition test for variable-duration instruments
Non-EU corporates thwarted on Emir reporting relief
Esma suggests foreign-headquartered firms can’t benefit from intra-group exemption
Malaysia Ibor trades vs SOFR in new sign of Asia transition
CIMB, Standard Chartered Malaysia strike second swap in region to use Ibor rate against US RFR
SOFR basis tightens on ‘big bang’ auction disclosure
Indicative auction portfolio unveiled by LCH shows discount risk heavily skewed to liquid end of curve
Banks aim to close op risk stress test capital gap
Standardising stress drivers could help smooth differences between bank loss estimates
Bonds and loans clash on Sonia compounding style
Choice of ‘lag’ method for sterling RFR loan conventions bars use of BoE index
Hong Kong plots Honia-linked floater debut
Central bank hopes floating rate note sale will kick-start new debt market linked to risk-free rate
Accounting rules snare insurers in SOFR discounting switch
Re-couponing swaps to reduce discount risk could have adverse accounting consequences for insurers
Buy side confronts dealers over unreliable bond prices
Investors are quantifying the quality of indicative prices and banding together to tackle the issue
SocGen’s Marc Saffon appointed Japan head of markets
Saffon replaces Arnaud Lhoste who returns to Europe
Covid scenarios, pt II: apocalypse how?
Second crowdsourced scenario exercise reveals polarised views in equities and FX
Ratings can still sharpen credit risk picture
Study shows even the most modern default models benefit from adding credit rating information
Reg AT withdrawal could delay a Biden agenda for the CFTC
Democrats and some lawyers say Tarbert’s new principles don’t achieve same goals as Reg AT
US regulator may bend on margin rule for segregated accounts
CFTC open to extending September 15 deadline
AFM seeks to ‘level playing field’ for venues and vendors
Dutch regulator suggests some liquidity aggregators should be classified as OTFs
BofA becomes first US bank to adopt SA-CCR
Move cut leverage exposure by $66bn, but other banks wary of trade-offs
LCH to accept Sing dollar bonds as collateral
Singapore’s banks hope move will ease margin funding burdens, and speed direct membership
Bank investors still don’t think bail-in will happen, FSB told
Questions over bailing in bank bondholders mean problem of too big to fail persists, experts warn
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
Podcast: CFM’s Bouchaud on agent-based models and ESG investing
Hedge fund quant, and Risk.net’s new columnist, shares his unique take on markets
CVA problems, CCP resolution and digital tokens
The week on Risk.net, August 22-28, 2020
Ronin, felled prop giant, shuts up shop
Firm cancels regulatory licences; traders receiving payouts on equity stakes
Barclays proposes new taxonomy for digital tokens
A common approach to classifying tokens is needed to prevent regulatory arbitrage, UK bank argues