News
Esma probes blurry line between FX vendors and venues
Forex liquidity aggregators resemble trading platforms – but are not regulated as such, critics charge
Axoni readies blockchain platform for equity swaps
Service aims to smooth swaps reconciliation – ‘the Holy Grail’ – for Goldman, Citi and other backers
VAR lookbacks should shift dynamically, research suggests
Change-point analysis method helps identify regime shifts in equities markets, quants claim
New op risk taxonomy set for October debut
Project is being closely watched by banks and regulators amid frustrations with legacy Basel approach
Carney: Germany and France risk Brexit derivatives cliff edge
BoE governor says it is in EU countries’ “interest” to ensure full viability of financial contracts pre-Brexit
Dealers dip toe into Sonia swaptions market
NatWest and HSBC print trades, Barclays offers prices
CME-LCH basis collapses amid rates downturn
Brexit and recent LCH initial margin raise could also be factors
Australia a prime candidate for a term RFR – IHS Markit exec
With its liquid futures and OIS markets, the country could be a term rate leader
Esma proposal may limit short-selling
Reporting requirement would bar securities without LEIs from being used in financing transactions
Clients demand access to CCP default auctions
“In a default, we are comfortable taking on risk and can move quickly,” says DRW’s Wilson
IBA mulls RFQ data and Sonia spinoff to bolster swap rate
Benchmark administrator consults on plan to reduce non-publication and prepare for transition to RFRs
CurveGlobal and the curious case of the lost open interest
One-third short sterling plunge in open interest on CurveGlobal may signal more capital-sensitive times
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
NLP sniffs out contracts harbouring Eonia as fallback
Test finds wide range of 4,000 Libor euro contracts examined could end up in the flagging Eonia rate
Pimco deploys neural net model in agency bonds
Old models for $7 trillion mortgage market overstate risk in some cases, asset manager says
Six big forex market-makers call for end to last look
Citadel Securities, Jump and Virtu among those repudiating controversial practice
Podcast: McClelland on why you need a good MVA model
Numerix quant presents a model aimed at showing the total cost of a trade
Goldman improves execution ‘by 50%’ with new algos
Bank uses neural networks and other AI tools to cut slippage in stock trading
Singapore banks begin to phase in XVA
DBS, OCBC and UOB start using valuation adjustments, but face hedging hurdles for CVA
LCH plans October 2020 SOFR discounting switch
Cash and basis swaps will reverse value transfer on US dollar derivatives
JP Morgan first to issue SOFR-linked preferred stock
BofA, Goldman Sachs and others are also preparing for Libor’s end
Basis swaps spike amid US rates chatter
Budgetary wrangling and talk of Fed cuts spark Libor-OIS basis shift
Dual IM relief may slash 2020 docs burden by 90%
Isda sees around 8,000 counterparty relationships lifted from phase-five repapering