News
Stoplight system could spot imminent meltdowns – study
Proposed traffic light system sifts through transaction data for signs of trouble
Modelling cyber losses could get easier – study
Cyber losses behaved much like non-cyber losses when grouped by severity, so perhaps less data is needed
Eurex cross-currency swap clearing faces continued delays
Clearing house eyes June release; dealers voice concerns over liquidity and margining
Libor-in-arrears swaps face unwinds on benchmark death
Backward-looking fallbacks are incompatible with the product, which relies on forward rates
Podcast: Kaminski on lessons from commodity market defaults
Professor Vince Kaminski analyses Nasdaq and PJM defaults
Irish central bank welcomes ‘culture board’
Board must push changes called for by central bank reports, says CBI’s financial conduct head
SOFR swap surge points to Q2 repo hedging
Strategists say 27 swaps traded last week with July 3 expiries likely to be quarter-end US repo rate hedges
The biggest stories from Isda’s 2019 AGM
From new uses of SOFR to non-modellable risk factors in Asia – here are the 10 best stories from the conference
Podcast: Mathieu Rosenbaum on the rough Heston model
Combination of rough volatility and the classical Heston model gives promising results
CCAR disclosure sheds new light on modelling default losses
Regulator reveals loss rates for loans and credit cards, but banks say disclosures don’t go far enough
Basel NMRF changes don’t solve Asian data challenges
Isda AGM: Asian regulators may still need to soften FRTB standards locally, warn bankers
Australia central bank: repo collateral will require fallbacks
Isda AGM: Debt instruments will need the provisions to be eligible for Reserve Bank of Australia repo programme
MetLife executes $250 million SOFR-linked repo
Isda AGM: US insurer's hedging chief says systems issues hindering its use of derivatives, however
LCH discounting switch tipped to help SOFR swap market
Isda AGM: Using SOFR discounting for Libor swaps will help build liquidity, say market participants
Traders back SOFR derivatives as repo hedge
Isda AGM: Market participants say products linked to the rate could mitigate quarter-end spikes
Confusion dogs start of Europe’s new securitisation rules
Incomplete rules and lack of clarity on designated supervisors thwarts hoped-for revival of key market
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
Weiss scraps bond strategy amid liquidity qualms
Buy-Side Risk USA: $1.6 billion manager says thinned-out markets make generating alpha hard
UBS Asset Management cools on alternative data
Buy-Side Risk USA: Firm checked several datasets and found little alpha
Goldman welcomes Basel’s rationalisation drive
Isda AGM: Praise for efforts to curb fragmentation, but EU official defends rollback of deference
EU permissions regimes could reduce no-deal risks
Isda AGM: UK firms could still trade with EU clients on exit, but solutions are complex and temporary
Hong Kong goes slow on swaps trading mandate
Isda AGM: Regulator fears disruption to its position as global hub if it forces trades on venue
CFTC official warns on Sef rule overhaul
Isda AGM: Targeted changes better than a total rewrite, says Rostin Behnam
High costs limiting CNY corporate swaps market
Isda AGM: Demand growing but high capital costs burdening banks