News
FRTB capital quirk for sovereign bonds bewilders banks
EU treatment of govvies under internal models is worse than standardised approaches
Market begs EC for more time to mull euro clearing proposals
Firms given one month to respond on wide-ranging consultation around relocation of euro swaps
Surging Vix would turbocharge Blackstone Credit strategy
Unique high-yield systematic strategy has outperformed equivalent ETF by 18% over five years
Legacy Libor swaptions face day of reckoning
Holders of physically settled swaptions in sterling and yen must switch to new risk-free rates, but it’s not simple
Market set to reject SEC’s anti-fraud CDS rules ... again
Industry groups dislike retread of rules around fraud and manipulation, and want longer comment period
Fillip for credit-sensitive rates as Axi, Critr advance
IHS Markit makes benchmarks available for live products; Invesco appointed as Axi administrator
SEC outdoes Europe on hedge fund, private equity disclosures
US to ban preferential treatment and introduce quarterly performance updates in rule shake-up
Podcast: UBS’s Gordon Lee on conditional expectations and XVAs
Top quant explains why XVA desks need a neighbour and a reverend
Dealers slam alternative for Tibor Tokyo swap rate
Refinitiv activates synthetic version, but TSR’s cessation is on hold pending further consultation
Don’t impose blanket margin model rules, say BoE advisers
Focus instead on outcomes and costs and factor in different clearing membership, say Murphy and Vause
Product innovations push deal contingents beyond M&A
Banks entice new users with hedges related to IPOs and bankruptcy procedures
Banks rely on clients to police US Libor ban
Dealers say it’s “impossible” to verify end-user compliance with narrow Libor exceptions trade by trade
Borrowers redefine green repo, repurposing non-green bonds
Collateralised repo transactions that support sustainability can be cheaper than green bonds or loans
EU regulators warn Basel III deviations could last forever
CRR III allows European Commission to extend transitional rules for SA-CCR
Canada looks beyond bankers’ acceptance market in rate reform
Banks “moving away” from antiquated lending practice that is a key input for CDOR benchmark
Indian banks struggle to make gains from close-out netting law
Lawyers say undocumented derivatives trades hinder the audit trail needed to secure capital benefits
Investors shun Chinese bonds favoured by biggest benchmarks
Indexes are increasing their allocation to China, but European investors want climate action first
UK cross-border review feels Brexit strain
Growing signs that overseas persons exclusion will fall foul of rivalry between UK and EU
BNP’s brief status as ‘non-bank’ reversed in indexing volte face
ICB’s temporary reclassification triggers repricing of dividend futures in main eurozone banks index
Market halts clearing shift to Eurex ahead of EU consultation
Participants hit ‘pause’ after proposed three-year equivalence extension for UK clearing houses
Starting salaries jump for top quant grads
Quant Guide 2022: Goldman’s move to pay postgrads more is pushing up incomes, says programme director
Green stocks will rise 8%, while energy shares slide – BlackRock
Discount rates for heaviest polluters will worsen by 50 basis points by end 2025, research suggests
How PGGM made 11% a year selling credit protection to banks
Dutch investor expects returns to drop over time unless rising inflation widens risk premia
Banks balk at SEC backloading rule
Reporting requirements for expired security-based swaps “not justified”, dealers say