News
Swaptions get fallback safety net, but crave CCP fix
Isda’s Ice swap rate fallbacks calm fears, yet CCP action needed to protect physical settlement
Isda disputes excessive FRTB charges for carbon trading
EU carbon certificates show lower volatility and higher netting than Basel approach assumes
Term SOFR gets cautious blessing for derivatives
ARRC use cases for forward RFR could accelerate derivatives’ availability, though dealers must warehouse basis risk
EU considers postponing CSDR’s mandatory buy-ins
Industry faces unnecessary compliance costs if rules are enforced, despite being under review
New BoE climate risk scenarios spark race for extra data
Banks need information from clients or third parties to populate 1,760 stress test variables
Quants split on who wins in the alt-data gold rush
Scale helps in handling new data, but alpha may be found in niche strategies
Green push from SEC could trigger another ‘Enron’, says Peirce
SEC commissioner warns that mandating ESG disclosure standards would distort capital flows
No mandate, no problem: SOFR swaps embrace clearing
Almost 70% of RFR derivatives cleared and half traded over Sefs in voluntary adoption of post-crisis norms
EBA to consult on banks’ machine learning use
Watchdog will set out stance on ML-based capital models amid conflicting guidance from supervisors
US mutual funds’ crypto holdings doubled to over $1bn in Q1
BlackRock and MSIM are among 16 US fund managers dipping their toes into crypto investing
Euro RFR group calls for statutory Eonia fix
Legal designation for €STR as replacement rate would avert “confusion” in €9trn of legacy contracts
New Isda definitions pave way for bespoke swaps clearing
Pick-and-mix grid of floating rate options will make it easier to clear post-Libor bond hedges
Podcast: Claudio Albanese on how bad models survive
Darwin’s theory of natural selection could help quants detect flawed models and strategies
Goldman tackles climate risk controls
Lender joins other banks in translating physical and transition threats into controls framework
UK tipped to take lead on consolidated tape provision
Fixed income focus could pip European Union in race to provide market data golden source
Asia moves: HSBC makes raft of senior hires, Barclays appoints Singapore private banking head, and more
Latest job news across the industry
Risk managers urge consolidation of climate scenarios
Converging financial and corporate scenarios would provide better data for stress-testing
Electronic swaptions trading sparks market’s interest
Regulatory demands and Covid have upped e-trading in swaptions, but trade complexity remains a hurdle
JP Morgan warns hedge funds to expect intraday margin calls
US bank may demand variation margin ‘up to seven’ times a day after Archegos default
Fractured Libor transition halts US structured rates switch
Issuance of non-Libor caps and floors dries up as lending markets mull array of credit-sensitive SOFR rivals
Banks and HFTs team up to solve exchange outage dilemma
Hopes that ‘gentlemen’s agreement’ can break first-mover disadvantage for liquidity providers
ECB tightens grip on back-to-back booking models
Supervisor could impose large exposures limit for intragroup trades, even if UK granted equivalence
Competition may be coming to crypto ETP market-making
Flow Traders makes markets in every European cryptocurrency ETP. Banks want in on the action
AML models face explainability challenges
Data gaps and potential biases must be accounted for in approaches to tackling money laundering