News
Stocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter
Mifid data vendors face 4,000% supervisory fee hike
‘Cost of Esma’ crisis for largest European regulated data reporting and publishing firms
Regional banks lead charge into term SOFR
Forward rate is favoured by smaller lenders and is increasingly used in caps and floors
CDS users mull ‘uniform’ price as Russia fallback
Pricing agreement could replace dealer estimates if sanctions scupper default auctions
EU banks decry threat of capital hit to UK CCP exposures
EBA says supervisors could apply charges to “excessive exposures” of euro derivatives at all non-EU clearing houses
People moves: Exit Buehler for XTX, Spitz quits CA, and more
Latest job changes across the industry
US funds sold single-stock calls, bought puts ahead of downturn
Franklin Templeton, BlackRock, Calamos built defensive positions in Q4 2021
JP Morgan AM jumps into equity index options pole position
Counterparty Radar: Manager added $7.1 billion in S&P 500 puts and calls in Q4 2021
Term SOFR restrictions spark valuation debate
Ban on interdealer trading leaves dealers divided over accounting treatment of in-demand contracts
Behnam urges wider CCP access to Fed deposit accounts
CFTC chair says recent market shocks highlight value of Fed accounts; Congressman agrees
CDSs may not cover final coupon on $149bn of Russian bonds
Some derivatives contracts expire before end of final grace period for distressed corporate bonds
Deep hedging pioneer Hans Buehler quits JP Morgan
Former global head of equities analytics will be joining XTX Markets
CFTC approves start-up SDR ahead of US reporting overhaul
KOR Financial expects 30–50% cost savings as participants prepare to adopt US rule rehash
Time’s up for UK banks to unwind swaps with VTB
Majority of contracts have been terminated, but laggards face prospect of default
Biden approach could leave US behind on crypto regulation
Long timeline of executive order means international community may move faster than US lawmakers
Capitalab co-founder quits firm
David Bachelier leaves BGC-owned compression venture after seven years
Wrong-way add-on helped LCH mop up VTB default
Margin supplement bought precious time to formulate wind-down strategy
Funds forced to estimate value of Russian securities
Western asset managers can sell Russian shares from April 1. But they have to value them by March 31
USD pay-fixed swaps grew in Q4 ahead of rate hike
Counterparty Radar: Pimco and Capital Group bucked the trend, leaning toward receive-fixed exposures
Banks tout CCAR-style stress tests for emergent risks
Extreme-but-plausible scenario planning is being applied to geopolitical events such as Ukraine conflict
Ucits’ clash with IM rules could cause collateral damage
Strict collateral reuse guidelines may restrict popular investment vehicles’ hedging capabilities
Morgan Stanley bests Goldman as top US fund single-name CDS dealer
Counterparty Radar: Single-name corporate volume hits record high as Pimco increases positions
Climate is changing for derivatives valuation adjustments
Banks back increased use of global warming criteria when calculating XVAs
OTC nickel contracts stuck despite trading resumption
Contracts still unable to settle using new prices, but Isda template may solve the issue