News
US loan market will move to SOFR by Q1 of 2021 – Wells Fargo
Libor head predicts quick transition for loans following ‘big bang’ shifts in swaps
CCPs failing to set effective margin limits – study
Clearers must strike balance between countercyclicality and sensitivity to risk
Negative Vix premium signals vol spikes, research finds
Unusual pattern seen in Covid crash could help volatility sellers avoid future reversals
Experts find holes in funds’ argument for higher US VAR caps
Ex-SEC official says he would be “shocked” if agency raised proposed leverage limits on derivatives users
Swaptions compensation method divides market
US and European firms back redress payments, but disagree over how they would work
LCH debuts central clearing for Sora derivatives
CCP expects surge in volumes after clearing first trade linked to Singapore’s risk-free rate
Quants puzzle over how to handle negative oil prices
Firms are choosing to cut ‘outlier’ prices from data or to rely more on fundamental inputs
UK regulator rules out extending Libor deadline
Despite Covid disorder, FCA will not compel banks to submit Libor quotes after 2021
Podcast: Kaminski and Ronn on negative oil and options pricing
The market is gravitating to the Bachelier model as an alternative to Black 76
SOFR phase-in for cash products sparks ‘mismatch’ fears
Official proposal for one-year transition period could lead to basis risk, participants say
Singapore debuts floater linked to risk-free rate
DBS to issue one-year note with compounded SORA coupon
Markit plans SOFR credit spread add-on using CDS data
Vendor taps vast pool of credit market data to create new benchmark “not dissimilar” to Libor
A zombie US capital ratio comes back to life
SLR rollback could mark the return of 1990s Tier 1 leverage ratio as a binding constraint
EBA relaxes modellability hurdles for market risk capital
Flexibility granted for assessing NMRFs on options, but constraints remain on committed quotes
Big banks worry small lenders could derail Libor switch
As UK regulator reiterates 2021 warning, dealers say Covid-19 is forcing smaller lenders to divert resources
Pressure grows on structured products as losses mount
Dividend-related losses at BNP Paribas may be higher than previously reported
Forwards spreads fall but won’t hit January levels, say traders
While bid/offers have shrunk since March’s highs, dealers expect them to remain elevated
Banks race to adapt AML systems for the coronavirus age
Lenders expect regulatory lashing if controls fail to keep pace with changes in criminal behaviour
Volatile FX markets reveal pitfalls of RFQ
Clients urged to mask trading intent; critics warn of subtle sell-side advantages
Two quants use options pricing tools to model Covid-19
New tool aims to gauge wider cost of virus control measures
LCH, HKEX to clear swaps linked to Asia overnight rates
Clearing houses ready launch of SORA and Honia swaps, but timing is uncertain
FX traders pull back to vanilla strategies for emerging markets
Spreads tighten on many currency pairs but liquidity still patchy
EU ‘non-paper’ reveals new effort to delay CCP open access
Negotiations on CCP recovery and resolution could provide a route to postpone Mifid rule
Fed does U-turn on SOFR loans
Libor rates to be used instead for four-year emergency lending schemes