News
Dealers split on role of Japan’s term rate
Isda AGM: Japanese corporates continue to eye “fragile” JPY term rate, despite concerns
Asia moves: Crédit Agricole appoints Hong Kong CEO, UBS sales head joins Morgan Stanley, and more
Latest job news across the industry
Prudential, Goldman cast doubt on Libor-like replacement rates
Isda AGM: Participants split on case for credit-sensitive rates in post-Libor world
Accurate RFR hedges face liquidity trade-off, participants say
Isda AGM: Aligning swaps with assorted cash market conventions requires users to weigh liquidity cost
Podcast: Hagan on convexity, volatility and the London Whale
Ex-JP Morgan quant discusses his latest work and the risk failures that cost the bank $6bn in 2012
New UK op risk rules elevate management over measurement
Under op resilience rules, firms must plan for all severe stresses, whatever their probability
Jarrow and co find a better way to spot stock market bubbles
Quant team’s options-based approach avoids pitfalls of historical data dependence
Tighter RMB rates basis brings new hedging opportunities
Increasing alignment between CNH and CNY benchmarks opens door to more cross-currency hedging by foreign lenders
Citi turns to decrement indexes for single-stock autocalls
US bank claims new Stoxx indexes for 23 single names will slash hedging costs and boost coupons
The bond venue using blockchain technology to plug leaks
LedgerEdge trading system aims to stop prices moving against users requesting quotes in larger sizes
Credit Suisse held just 10% margin against Archegos book
Swiss bank gave family office 10 times leverage, compared with four or five times at Goldman
Corporates remain on swaps fallback sidelines
Risk.net analysis finds just 14 out of 100 large non-financial firms have signed up to Isda fallback protocol
ARRC’s Wipf ‘puzzled’ by appeal of Libor-like benchmarks
Credit-sensitive benchmarks face questions over inputs and compliance
FCA unfazed by ‘inflated’ sterling Libor swaps trading
Regulator says high volume of new Libor swaps traded since April 1 is linked to risk reduction
Isda plans second benchmark protocol by ‘end of this year’
Sequel needed to facilitate benchmark transition in countries such as India and the Philippines
Simm template to be expanded for SA-CCR and FRTB
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
Isda poised to issue India netting opinion
Dealers say ability to apply close-out netting for capital calculations will boost derivatives market
Basel playing catch-up on climate risk, say experts
Individual regulators have already gone further in encouraging transition
CME unveils term SOFR in face of ARRC doubts
Exchange group says benchmark aligns with ARRC principles – but committee has pushed back endorsement plans
BNP Paribas AM turns to machine learning for carbon emissions
AI may help fund manager count emissions that companies fail to report
Flexi forwards see rise in corporate interest post-Covid
Treasurers seek flexibility in cashflow hedging as pandemic-related supply chain disruptions bite
Botched fallbacks leave CLOs facing early Libor switch
Nearly two-thirds of CRE securitisations issued since 2019 have already triggered fallback clauses
After Archegos, Credit Suisse clients tap rivals for clearing
Swiss bank is said to have lost clearing business amid uncertainty over its future
Traders say BoE green bond purchase scheme could sap liquidity
Updated plan could spike market volatility – harming not only brown bonds, say dealers