News
European lawmakers urged to prevent CCP contagion risk
Watchdog says carve-out needed in new recovery and resolution rules to avoid cascading default of clearing houses
US benchmark switch splits swaptions market
Some users ignore new guidance to nominate SOFR for swap discounting
ECB lays foundations for climate risk capital charge
New guide will influence capital management, but pillar two charges likely to await EBA report
Ronin expanded rapidly before flaming out, accounts show
Chicago prop firm tapped $450m financing line with broker-dealer as assets grew to $34bn
WisdomTree shuts oil ETPs after Shell terminates swap deal
Counterparty departure forces closure of eight oil trackers with $580 million of assets
Global investors seek clarity on China ‘short swing’ rule
Fund managers seek clear exemption from single-stock exposure that could curb China growth plans
CFTC advisory body backs six-month initial margin ‘grace period’
Majority vote to recommend extra six-month extension for phases five and six of initial margin rules
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