News
Factor strategies seesaw in coronavirus-hit markets
Quants struggle to second-guess ongoing effect of virus on investments
Sonia swaps surge not mirrored by futures
Popularity of short sterling futures takes shine off Sonia’s RFR succession
Japan selects term risk-free rate vendor
Sketchy volumes in overnight index swaps hold up calculation methodology
Fed funds swaptions offer SOFR alternative
Investors dry-run systems using familiar overnight rate, as markets wait for SOFR liquidity to build
ECB mulls wider clearing house access to account facilities
Including CCPs in the Eurosystem may remove the need for them to seek a banking licence
IT disruption chief concern in Top 10 Op Risks survey 2020
Risk managers cite data compromise, theft & fraud and third-party risk among other top worries
FCMs clamour for formal rule on separate account margin
Costly compliance effort will be to no avail if CFTC relief expires in June 2021
BoE’s new Sonia index gets a thumbs-up from issuers
Calculating coupons based on compounded Sonia was “a real nightmare” for some
Dealers cast doubt on swaptions compensation plans
Redress scheme for victims of post-Libor valuation change may fail due to “cherry-picking” fears
CME, Eurex rebuff calls to compensate members for losses
BlackRock and BNP want CCPs that recover from a default to reimburse members and clients
Sonia’s share of sterling swaps tipped to hit 80% by year-end
Ahead of Monday’s convention switch, dealers already view Sonia as the primary sterling rate
FCA: sign up to fallback protocol or face ‘serious questions’
UK regulator urges derivatives users to accept Isda swap fallbacks to ensure compliance with benchmark law
Cross-border trading could suffer under IM rules
Conflicting US and EU cash reinvestment rules may force buy side to post bonds
FX options see record volumes as yen goes off-script
Coronavirus outbreak and recession fears trigger frenzied trading in USD/JPY options
BoE to publish ‘golden source’ compounded Sonia index in July
UK to align with US in effort eliminate interest calculation mismatches and turbo-charge adoption
Who killed FX volatility?
Beyond central bank policy, traders see a range of hidden structural factors at work
BNY Mellon nabs Hallinan for enterprise risk role
Hiring of former Credit Suisse op risk head follows last year’s appointment of Senthil Kumar as CRO
Ion’s Broadway deal leaves banks in a bind
Barclays and Nomura among banks that had moved from Ion to rival it now controls
Synthetic Libor faces legal obstacles
EU benchmark rules may thwart ‘tough legacy’ fix, reviving calls for blanket legislation
Dealers prefer repo for new risk-free rate in Korea
Unsecured rate undercut by dwindling transactions in local call market
Singapore banks tighten ML governance amid regulatory scrutiny
DBS, StanChart and Deutsche build model inventories and draw up standards around use cases
‘Rounding errors’ prompt EBRD to break with Sonia FRN norms
Index-friendly coupon structure touted as a template for future issuance in the UK market
False start for foreign banks under Fed’s tailoring rule
Delayed reporting form means requirements for Barclays and Credit Suisse could change twice in 2020
CECL models may leave banks ill-prepared for next downturn
Mortgage backtest study shows some loan-loss models miss the mark