Benchmark
Acadian model detects gaps between climate goals and reality
Quant shop builds tool for net-zero alignment assessment, using NLP and Bayesian models
Basis swaps surge amid US repo concerns
Fed funds-versus-SOFR swap volumes nearly triple as declining Fed reserves impact funding rates
Quants dive into FX fixing windows debate
Longer fixing windows may benefit clients, but predicting how dealers will respond is tough
New benchmark to give Philippine peso swaps a fillip, post-Isda add
Isda to include new PHP overnight rate and Indonesia’s Indonia in its next definitions update
A comparison of FX fixing methodologies
FX fixing outcomes are mostly driven by length of calculation window
ARRC replacement aims to dodge rates ruckus
Fed’s new reference rate committee wants to avoid reigniting battles about term and credit-sensitive rates
Pricing and funding woes hit gilt repo
QT-driven funding cost rises combined with clients’ price demands see at least two banks pull back
Another post-Libor rate aims to clear Iosco bar
After two rivals were slapped down by the benchmark overseer last year, will Axi fare differently?
For compliance risk, the big get bigger
Second-line teams have been growing at US G-Sibs – and are set to continue – while Europeans’ flatline
CME launches term SOFR curve as clearing talks ebb
Give-and-get pricing tool addresses pressing transparency need in $2.5 trillion swaps market
Euribor fills panel gaps with Finland and Greece
OP Corporate Bank and NBG take contributors to 21 as administrator switches off “expert judgement”
New CDS index delayed by regulatory capital concerns
Dealer worries about impact of self-referencing trades derail CDX Financials launch at last minute
Bloomberg to launch T+1 FX fixing
Index arm to offer benchmark for value tomorrow outrights that settle in line with new US securities timeline
New CDS index aims to broaden hedging of US bank exposure
CDX Financials will include inactive or untraded single names referencing smaller institutions
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
Canada’s triparty repo launch aims to fill C$60bn void
Test trades on TMX/Clearstream platform represent “quantum leap” for creaking funding markets
Who’s winning the €STR futures race? Depends how you measure
CME, Eurex and Ice all claim to be leading, but experts say it’s too early to pick a winner
Singapore Exchange to return to short-term rates market
SGX president Syn hails new Sora and Tona futures as the “missing chunk of the rates complex”
Euribor to ditch ‘expert judgement’ in May
Plan to infer euro funding costs from term version of €STR wins industry backing
Traders dispute predictions of quick €STR transition
Poll points to five-year transition, but traders say replacing Euribor will be “a marathon”
A change of TIIE: the knotty issue of Mexico’s benchmark switch
Outlier fallback methods and narrow window to build F-TIIE derivatives liquidity make for ambitious transition plan