EMEA
After coronavirus rout, concerns raised about Simm
Annual recalibration means March volatility will not be reflected in margin until end-2021
Dividend delays upend pricing of Eurostoxx futures, options
Investors that rolled futures contracts before companies axed AGMs “could have lost a lot of money”
Swaps benchmark vanishes as traders flee firm price venues
Dollar Ice swap rate fails to publish in March rout; patchy Sonia Clob prices could delay term rates
Exchange shutdowns could trigger derivatives unwinds
Eight-day closure would invoke subjective valuation clauses; hedge disruption could cancel trades
Autocalls hit peak vega, where hedging costs mount
Eurostoxx and Nikkei losses flip structured product dealers into painful short vol territory
A peek inside op risk managers’ coronavirus response
Op risk managers steel their firms for looming pandemic amid an expected rise in cyber attacks
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
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
Synthetic Libor faces legal obstacles
EU benchmark rules may thwart ‘tough legacy’ fix, reviving calls for blanket legislation
‘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
Margin exchange threshold relief: get out of jail free?
‘Game-changing’ IM exchange threshold relief may not be the phase five free pass it first appears
BNP buys Deutsche’s delta one assets in latest CRU auction
French dealer lodges winning bid after missing out on flow equity portfolios last year
BNP leads a comeback for Europe’s clearers
Brexit, leverage ratio tweaks and concentration fears could help European banks compete with US FCMs
Libor limbo: loan market fallback language upends lenders
Banks seek to replace painful fallback language in loan docs and avoid a cost-of-funds contingency
Isda plans February rerun of Libor pre-death trigger poll
Lack of consensus would add pre-cessation option to post-cessation protocol for bilateral swaps
Custody battle: competing tensions put IM prep in jeopardy
Conflicting custody interests and delayed docs call IM phase five readiness into question
LCH targets hardwired pre-cessation triggers
Proposal aims to align transfer pricing for cleared and bilateral markets in the event of split on ‘zombie Libor’ triggers
Stock-picking finds unlikely champion in ex-Winton CIO
Matthew Beddall’s Havelock restyles value investing for the big data age
Isda to poll Libor users on pre-cessation triggers, again
Trade body seeks clarity on zombie lifespan and CCP response as it bows to regulatory pressure
FCA steps up call for Libor ‘pre-death’ trigger in swaps
Failure to insert pre-cessation trigger could disrupt hedging of cleared swaps, warns regulator
JP Morgan debuts Nexus spinoff for hedge fund exposure
Bank launches matchmaking service for lonely hedge funds and return-hungry investors
Sonia-Libor basis narrows after fallback verdict
Isda picks five-year median for spread adjustment, causing benchmark gap to tighten
Ice swap rate adds RFQ data; adopts Sonia
Industry backs overhaul of term swap rate to curb non-publication and hasten Libor switch
Cat risk: why forecasting climate change is a disaster
Forecasters are poles apart on climate-driven catastrophes; insurers fear worse ahead