News
FSB says fallbacks should kick in if Libor no longer accurate
Isda plans to consult on what to do if a benchmark is no longer representative of underlying markets
As China bonds go global, dealers size up demand for swaps
China’s onshore derivatives market must grow quickly to meet the hedging needs of foreign investors
Brexit fear drives futures trades out of London
Transitions via FIA protocol have escalated since January as no-deal concerns mount
FRTB: Singapore’s banks eye internal models for forex desks
New market risk regime dangles capital savings for own-models approach
Dealers consider ditching FRAs prior to Libor’s death
Forward rate agreements won’t work with backward-looking rates; banks explore single period swaps instead
Dealers go quiet on Turkey research
Seven banks have not covered this week’s lira meltdown, following investigation of JP Morgan
US version of SA-CCR could hurt settled-to-market swaps
Capital requirements on a client’s hedged options portfolio could increase by 1,100%
UBS hires Finma banks chief amid risk reorg
Schoch move comes after bank carves op risk and compliance unit out of central risk function
Libor fallbacks a low priority for most bond investors
However some securities shunned due to perceived weak legal safeguards
SOFR tipped to hit 300bp at quarter-end
US repo rate set for 25% spike thanks to French bank “window dressing” and US Treasury issuance
SG offers won hedged indexes for Korean autocall clients
Local currency benchmarks cut forex hedging cost for clients and boost yields, bank says
Cyber modelling masks scale of potential losses, study finds
Different statistical approaches produce big variations in future loss estimates, says Esma researcher
Japan looks to DLT to combat rise in settlement fails
Decision to shorten settlement cycle likely to hike fails caused by confirmation mismatches
CFTC paves way for no-deal Brexit swaps transfers
Affiliate transfers would not trigger US margin rules if UK crashes out of EU without a deal
Some trend followers are less than ‘pure’ – study
Sick of waiting for a crisis, some commodity trading advisers move from ‘pure trend’ to ‘trend-plus’
FCA steps up anti-money laundering spot checks
UK watchdog changes fincrime head amid speculation AML spot visits increasing because of critical FATF review
Jumbo SOFR swaps herald new world of repo betting
Swaps traders told to “learn repo market dynamics” as market catches glimpse of new trading strategy
Enria takes aim at eurozone banks’ sovereign exposures
New ECB supervision chair floats Pillar 2 concentration charge, criticises use of IFRS 9
Buy-side quant says Brexit a ‘test’ of new AI
Natural language processing can give “more insight” into possible market shudders, says Simonian
Australian exchange could shorten settlement with blockchain
ASX will seek comment on quicker settlement of cash stocks – possibly the same day
Podcast: Mercurio and Henrard on the impact of Libor reform
Some derivatives products will become more complex if there are no forward rates, say quants
Dealers seek clarity on buy-side IM relief
Hundreds of buy-side firms may still need to calculate margin and get models approved
Common validation techniques for risk proxies found wanting
Research finds two out of three methods for checking index prices as proxies don’t properly gauge tail risk
Planned US capital buffer endangers shareholder payouts
CCAR-based stress capital buffer would hit healthiest banks harder than weaker rivals