News
EU banks rue SA-CCR mismatch with US
European clearers are stuck with CEM until 2021, but some US banks are reluctant to switch early
FX aggregators flirt with scrutiny over brokerage charges
Making dealers pay for trades raises ‘payment for order flow’ questions
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
Chinese banks set for mass loan repricing
Options launch slated for February to help industry switch to new benchmark by August
First SOFR versus CORRA cross-currency swap hits market
JP Morgan and National Bank of Canada extend SOFR cross-currency trading into Canadian market
Fed could postpone stress buffer beyond CCAR – experts
Delays prompt speculation that new rules will only be known after stress-test results in June
Quant Guide 2020: top programmes lean on alumni networks
For top schools, some of the most important students are the ones that have already graduated
Goldman, JPM kick off SOFR swaptions
US dealers spearhead non-linear trading but patchy liquidity weighs on vol market ambitions
PRA’s Woods: ending capital deductions for IT is ‘dubious’
Regulator signals potential divergence between UK and EU capital rules after Brexit transition
Morgan Stanley FX loss leaves ill-feeling, questions in wake
Options traders saw odd quotes by US bank months before losses were publicised
FCA dismisses Libor credit component concerns
UK regulator bemused by distress raised by US regional banks to Fed
Fast-track SOFR term rate, says JP Morgan’s Pluta
Traders divided on whether liquidity in SOFR futures is sufficient to support a forward rate
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
Luxembourg regulator probes loan investments by Ucits
Lawyers say CSSF has already told a number of funds to prepare to sell their holdings
EBA: end ‘tick box’ approach to money laundering in EU
First EBA report on national supervisors’ AML/CFT approach finds many agencies failing to co-operate
US banks anticipate fresh guidance on resolution liquidity
Consultation in first half of 2020 expected to clarify intra-group and forecasting requirements
Study finds ‘significant’ crowding in hedge funds
New research links herd investing to bigger drawdowns in stressed markets
ESG like a new factor, alt managers say
Shift of capital to sustainable investing predicted to disrupt established strategies
Eurex members divided over liquidity risk charges
Banks say proposed charge too conservative, debate whether add-on should be charged directly to clients
Wells Fargo uses machine learning for performance attribution
Clustering algo delivers speedier and more accurate explanations of portfolio returns
Man and machine need each other – Systematica CEO
“The errors made by humans and robots are different,” says Leda Braga
Non-EU hedge funds stage surprise escape from SFTR
European Commission clarifies scope of reporting obligation that confused many in the industry
Quant Guide 2020: programmes tap banks for teaching talent
Unis are adding machine learning and data science courses, but need instructors to teach them
Don’t invest in bad ESG companies, hedge funds told
Managers have seen a “sea change” in attitudes to sustainability