News
Sterling option volatility spikes on Brexit deal news
Trading reaches crescendo on Friday; insiders warn of further volatility
Capital cut for synthetic securitisations splits regulators
European rulemakers wary of diverging from Basel standards
Research Affiliates expects 16% return from value repricing
New study shows “the engine for value performance is not broken”
Lloyds wins consent to flip £1bn covered bond to Sonia
The conversion, backed by 99.84% of bondholders, marks another milestone in the Libor transition
Fixed income portfolio trading sees rapid take-up
Tighter spreads and ease of execution spur European firms to trade baskets of bonds
US clearers move to dole out losses besides default
ICC wants members to chip in on investment and custodial losses; the OCC, on the whole op risk enchilada
Poor data hurting buy side’s automated bond trading
Spotty bond liquidity creates gaps in trading data that could harm best execution, insiders warn
Machines can save 20% on routing orders, UBS says
Machine learning is navigating the labyrinth of venues, figuring out how best to land the trade
FCA official: stick with overnight rates for all new contracts
Schooling Latter limits term rates to legacy contracts and wants backward-looking method for loans
EC official: supervisors must manage Brexit trading disruption
Trading obligations won’t change, but Mifid-style forbearance possible in event of disruption
Edwards leaves structuring role in UBS overhaul
Equity derivatives stalwart departs as part of equity, fixed income merger
Deutsche to sell exotic equity derivatives portfolio
Structured trades go on the block following last month's sale of flow and prime broking assets
Mirror-image factors are wiping out quant alpha
Equity momentum and value strategies are cancelling each other out, buy-siders say
Asia exotics desks eye forward vol as corridor variance wilts
Forward-starting options offer discounted vol to hedge funds as dealers recycle autocall risk
Risk oversight at Aussie banks under fire again
Asic criticises boards and management for immature oversight of op risks
EU banks grapple with NMRF proposals for volatility models
EBA options for lighter capital treatment of parametric curves could prove impractical
€STR swap trading gets under way
HSBC and JP Morgan strike first swap linked to the new euro short-term rate
Synthetic Libor mooted as ‘tough legacy’ fix
Recalibration of doomed rate or catch-all legislation under debate as lifeline for lingering contracts
Funds look to ‘retrain’ traders as automation takes hold
As technology reshapes markets, nearly a third of buy-side staff will need to gain new skills
LCH sets date for euro swap discounting change
Clearer will make switch for €91 trillion in swaps next June
Machine learning study identifies eight risk factors in private equity
Allocators may be unwittingly concentrating their bets in private equity funds, research suggests
FCA has active pipeline of misconduct investigations
As expansion of SMR to smaller firms looms, regulator says plenty of bankers are under scrutiny
Eurex to adopt €STR flat discounting for Euribor swaps
Switch planned for Q2 of 2020, with a single cash payment to correct value transfers
SEC mulls extra scrutiny of US Treasuries trading venues
Roisman suggests US might apply full rigour of Reg ATS to non-exchange Treasuries platforms