News
Brexit novations ‘on hold’ to gain reg relief
Conditional relief would subject early swaps movers to clearing and margin rules
Mifid data publishers drag feet on Esma guidelines
Four publishers yet to align post-trade data format with Q&A issued eight months ago
Regulators to scrutinise CCP default auctions
CPMI-Iosco preps discussion paper as banks warn further guidance needed after Nasdaq default
A rush on Libor fallbacks to head off holdouts
Concerns that valuation changes will scare some off adoption may be accelerating Isda timeline
Small banks in China carry outsized risk – research
Study shows systemic risk of smaller banks snowballs during stress periods
LCH plans 2020 switch to SOFR discounting
Users opt for one-step switch to new US dollar regime, as long as CCP cooks up compensation scheme
Libor may linger as regulators ‘change tune’
CFTC and FCA suggest benchmark could be kept alive to avoid cash market chaos
Switzerland moves ahead with backward-looking term rate
Lack of forward visibility in proposed rate provokes concern among corporates
Quants ‘running into walls’ with AI interpretability
Some firms “stumbling” with new technology, conference hears
Quants say big data is all buzz, no alpha
Efforts to extract alpha from alternative data have been “really unsuccessful”, says Domeyard’s Qi
IFRS 9 drives appetite for long-dated hedges in Asia
New accounting standard helps manage mark-to-market volatility of long-term trades
‘Imperfect hedge’ magnified equities slump at BNPP
US index loss, dislocations and weak demand produce worst equity trading results in a decade
Metro Bank execs under scrutiny after loan probe snafu
Lender could see capital buffer rise after admitting regulator, not bank, discovered errors
UBS wins approval for €32bn Brexit swaps transfer
Decision tests boundaries of deposit-taking element, after Barclays had part of its earlier transfer rejected
Modelling interrelated shocks will improve stress tests – research
Call for regulators to ditch standard scenarios for more sensitive approach
Banks rocked by U-turn on FRTB equity risk weights
Risk managers warn of higher capital charge after Basel reverts to original 2016 treatment
Exec who left Natixis after Asia hit said to join Barclays
Reille helped lead French dealer's ill-fated push into regional structured products market
Caveats and slapped wrists in Barclays’ Brexit swaps switch
Judge blocks transfer of some trades from non-deposit taking entity and slams “unrealistic” timeline
Model risk chiefs warn on machine learning bias
ML model outputs open to “potential bias sitting in your datasets”, says RBS model risk head
Hope fading for margin threshold hike
Smaller buy-side firms could still escape compliance burden via expected regulatory guidance
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
Legislative fix sought for Libor fallbacks
Federal law makes it “almost impossible” to change benchmark rates for FRNs
Large banks thrash regionals’ proposal on CECL
Plan would require more work and produce no capital benefit, executives tell FASB
FCA: ‘We can be Libor fallback trigger’
Amid fears of hedging mayhem, Schooling Latter says FCA verdict could be trigger for smoother rates switch