News
Podcast: Mathieu Rosenbaum on the rough Heston model
Combination of rough volatility and the classical Heston model gives promising results
CCAR disclosure sheds new light on modelling default losses
Regulator reveals loss rates for loans and credit cards, but banks say disclosures don’t go far enough
Basel NMRF changes don’t solve Asian data challenges
Isda AGM: Asian regulators may still need to soften FRTB standards locally, warn bankers
Australia central bank: repo collateral will require fallbacks
Isda AGM: Debt instruments will need the provisions to be eligible for Reserve Bank of Australia repo programme
MetLife executes $250 million SOFR-linked repo
Isda AGM: US insurer's hedging chief says systems issues hindering its use of derivatives, however
LCH discounting switch tipped to help SOFR swap market
Isda AGM: Using SOFR discounting for Libor swaps will help build liquidity, say market participants
Traders back SOFR derivatives as repo hedge
Isda AGM: Market participants say products linked to the rate could mitigate quarter-end spikes
Confusion dogs start of Europe’s new securitisation rules
Incomplete rules and lack of clarity on designated supervisors thwarts hoped-for revival of key market
US Treasury won’t issue SOFR notes until at least 2020
Project Titan will delay issuance of floating rate Treasury notes linked to new reference rate
Weiss scraps bond strategy amid liquidity qualms
Buy-Side Risk USA: $1.6 billion manager says thinned-out markets make generating alpha hard
UBS Asset Management cools on alternative data
Buy-Side Risk USA: Firm checked several datasets and found little alpha
Goldman welcomes Basel’s rationalisation drive
Isda AGM: Praise for efforts to curb fragmentation, but EU official defends rollback of deference
EU permissions regimes could reduce no-deal risks
Isda AGM: UK firms could still trade with EU clients on exit, but solutions are complex and temporary
Hong Kong goes slow on swaps trading mandate
Isda AGM: Regulator fears disruption to its position as global hub if it forces trades on venue
CFTC official warns on Sef rule overhaul
Isda AGM: Targeted changes better than a total rewrite, says Rostin Behnam
High costs limiting CNY corporate swaps market
Isda AGM: Demand growing but high capital costs burdening banks
Japanese firms delay IM plans due to netting uncertainty
Those caught in phase five are awaiting law change to enable use of custodian banks
Data gap leaves six foreign banks in US regulatory limbo
New Fed FBO proposal relies on an indicator that banks have not yet been reporting
Isda’s CDS fix draws murmurs of dissent
Proposed changes don’t go far enough for some; others say it will block legitimate activity
European lawmakers water down proposed no-action powers
ESAs to advise rather than postponing rules themselves; experts warn tool may be too slow to use
Fed preps draft white paper on cyber risk
US regulator seeks industry input for initiative on classifying and modelling threats
Funds ring alarm on EU guidelines for liquidity stress-testing
Managers could be forced to use multiple methods to stress-test large number of funds every quarter
FASB bins regional bank CECL proposal
Plan would have allowed smaller lenders to reduce capital impact of expected losses
New EU rules threaten to lock out US prop traders
Revisions to Mifid equivalence make opaque demands requiring “psychic abilities”, warn lawyers