News
ECB looks to ‘accelerate’ Ester publication
Industry pleas to publish new risk-free rate earlier may be finally answered
Money funds get S&P green light to buy SOFR notes
After many funds were shut out of first SOFR issuance, agency has now approved new benchmark
Investors cheer debut Fannie SOFR note launch
Healthy demand could have been higher if S&P had approved benchmark
CLS seeking legal fix for Brexit settlement threat
Market infrastructure firm wants EU27 to protect trades in insolvency by tweaking local laws
UBS AM joins buy-siders building central data science teams
Data science unit will serve firm’s non-quant investment staff
Banks call for revamped G-Sib surcharge
Fears surcharge will raise post-stress capital requirements under proposed new buffer
Banks still face risk of Fed disapproval on exposure limits
Rules loosened on affiliated counterparties, but supervisor can reject banks’ findings
ECB mulls response to French leverage ratio exemption
Supervisor could rewrite justification annulled by EU General Court, or appeal the ruling
Industry seeks smaller ‘big bang’ for margin
New study supports sixfold hike in 2020 compliance threshold to avoid “dormant” margin accounts
Oversight row could block EU firms from US clearing – Giancarlo
Europe’s planned post-Brexit CCP reforms “irreconcilable” with US rules, says CFTC chief
TP Icap fires Phizackerley, and more
Latest job changes across the industry
Quantum computers a ‘viable’ choice in portfolio optimisation
New technology can help solve previously unsolvable problems, says machine-learning specialist
GDPR uncertainty could spell trouble for machine learning
Advisers warn of discrepancy in advice to regulators over automated decision-making
Fed’s Quarles critical of opaque Libor data
ARRC chair Sandra O’Connor also questions IBA transparency
Trade war threatens Korea autocall losses
Dealers warn of $240 million in hedging losses if HSCEI index slides further
CCAR ‘apocalypse’ leads to excess bank capital, says lobbyist
Head of new trade body says Fed should average capital requirements over multiple scenarios
First SOFR swaps trade as banks test new benchmark
First OTC trades include two basis swaps and an OIS trade, with JP Morgan thought to be a counterparty
US swaps users want CFTC rules lifted in Libor switch
Dodd-Frank should not catch contracts amended as part of move to new rates, letter argues
FSB launches crypto asset monitoring framework
Metrics will focus on the financial stability risk of crypto market
Veteran structurer Paul Fulcher to leave Nomura
Structurer for insurers and pension funds departing at the end of September
Pimco criticises LCH over SOFR plan
Senior official calls on CCP to follow CME and use SOFR for margin interest and discounting immediately
FCA could kill off Libor, says Bailey
Warning breaks new ground, provoking immediate responses at CFTC meeting
Foreign banks may move US loans overseas to skirt CECL
International accounting standards offer more favourable treatment of expected credit losses
Quants call for better grasp of how AI models ‘think’
Tools from image recognition can help with interpretability