News
EU money fund rule threatens negative rates management tool
Constant net asset value funds may have to change format during prolonged spells of negative rates
FCA moots synthetic Libor as rates fallback
Once Libor is allowed to die, replacement could be risk-free rate plus fixed credit spread
HSBC’s model risk chief departs
Exit follows February reshuffle of UK lender’s global risk analytics unit
Malaysia set to delay FRTB implementation
Local lenders wait on central bank’s interpretation of Basel standards before upgrading IT infrastructure
Funds call for delay to SEC’s ‘nebulous’ liquidity rule
Industry groups say monitoring tools are six months from ready
Japanese banks eye phased CVA introduction
Working group reports “growing need” for valuation adjustment but cherry-picking fears persist
BlackRock to use machine learning to gauge liquidity risk
Firm close to rolling out new models for redemption risk and market liquidity
UK proposes gold plating of liquidity risk rules
Cashflow mismatch risk framework aims to plug holes in Basel Committee's liquidity coverage ratio
US Treasury using network theory to combat cyber threats
Targeted attacks and random threats call for different defences, financial research unit finds
Prop traders rebuffed by FCA on capital modelling
Non-banks may have to use tougher market risk approach than bank competitors
FRTB: Asian banks criticise simpler standardised approach
Branch entities of larger banks barred from using simplified version of SBA
trueEX granted injunction in MarkitSERV case
Court decision means derivatives trading venue can stay open for at least another nine months
Quants look to image recognition to process alternative data
Funds are using machine learning to screen alternative datasets more quickly
Swaps users face potential margin bill for Libor transition
New margin rules could snare legacy trades amended to reference alternative rates, lawyers warn
Overcrowded aggregators harm everyone, DB research finds
Paper finds increasing number of liquidity providers in aggregated environment can harm execution quality
Energy firms expect to escape Mifid II without cutting books
Esma data suggests ancillary activity test will be easier to pass than industry feared
Mifid II cost disclosures pose risk to liquidity, warn banks
Dealers hope standardised methodology for some clients could mitigate impact
Investment funds would magnify a liquidity crisis – BoE
Bank of England’s first stress simulation suggests corporate spreads would gap 41bp on 1% redemptions
EBA urges European banks to step up IFRS 9 preparations
Banks not yet in testing phase face 32 basis point extra capital hit, report finds
Model risk managers grapple with interconnectedness
US regulators ask banks to assess cross-dependencies of models – prompting some to employ network theory
Profile: Quant boss touts benefits of tech team merger
TD Securities says combining teams has allowed rapid rollout of platform for risk and P&L management
Ashurst non-netting opinion on China splits lawyers
EU banks using opinion for margin exemption, at possible cost of capital savings
E-trading boosts mid-tier banks in rates and credit
New technology helps Natixis and Mizuho compete with major dealers in swaps and bonds
CFTC to review swap data reporting regulations
Rule changes could be proposed as early as fourth quarter of 2017