News
Two Sigma building quant tools to hunt real estate bargains
Information-rich market offers “trillions of dollars of opportunity”, says data chief
GFXC set to tackle reject codes
Co-vice-chair Neill Penney says group will seek to bring clarity to codes assigned to rejected FX trades
Podcast: NYU’s Kolm on transaction costs and machine learning
TCA methodologies that ignore partial fills “might be off by 20% to 30%”
Climate risk-weights a ‘terrible idea’ for aiding transition
Carbon pricing and direct regulation of top emitters seen as better approach
Wells Fargo clearing and futures head departs
Veteran who oversaw bank’s swift rise to swaps clearing juggernaut retires
Even Covid couldn’t stop insurers buying risky CLO tranches
NAIC rules make mezzanine debt more attractive than AAAs or corporate bonds with similar ratings
Last look guidance receives mixed reviews
Some liquidity providers back GFXC guidance; others say it doesn’t go far enough
IM phases five and six collide as buy side delays readiness
More than 1,000 segregated accounts for uncleared margin may still need to be opened post-deadline
AI helps one investor screen targets against UN ethical goals
PanAgora develops two-stage process that aims to weed out the greenwashers
Mitsubishi to issue first FRN linked to Japan’s risk-free rate
Issuer to use a compounded in-arrears average of Tona with 10-day observation shift
FX option selling and weak demand behind vol slide, say traders
EUR/USD vol inches towards pre-Covid lows, but some believe inflation could upset trend
Corporates pre-hedge future bond sales as inflation rises
Companies are making the most of low rates while they last and hedging issuance that’s years away
Wells touts new explainability technique for AI credit models
Novel interpretability method could spur greater use of ReLU neural networks for credit scoring
40% of insurers fail to specify climate as a key risk – LCP
Despite regulators’ urging, many UK and Irish insurers omit climate from risk statements, says report
Fed’s repo facility won’t end US Treasury woes, experts say
Dealer facility does little to address root causes of recent liquidity shocks
Citi clearing head departs for crypto firm
Senior departure is latest among swaps giant’s clearing ranks
EU ‘unlikely’ to force swaps relocation – ex-MEP Swinburne
Multinational corporates would resist clearing move if CCP equivalence is lost, says former lawmaker
Climate laggards need to make double the carbon cuts – MSCI
Asset managers that wait until 2025 will have to cut emissions by 14% a year to limit warming
Brokers may flout deadline to darken US dollar Libor screens
SOFR First step raises transparency concerns; threatens publication of Ice swap rates
OCC quants tout anti-procyclical margin method
Technique aims to lower initial margin calls in times of stress without sacrificing risk sensitivity
Podcast: Colin Turfus on short-rate models and Libor’s end
Deutsche Bank quant proposes a lean model to quickly produce benchmark prices
Capitolis to acquire LMRKTS
Deal for multilateral compression provider latest in wave of post-trade tie-ups, as SA-CCR bites
Federal tough legacy fix gives nod to alternative rates
Legislation does not “disfavor” alternative rates, but safe harbour may not stretch beyond SOFR
Eurex plans hedging contest in default auction revamp
New step in the default management process would enhance transparency in hedge provider selection