Liquidity
Quintenz: former CFTC leadership failed commodities end-users
Commissioner says regulator “poorly defined populations and risk” under Obama administration
Asian buy side faces non-cleared margin currency penalty
Global banks charge premium for accepting local securities instead of major currencies
Bankers lament growing global regulatory fragmentation
Piecemeal roll-out of Basel III will be “enormously costly”
Liquidity snarls progress on factor investing in credit
Asset managers are re-engineering strategies borrowed from equity to fit practicalities of trading bonds
Swiss regulator fast-track key to cleared Saron swaps launch
Ice warns against rushing new products into clearing, however
CCPs say central bank access needed to avoid liquidity crisis
Uniform access to deposit accounts and overnight liquidity vital, say market participants
Integrating smart beta into a developing Chinese market
Sponsored Q&A: Premia Partners
Machine learning could solve optimal execution problem
Reinforcement learning can be used to optimally execute order flows
AIG decision threatens too-big-to-fail insurer label
Fragmentation of international rules on cards as US denounces systemic designations
ABS set for revival under US Treasury’s liquidity buffer plans
Allowing securitisations to count towards LCR and NSFR buffers could boost ABS market
Quants stymied by lack of alternative risk premia flows data
Data shortage is hampering efforts to model futures market liquidity
Tackling the liquidity challenge for insurers and pension funds
Sponsored feature: HSBC
NSFR consultation: industry awaits derivatives fix
Possible fixes under consultation don’t go far enough, say banks
Managers see danger in rise of mega funds
Institutionalisation of hedge funds could be adding to liquidity risk, managers say
Basel set to reopen NSFR derivatives debate
Contentious 20% add-on for derivatives liabilities to be reviewed this October
Banks fear uneven playing field on NSFR
Asian jurisdictions likely to implement key liquidity metric before US and Europe
P2P repo platforms in bid to solve US liquidity crunch
New peer-to-peer services claim buy side is failing to reap benefits of higher volumes
Insurers say capital rule threatens long-duration products
Implied credit charges could triple under one approach being field-tested by regulators
Haircutting non-cash collateral
Wujiang Lou develops a parametric haircut model to conduct sensitivity tests and capture market liquidity risk
Firms race to apply machine learning to liquidity risk models
As key regulatory deadline looms, US mutual funds are waiting to see if machine learning can enhance liquidity risk models
Bank-loan funds in the dark over liquidity rules
Haziness in SEC requirement on ‘highly liquid’ assets could leave funds open to litigation
Ferc urged to prop up illiquid natural gas indexes
A lack of willing price reporters is eroding confidence in key benchmarks
FRTB to create winners and losers on the buy side
Wider spreads could hit returns, but some funds eye opening in exotic and securitised markets
BNY Mellon’s Neal on funding, liquidity and collateral
Markets head Michelle Neal says firm has “big responsibility” after JP Morgan’s tri-party repo exit