News/Commodities
CME no longer looking back to Lehman
Changes to rates margin model move CCP into line with rivals
ING issues ESG-linked interest rate swap
Dutch bank takes carrot-and-stick approach on interest rate swap for oil and gas equipment firm
Clients demand access to CCP default auctions
“In a default, we are comfortable taking on risk and can move quickly,” says DRW’s Wilson
Regulators plan to delay IM ‘big bang’ – market sources
Most see final phase of initial margin rules coming a year later, in September 2021
CCP margin buffers too big, research suggests
Procyclicality calculations should depend on expected spikes in volatility, argue Ice risk experts
Search engine study shows limits of alternative data
Google Trends adds nothing to volatility predictions, researchers find
Ice, CME set to launch new VAR models in early 2020
Bourses plan to switch margining of energy futures at different times, prompting speculation of “arbitrage opportunities”
Goldman and SG on alternative data: do believe the hype
Risk Live: New data will “completely transform the landscape” of investing, says SG's Albert Loo
Exchange leaders see a greening future in derivatives
On ESG, Europe leads the US, new products are sprouting and sourcing of metals is being examined
Cleaning noisy data ‘almost 70%’ of machine learning labour
Quants flag signal-to-noise ratio as key to reducing overfitting risk
Some see Esma reining in position limits after review
The scope of position limits could shrink to cover just the major benchmarks, one executive argues
Cantab finds ‘value-add’ in alternative datasets
Quant firm estimates how much alpha new data can add before putting it to use
Buy side bemoans gaps in EU benchmark register
Missing detail in approved index list could undermine compliance with new benchmarks regulation, investors warn
HKMA unveils measures to combat climate change risks
HKMA will be government’s representative in a potential HK$100 billion green bond offering
CFTC's Berkovitz puts his weight behind position limits
New rule on speculative commodity trades will be proposed within weeks
Data reveals Emir swaps report matching rates at 40%
Figure is better than some feared, but still calls into question the value of dual-sided reporting
Podcast: Kaminski on lessons from commodity market defaults
Professor Vince Kaminski analyses Nasdaq and PJM defaults
CFTC paves way for no-deal Brexit swaps transfers
Affiliate transfers would not trigger US margin rules if UK crashes out of EU without a deal
Funds use artificial intelligence to weigh ethical investing
Quants explore links between ESG investment and outperformance
Brexit relief aids Singapore on EU swaps trading equivalence
Sources say decision imminent, but Singapore venues may still face EU licensing requirements
Time running out for Brexit data compliance, Bailey warns
FCA head also highlights shortfall on Mifid trading venue equivalence
CFTC seeks trading venue equivalence in Asia
As it strives for a seamless Brexit, the CFTC also nears deals with Asian jurisdictions
UK quant academics fear Brexit brain drain
Brexit hitting graduate jobs, funding and “driving European academics away from the UK”, say universities
Regulators to scrutinise CCP default auctions
CPMI-Iosco preps discussion paper as banks warn further guidance needed after Nasdaq default