News
IM big bang split confirmed with new $50bn threshold
Addition of sixth compliance phase looks set to slash September 2020 in-scope entities by more than half
Sonia users face three-way choice in term rate
Trio of rival forward-looking versions of sterling Libor successor set to be available
LCH tightens harness on market experts in defaults
CCP sets punctilious rules for loaned traders to be ready for defaults – or to pre-empt them
Quant Lipton pans Facebook’s Libra
Former Bank of America exec sees more potential in rival projects, such as utility settlement coin
AllianceBernstein uses AI to sidestep ‘growth trap’
Random forest model aims to sort success stories like Amazon and Netflix from fast-growth losers
Finra plans machine learning push against market rigging
ML trained to find spoofing and layering
PanAgora uses NLP to cut through Chinese cyber speak
Fund builds Mandarin-reading algo to gauge sentiment of retail investors
Sterling RFR group urges Eiopa to end mismatch on rates
In letter, group points to discrepancy in requirement to use Libor-linked rates as Libor fades out
Resampling ‘slashes’ credit risk VAR underestimates
Academics claim Vasicek model’s underestimation tendency can be slashed to near-zero
Regulators plan to delay IM ‘big bang’ – market sources
Most see final phase of initial margin rules coming a year later, in September 2021
Swaptions face valuation hit on discounting switch
Move to new reference rates could hurt some swaptions holders, while others enjoy “windfall gain”
Debelle swings at ‘buyer beware’ disclosures in FX
“They don’t give you free licence to do whatever you want,” says new GFXC chair
Swaps counterparties spooked by Emir position pairing
Stumble on voluntary position reporting could undermine push to reform ETD regime
S&P resists mapping new China onshore ratings to global scale
Uncertainty over state support and accounting prompts agency to keep Chinese ratings separate
AQR takes step into exotic trend following
$200-billion quant firm joins those plugging new take on strategy that’s struggled
Asia-Pacific banks revise conduct scorecards
DBS, Maybank and others tweak performance metrics to reward good behaviour over hard sales
BoE is going to curb Libor collateral. But how much?
Harshest of three ideas to shift market to Sonia would largely ban Libor collateral from its market ops
Banks to Fed: reshape CCAR for peacetime
But Quarles deflates mood: banks using their own models for capital is “not under active consideration”
Hong Kong seeks European equivalence for Hibor and Honia
For the territory’s crucial renminbi fixings, however, no path to approval has yet been decided
trueEX to shut swaps trading platform
Would-be disruptor will exit business on July 19, leaving swaps market in hands of incumbents
CCP margin buffers too big, research suggests
Procyclicality calculations should depend on expected spikes in volatility, argue Ice risk experts
Rival FXPBs scoop up former Citi clients
BNP Paribas, Deutsche Bank among those taking on clients axed by the US bank, plus others worried they’ll be next
Avoid floating rates on non-cleared repo – ICMA
€STR won’t be published until October, but its next-day publication will make settling complicated
UBS exec: first trades via USC could take place this year
Risk Live: utility settlement coin project backed by group of banks moving “incredibly fast”