News
Stability heightens flash crash risks – research
Liquidity breaks down when latent orders are revealed too slowly, quant firm says
Mizuho reveals $270m CVA loss
Further losses may be reported as bank refines its methodology, sources say
Firms fear Mifid-style reporting crunch for Brexit day one
Operational clarity still needed to fully implement system changes in time for April 1
Irrational exuberance? One gauge gives BlackRock pause
One measure of investor euphoria is registering its most extreme readings since the 2000 tech crash
FRAs won't work with standard Libor fallback, experts say
Payments on $84 trillion market rely on forward rates but industry’s chosen fallback is backward looking
CSOP to tap Chinese interest in quant with momentum index
Hong Kong asset manager plans to spin off products from recently launched cross-asset index
BNY Mellon’s markets head jumps to Royal Bank of Canada
Michelle Neal will join the Canadian firm in June as head of US Ficc
Euro swap bid/offers edge to decade lows
Mifid II and extreme competition raise profitability concerns for euro rates market-makers
BlackRock’s psych team (yes) hunts for bias in trades
Portfolio managers asked to keep ‘trade diaries’ of the thinking that led up to poor investments
Accounting shake-up set to hit China shadow banking
Banks brace for extra provisions under IFRS 9 for loans masquerading as investment products
Brexit relief aids Singapore on EU swaps trading equivalence
Sources say decision imminent, but Singapore venues may still face EU licensing requirements
Drop margin on swaps leaving Libor, Basel says
Joined by Iosco, Basel says moves to Libor successors should not be saddled with margin requirements
Quants clash: machine learning or linear models?
Some studies say the algorithms beat the common models; other studies say the opposite
Isda proposes fix for ‘manufactured defaults’
Failure-to-pay must be linked to a deterioration in creditworthiness to trigger CDS payouts
Singapore looks to synthetic Libor for new benchmark calculation
The way Singapore’s swap rate is calculated must change if Libor disappears after 2021
Banks split over sending traders to default auctions
After Nasdaq auction failed, some see need for traders in process; others can’t afford to lose them
Giancarlo opens door for prop firms to quote swaps
CFTC will grant no-action relief to non-banks that want to provide liquidity in cleared swaps
Banks call for third-country benchmark fix as EC delays BMR
Two-year delay may open the door for rethink on local legal representation requirements and recognition options
Volume ‘non-existent’, but SOFR backers are upbeat
ARRC members say despite appearances, SOFR is ahead of schedule and liquidity will come
CFTC official: CCPs should war-game default auctions
Risk appetite should be factor in selecting auction participants – Wasserman
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
DE Shaw rebukes Giancarlo’s big idea on Sefs
Hedge fund endorses electronic trading, as CFTC pushes for a return to old phone-based business
Swaps market heading for Libor fallbacks clash
Euro market goes own way on question of how to replace term Ibors with overnight RFRs