News
Shanghai CCP no-action relief clears way for US FCMs
Three-year relief may allow more clearing members to join, but hurdles to full recognition remain
Banks ask Fed to delay CECL impact on stress testing
Fed asked not to implement CECL into CCAR until 2021
Buy side using two-way prices in bid to hide trade intent
Number of trades done via ‘request-for-market’ protocol leaps 510% in past year
Dealers seek FRTB carve-out for Libor transition
Swaps could be judged non-modellable – and hit with capital add-on – as liquidity tails off in Libor
OCC’s move to ‘Cover 2’ won’t cost members more, CRO says
New clearing fund methodology will shift cost burden to firms that take more tail risk
Esma: Eonia can be used in CSAs after 2020
Swaps users can avoid repapering before BMR deadline but may face basis risks
Goldman, Morgan Stanley push for CCAR changes
Balance sheets will shrink in a crisis, not grow, trading houses argue
New Chinese forex crackdown to hit corporate hedging
Despite new reserve requirement, dealers say ‘maturity’ in risk management is here to stay
LCH-Eurex basis falls 80% as insurers head to Frankfurt
Fixed rate available at Eurex has dropped from 1.35bp to 0.25bp in past two months
UBS faces capital hike from credit model curbs
Bank estimates Sfr35 billion jump in RWAs from Basel III, with credit modelling one driver, says CRO Bluhm
Options pricing shows next few years crucial for US coal
Carbon trading outweighed by building and fuel cost, research finds
Mattatia makes surprise move to MSCI
Former SG equity derivatives structurer was set to join BNP Paribas
OCC stands by margin model as regulators investigate
As watchdogs probe Q1 breaches, CCP executives insist margin models worked as intended
Podcast: SocGen quants on exotics calibration, machine learning and autocallable pricing
Deep learning techniques are being explored by the quants to speed up exotics pricing
ECB looks to ‘accelerate’ Ester publication
Industry pleas to publish new risk-free rate earlier may be finally answered
Money funds get S&P green light to buy SOFR notes
After many funds were shut out of first SOFR issuance, agency has now approved new benchmark
Investors cheer debut Fannie SOFR note launch
Healthy demand could have been higher if S&P had approved benchmark
CLS seeking legal fix for Brexit settlement threat
Market infrastructure firm wants EU27 to protect trades in insolvency by tweaking local laws
UBS AM joins buy-siders building central data science teams
Data science unit will serve firm’s non-quant investment staff
Banks call for revamped G-Sib surcharge
Fears surcharge will raise post-stress capital requirements under proposed new buffer
Banks still face risk of Fed disapproval on exposure limits
Rules loosened on affiliated counterparties, but supervisor can reject banks’ findings
ECB mulls response to French leverage ratio exemption
Supervisor could rewrite justification annulled by EU General Court, or appeal the ruling
Industry seeks smaller ‘big bang’ for margin
New study supports sixfold hike in 2020 compliance threshold to avoid “dormant” margin accounts
Oversight row could block EU firms from US clearing – Giancarlo
Europe’s planned post-Brexit CCP reforms “irreconcilable” with US rules, says CFTC chief