News
Natixis said to offload a third of Korean structured book
BAML and BNP Paribas named as buyers in $2.5 billion notional sale of equity-linked securities
First SOFR term rate coming in 2020
Staff at the New York Fed are working on a series of backward-looking averages
Natixis creates model to ‘learn’ how factors interact
Random forest technique sheds light on flux in how factors mix, manager says
Machine learning enters battle against financial crime
Standard Chartered and Barclays using AI to detect money laundering violations
Digital Asset’s European chief set to exit
Departure from blockchain firm follows other top exits in last few months
Alt risk premia study finds ‘zero alpha’, clear beta to bonds
Vanilla exposures explain as much as two-thirds of returns, authors say
Nikkei faces hurdles in EU benchmark registration
Brexit confusion forces Japan index provider to look beyond UK
Priips plans draw stony response from industry
Official proposals fail to allay fears over “misleading” projections of returns in key information document
Brexit novations ‘on hold’ to gain reg relief
Conditional relief would subject early swaps movers to clearing and margin rules
Mifid data publishers drag feet on Esma guidelines
Four publishers yet to align post-trade data format with Q&A issued eight months ago
Regulators to scrutinise CCP default auctions
CPMI-Iosco preps discussion paper as banks warn further guidance needed after Nasdaq default
A rush on Libor fallbacks to head off holdouts
Concerns that valuation changes will scare some off adoption may be accelerating Isda timeline
Small banks in China carry outsized risk – research
Study shows systemic risk of smaller banks snowballs during stress periods
LCH plans 2020 switch to SOFR discounting
Users opt for one-step switch to new US dollar regime, as long as CCP cooks up compensation scheme
Libor may linger as regulators ‘change tune’
CFTC and FCA suggest benchmark could be kept alive to avoid cash market chaos
Switzerland moves ahead with backward-looking term rate
Lack of forward visibility in proposed rate provokes concern among corporates
Quants ‘running into walls’ with AI interpretability
Some firms “stumbling” with new technology, conference hears
Quants say big data is all buzz, no alpha
Efforts to extract alpha from alternative data have been “really unsuccessful”, says Domeyard’s Qi
IFRS 9 drives appetite for long-dated hedges in Asia
New accounting standard helps manage mark-to-market volatility of long-term trades
‘Imperfect hedge’ magnified equities slump at BNPP
US index loss, dislocations and weak demand produce worst equity trading results in a decade
Metro Bank execs under scrutiny after loan probe snafu
Lender could see capital buffer rise after admitting regulator, not bank, discovered errors
UBS wins approval for €32bn Brexit swaps transfer
Decision tests boundaries of deposit-taking element, after Barclays had part of its earlier transfer rejected
Modelling interrelated shocks will improve stress tests – research
Call for regulators to ditch standard scenarios for more sensitive approach
Banks rocked by U-turn on FRTB equity risk weights
Risk managers warn of higher capital charge after Basel reverts to original 2016 treatment