News
Podcast: Fries on Monte Carlo, Greeks and the future of AAD
Research on AAD is not complete until it becomes easier to implement, says quant
LCH and CME to start clearing SOFR swaps in third quarter
Scramble to offer clearing aimed at cutting clients’ margin and capital costs
KYC concern slows asset managers’ move into China
Rush into $2.2 trillion China funds market tempered by problems obtaining client data
Rising yields prompt China banks to up loan-loss coverage
Domestic and foreign lenders reassessing loan books and tweaking hedging strategies
Isins for swaps need ‘complete rethink’, say platforms
Three trading venues say Mifid II transparency objectives diminished by identifier choice
US swap rate failed during volatility rout
The Ice swap rate was not published on February 6 due to a lack of electronic prices during equity turmoil
FCA: Libor contract changes shouldn’t trigger margin rules
Moving from Libor to an RFR shouldn’t force margin requirement on legacy non-cleared trades, says UK regulator
Regional banks cheer tweaks to FRTB standardised approach
Planned softening of SBA makes it more appealing, but most banks still expect to adopt IMA
Regulator prepares crackdown on inaccessible Mifid data
UK regulator says approved publication arrangements not observing spirit of the rules
Europe’s co-op banks face capital hit from new Basel rules
Sharp increase in risk weight for strategic equity stakes will capture ownership of apex banks
Banco Popular bondholders turn US spotlight on Santander
Discovery application could shift compensation focus to the buyer instead of the SRB
Funding changes break cross-currency, Libor/OIS link
Tax reform and Treasury issuance focuses bank US dollar funding pressures onshore
Fed’s risk proposal puts banks on the defensive
New supervisory guidance will make business heads responsible for risk management
Libor administrator prepares to cut number of rates
Action aimed at keeping Libor going after 2021, says head of Ice Benchmark Administration
Short-vol products pose new risk to investors, experts warn
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
Study warns against ignoring factors’ procyclicality
Common multi-factor strategies have hidden macroeconomic exposures, research shows
FRTB: ECB postpones model approval deadline
Postponement follows Basel’s decision to revise key elements of new market risk framework
DLT offers new possibilities for securities settlement, say ECB and BoJ
Second phase of ‘Project Stella’ looks at delivery versus payment on three DLT platforms
Barclays op risk chief departs
Outgoing head to be replaced by chief controls officer at the UK bank’s group service company
Swaps basis leaps as LDI funds prep for Libor’s death
Gap between 30-year Libor and Sonia swaps surges 36% in three weeks
Crédit Agricole hires Varloot from Natixis for risk role
Varloot joins as CIB head of market and counterparty risk
Vattenfall’s new trading head, new COO for Aegis, and more
Latest job changes across the industry
Equity derivatives now biggest consumer of initial margin
Fragmented product set is 1.3% of OTC notional but attracts more margin than rates and forex
Mifid transparency has failed so far, say traders
Poor quality, inaccessible data and a lack of instruments covered undermine use case