News
Rethink urged over Basel’s counterparty exposure framework
Industry calls for softening of SA-CCR amid claims it could lead to doubling of calculated exposures
trueEX sues Markit over threat to withdraw service
Sef claims it would be forced out of business if it loses access to MarkitSERV
French regulator lays out plan to capture London euro clearing
AMF calls for equivalence to be scrapped for biggest CCPs and trade repositories
People moves: Citi promotes Bacon to Apac investments head
Also: Natixis adds Kenneth Lee; Yin joins HSBC Private Bank; JP Morgan nabs three from Goldmans for Aus/NZ; and others
FIA calls for Mifid II transition for commodity firms
Licences required from start of 2018, but underlying data will be missing
Euro clearing location paper due on June 28
Short precursor on Brexit-related initiative expected on May 4, alongside Emir review
People moves: EBS makes switches in electronic forex
Citadel hires SEC director as general counsel; MUFG’s new leveraged finance head; Nomura changes India chief; and more
TriOptima adds MVA calculations to XVA service
Three firms have signed up to use the tool, which calculates MVA across 100,000 scenarios
Cluster model relies on op risk ‘storms’
Capital models should reflect loss grouping – research
Banks seek escape from inter‑affiliate margin burden
Internal transactions contributing “substantial” amount of banks’ initial margin requirement
CFTC counsel warns of threat to clearing portability
Leverage ratio seen as biggest impediment to porting client positions
Regulators told to play greater role in cyber security
Companies can’t battle threats on their own, CFTC told
Banks look to repurpose credit risk models for IFRS 9
Dealers adapt capital models for new accounting standard, but shortcut has challenges
New data reveals liquidity gaps in EU bond markets
Liquidity in German, Italian and UK bonds has suffered over past three years
China TLAC uncertainty frustrates capital planning
Banks face $1 trillion issuance crunch if regulators take too long to define bail-in debt
Fear of something worse seen as key to CCP recovery
Forcing banks to pick up defaulted trades is “viable option”, says Fed researcher
People: CFTC picks enforcement and legislative affairs chiefs
Other changes at Eni, Societe Generale, Danske Commodities, Glencore, Global Coal, Six plus more
OCC seeks leverage ratio relief as liquidity shrinks
85% of CCP’s volumes now short contracts on 20 biggest names, claims risk chief
Quant funds plan to ‘skip the day’ after French election
Some model-driven investors see signs of crowding in short volatility trades
Mnuchin: FSOC working on revised Volcker rule
US Treasury secretary wants revamp of prop trading ban; not repeal
Fed’s Powell joins chorus of Volcker rule critics
Governor seeks to simplify rule banning prop trading
Dealers crack down on clients with dual netting sets
Pricing adjustments for posting non-cash collateral can run to 100bp
P&L test in FRTB may not work – research
Delays in approval and small data sets may doom internal model approach, research finds
EU regulators consider Mifid electronic trading lock-out
Moves to restrict third-country firms from offering direct electronic access blamed on Brexit