News
Is there still life in the low-vol bet?
Quant analysts disagree on rate sensitivity of $150 billion strategy
Council of EU holds firm to salvage STS securitisations
Market participants welcome reversion to 5% retention rate and lower penalties for breaches
New light cast on shadow bank risk
PLS-SEM model could test assumptions on shadow banks’ risk role
CFTC rules shake-up could outpace Treasury review
Giancarlo’s Project Kiss could deliver faster than Mnuchin’s four-part regulatory reform report due next month
Model risk falls under the CCAR microscope
Fed using qualitative reviews to test compliance with SR 11-7
LCH set to launch repo client clearing service
Project will allow buy-side firms to access CCP through sponsor banks in coming months
FRTB standardised approach threatens commodity hedging
Basel language would force unnatural treatment of offsetting positions
Fear of CTA sell-offs could trigger wider stampede
Trend followers could not roil markets alone, but anxiety about them might, say BAML analysts
Banks worry FRTB will fracture Asian trading desks
Rules could produce “lots of little country desks”, warns StanChart market risk head
Goldman’s veteran rates head moves to risk role
Three co-heads named after Pantazopoulos ends nine-year run at the head of rates group
BIS releases final forex code of conduct
BIS releases principles for good conduct in foreign exchange markets
Basel opts for aggregate bank capital output floor
Banks will have more flexibility on use of internal models, but calibration still undecided
Emir reporting relief for ETDs causes confusion
Market participants unsure who will report client-side leg of exchange-traded derivatives trades to CCPs
EU lawmakers consider extending FRTB deadline
European Commission policy expert says current deadline is too ambitious
Spectre of mass swap unwinds looms ahead of VM deadline
Dealers warn of market disruption if trades lacking new CSAs are terminated before September 1
Basel group said to weigh changes to key FRTB test
EC and EBA officials criticise low pass rates for P&L attribution test
Delay revised Basel capital rules, say bankers
Regulatory heads at JP Morgan and BNP Paribas recommend regulatory recess
Mnuchin: new Glass-Steagall would not separate banks
US treasury secretary’s stance on banking reform appears to contrast with that of Donald Trump
People: Noble shuffles board in wake of Elman exit
Shell swaps trading chiefs; ex-Dreyfus head joins Cofco; Glencore adds Aberdeen’s Gilbert to board
Saba’s Weinstein: ETFs ‘destroy value’ in junk bonds
Hedge funds wary of high-yield bonds; blame ETFs for shrinking liquidity premium
Deutsche Börse exec backs euro clearing landgrab
Swiss CCP operator Six x-clear defends current equivalence regime
UBS to get new market risk head
Internal move sees equities risk chief replace Kasenally, after her move to UBS AM
BAML and Morgan Stanley shift Indian P-notes to Europe
Tax changes trigger move out of Mauritius and Singapore
Risk managers in power struggle over IFRS 9 model development
Putting accounting specialists in charge of IFRS 9 models is ‘not optimal’