News
FCA’s Libor plans a ‘reality check’ for loans, bonds, RMBS
Chair of US benchmark group says surprise announcement will push rate reform beyond swaps
Bloomberg testing use of image recognition in volatility trading
Computers could be used to spot kinks in volatility surfaces
FDIC’s Hoenig warns on relaxing bank capital requirements
In letter to Senate committee, regulator claims big banks are less well-capitalised
LCH users weigh early exit as fears grow of EU ban
Two CCPs report interest from LCH customers; banks expect first book transfers in early 2018
Esma adviser says position limits to be published in Nov
Task force member warns of market “disorder” in tight window before Mifid II goes live
People moves: Hassani leaves Santander for CapGemini
Citi makes several hires; new Americas head for Barclays; ADS Securities names new COO
EU money fund rule threatens negative rates management tool
Constant net asset value funds may have to change format during prolonged spells of negative rates
FCA moots synthetic Libor as rates fallback
Once Libor is allowed to die, replacement could be risk-free rate plus fixed credit spread
HSBC’s model risk chief departs
Exit follows February reshuffle of UK lender’s global risk analytics unit
Malaysia set to delay FRTB implementation
Local lenders wait on central bank’s interpretation of Basel standards before upgrading IT infrastructure
Funds call for delay to SEC’s ‘nebulous’ liquidity rule
Industry groups say monitoring tools are six months from ready
Japanese banks eye phased CVA introduction
Working group reports “growing need” for valuation adjustment but cherry-picking fears persist
BlackRock to use machine learning to gauge liquidity risk
Firm close to rolling out new models for redemption risk and market liquidity
UK proposes gold plating of liquidity risk rules
Cashflow mismatch risk framework aims to plug holes in Basel Committee's liquidity coverage ratio
US Treasury using network theory to combat cyber threats
Targeted attacks and random threats call for different defences, financial research unit finds
Prop traders rebuffed by FCA on capital modelling
Non-banks may have to use tougher market risk approach than bank competitors
FRTB: Asian banks criticise simpler standardised approach
Branch entities of larger banks barred from using simplified version of SBA
trueEX granted injunction in MarkitSERV case
Court decision means derivatives trading venue can stay open for at least another nine months
Quants look to image recognition to process alternative data
Funds are using machine learning to screen alternative datasets more quickly
Swaps users face potential margin bill for Libor transition
New margin rules could snare legacy trades amended to reference alternative rates, lawyers warn
Overcrowded aggregators harm everyone, DB research finds
Paper finds increasing number of liquidity providers in aggregated environment can harm execution quality
Energy firms expect to escape Mifid II without cutting books
Esma data suggests ancillary activity test will be easier to pass than industry feared
Mifid II cost disclosures pose risk to liquidity, warn banks
Dealers hope standardised methodology for some clients could mitigate impact
Investment funds would magnify a liquidity crisis – BoE
Bank of England’s first stress simulation suggests corporate spreads would gap 41bp on 1% redemptions