United States (US)
Quant Guide 2017: NYU Courant Institute
New York City, USA
Libor’s sunset sees US repo market cast a longer shadow
Concern over structural deficiencies as SOFR chosen to replace key benchmark
Firms race to apply machine learning to liquidity risk models
As key regulatory deadline looms, US mutual funds are waiting to see if machine learning can enhance liquidity risk models
Quant Guide 2017: Columbia School of Engineering
Fu Foundation School of Engineering and Applied Science, New York City, USA
UC’s Bookstaber urges use of agent-based models
Pension fund’s CRO says buy side should go beyond stress tests and try to model systemic risk
US hedge accounting changes could spur small bank swaps boom
Banks eye opportunities to claim hedge accounting treatment for fixed-rate portfolios and callable debt
Industry pushes CFTC to prioritise cross-border clarity
Approaching Mifid II deadline adds urgency to Giancarlo’s overhaul of Sef rules
Goldman and Federated first to clear MMF repo trades
Money funds cleared over $10 billion of US Treasury repo trades at FICC in June and July
Ferc urged to prop up illiquid natural gas indexes
A lack of willing price reporters is eroding confidence in key benchmarks
Final US position limits rule will take ‘at least a year’
CFTC expected to draft a narrow list of contracts in scope
Covered funds seen as starting point for Volcker rule reform
Inter-agency consensus may prove more elusive on altering prop-trading definitions
US regulators approve VM route to capital savings
Guidance tips balance in debate over interest payments in settled-to-market swaps
Banks warn clients of possible unwinds as VM deadline nears
Clients on old CSAs told they face unwinds and trading bans unless repapering talks underway
Banks warned off machine learning for model risk
Banks acknowledge they “cannot hide behind a complex tool” to assess interconnectedness
Replacing Libor: US swaps market eyes long to-do list
New timeline focuses minds on product and contract gaps – but some end-users want to stay put
People: US Senate confirms slate of regulatory appointees
Giancarlo confirmed as CFTC chairman, Quintenz and Behnam join as commissioners; Chatterjee and Powelson restore Ferc quorum
Vega volumes triple on Vix spike
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10
Ferc’s Collins defends manipulation rule
US energy market watchdog is “serious” about its surveillance role
FX forwards users drop EU banks over margin rule
Other dealers do not have to collect margin on physically settled forwards
Tradeweb’s Mifid bilateral trading plans draw fire
New process will class privately executed trades as on-venue to satisfy trading obligation
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
BNY Mellon’s Neal on funding, liquidity and collateral
Markets head Michelle Neal says firm has “big responsibility” after JP Morgan’s tri-party repo exit
Funds call for delay to SEC’s ‘nebulous’ liquidity rule
Industry groups say monitoring tools are six months from ready
Bailout obsession holds back US CCP resolution regime
Dodd-Frank leaves legal uncertainty, but proposed alternatives could be even worse