United States (US)
Industry hails potential US relaxation of margin timing rules
Treasury’s proposed shift from T+1 for non-cleared swaps welcomed, but IM calculation comments draw fire
AIG decision threatens too-big-to-fail insurer label
Fragmentation of international rules on cards as US denounces systemic designations
Industry mulls auction-based Libor swaps transition plan
Stanford’s Darrell Duffie proposes solution for switch to referencing alternative risk-free rates
Fed weighs greater transparency on CCAR models
Disclosing model-implied losses would aid capital planning, bankers say
CFTC need not walk the talk on swap data harmonisation
Global compatibility of data fields may be an unnecessary burden to put on an already-stretched industry
US courts restrict reach of Commodity Exchange Act
Recent cases make it harder to pursue instances of overseas misconduct
CFTC’s Quintenz calls for ‘reset’ on Reg AT
New commissioner says rules on automated trading should address specific risks
Dealers blame US futures IM dip on low vol
CFTC data shows required initial margin down 15% since start of 2017
Treasury review not rollback of reforms – CFTC counsel
Trump order is a chance to ease some rules and promote cross-border regulatory deference
People: JP Morgan bolsters commodities research
US bank recruits oil strategist, as Societe Generale, OpenLink and others ring changes
Acadian ends social media data ties with Microsoft Bing
Quant asset manager says it finds more use in orthodox sources of data
US and Japan push for twin EU bank holdcos
Two umbrella groups needed for home-country separation of securities and banking operations
Onus to check swap data should be on counterparties – SDRs
CME, Ice and DTCC oppose duty to reach out to non-reporting party for data verification
Fed G-Sib plan threatens 50bp jump in FCM capital
Banks rail against proposals that would scoop up $46trn in cleared trades
SEC delays final decision on DTCC liquidity facility
Regulator says it needs more time to consider market impact of CCLF proposal
EU-US swaps trading equivalence tipped for November
Hong Kong and Singapore unlikely to be deemed equivalent for start of Mifid II
P2P repo platforms in bid to solve US liquidity crunch
New peer-to-peer services claim buy side is failing to reap benefits of higher volumes
Fed official voices support for simpler capital regime
US regulators may consider combining some capital ratios into a single measure
Insurers say capital rule threatens long-duration products
Implied credit charges could triple under one approach being field-tested by regulators
EU trading obligation threatens packaged trades
Banks warn they will have to break up packages and face higher costs for hedging
CCAR feedback prompts banks to improve governance
Dual reviews of stress testing models and scenarios becoming the norm
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