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Articles tagged by benchmarks

Shift to Reformed Euribor Expected in H1 2017, FSB Says Implementation of a reformed Euro Interbank Offered Rate (Euribor) is expected to happen in the first half of 2017, according to the Financial Stability Board (FSB). The FSB – which groups G20 financial authorities - has published an update on the process ...
US Fed Bans Former FX Trader From Banking The US Federal Reserve Board has banned former Barclays and UBS FX trader, Matthew Gardiner, from working in the banking industry for his manipulation of FX pricing benchmarks. The board says that from January 2008 until at least January 2013 that Gardiner “...
FCA Cites “Real Improvements” in Banks’ FX Controls Alongside last week’s publication of an update on the Fair and Effective Markets Review (FEMR), the UK’s Financial Conduct Authority (FCA) has separately published a progress report on its own FX remediation programme. The programme, which was launched ...
UK Financial Regulation Faces Post-Brexit Equivalence Dilemma Financial regulations, particularly for benchmarks, are likely to be materially aligned in the UK and rest of Europe by the time Brexit is completed, however obtaining “equivalence” status for the UK might not be quite as straightforward, a number of ...
Fed Issues $1.2m Fine, Seeks Banking Ban for Ex-Barclays Trader The US Federal Reserve Board has announced that it will seek a $1.2 million fine and a permanent ban on employment in the banking industry for Chris Ashton, a former FX trader at Barclays.
Banks Face Reduced Claims in FX Rigging Case Seven banks have had a number of claims against them for FX market manipulation dismissed in an ongoing US civil litigation court case. The Bank of Tokyo-Mitsubishi UFJ, Credit Suisse, Deutsche Bank, Morgan Stanley, RBC Capital Markets, Société Générale, and Standard Chartered Bank (collectively, the Non-Settling Defendants or NSDs) are the seven banks named in the court documents released yesterday. The NSDs are accused of conspiring to fix FX prices around the 4pm WMR benchmark, but moved to dismiss the claims against them.
Have Buy Side Firms Been Asleep at the Wheel? In recent years the sell side has justifiably been criticised for its behaviour in the FX market. But should regulators and market participants be taking a closer look at how the buy side operates in this market? Galen Stops reports. The FX industry has been rocked by a number of scandals in recent years and in many cases the implications of these scandals is only now coming home to roost. Two of the largest custodian banks in the world, BNY Mellon and State Street, have agreed $714 million and $530 million settlements, respectively, related to allegations they systematically set disadvantageous rates for their customers in contrast to their claims to be achieving best execution for them.
P&L Talk Series with Petra Wikstrom Petra Wikstrom, global head of Execution and Alpha solutions at BNP Paribas, talks to Profit & Loss about why FX TCA benefits from “a pragmatic engineering approach”. Profit & Loss: When it comes to producing meaningful TCA, what are the big data challenges facing market participants? Petra Wikstrom: Over the last five years we’ve seen a constant uptick in the electronification of FX, but the number of venues offering FX liquidity has increased far beyond that, which means that similar volumes are now offered across more venues.
Does the WMR Still Serve a Valid Purpose? Alex Dunegan, founder and CEO of Lumint, talks to Profit & Loss deputy editor, Galen Stops, about the challenges facing the buy side around selecting and evaluating benchmarks. The WMR benchmark has come under severe scrutiny since the allegations that banks colluded to manipulate it, leading to changes in the way that the benchmark is calculated and questions from buy side firms about whether they should be using it at all. Dunegan claims that this is a “critical” question, and provides his take on the answer.
Benchmarks Under Increased Regulatory Scrutiny In a new whitepaper issued today, Thomson Reuters claims that regulators are requiring firms that contribute to financial benchmarks to face increased scrutiny of their record-keeping and information governance policies. The paper, “Information Governance Reform for Benchmark Submitters”, focuses on the global momentum for regulatory change following the Libor and FX benchmark scandals and examines the challenges submitters now face. It notes that, because most benchmarks are global and therefore cross jurisdictions, individual benchmarks may have multiple sources of regional regulations. As a result, firms are now required to ensure compliance with an expanded scope of guidelines and relevant jurisdictions.
Tradebook Launches Cross-Asset Benchmark Tool Bloomberg Tradebook has released a new cross-asset tool designed to enable firms to trade one security relative to a set benchmark. In a release issued today, Bloomberg Tradebook claims that this Relative Benchmark Trading (RBT) algorithm will help traders using its PAIR (Pair) platform generate alpha, reduce the costs of trading and better manage risk. It does this, the firm says, by enabling firms to leverage Bloomberg’s data to help them capture gains from the dynamic relative pricing of securities by tracking the performance of other instruments that drive the price of that stock.
Australian Regulators Welcome New Benchmark Methodology The Australian Securities and Investment Commission (ASIC) and Reserve Bank of Australia (RBA) have jointly welcomed the publication of new guidelines for the setting of the local interest rate benchmark, the Bank Bill Swap Rate (BBSW). A major concern over recent years has been the low trading volumes during the rate set window, the time of day that BBSW is measured. In response, the BBSW methodology is being strengthened to enable the benchmark to be calculated directly from a wider set of market transactions.
Lack of Transactions Still a Problem for Benchmarks Reform of interest rate benchmark setting processes continues but concerns remain about the lack of transactions during some of the rate setting windows, the Financial Stability Board says. The FSB has published its latest report setting out progress on the implementation of its 2014 recommendations to reform major interest rate benchmarks such as key interbank offered rates. Those recommendations included measures to strengthen benchmarks and other potential reference rates based on interbank markets, as well as developing alternative nearly risk-free benchmark rates.
Sonia Reforms in April 2018 – BoE The Bank of England has formally announced that its reforms to the Sonia interest rate benchmark will take effect on Monday 23 April 2018. The reforms, which were announced earlier this year and see Sonia replace Libor as the interest rate benchmark for UK markets, will result in the Bank of England taking on the end-to-end administration, including the calculation and publication of Sonia, broadening the coverage to included overnight unsecured transactions, and the use of a VWAP methodology to calculate the rate.