Risk.net
Latest
CLO investors find silver lining in Libor’s demise
A backward-looking SOFR rate will reduce the asset-liability mismatch that sank CLO equity in 2018
Isda set to launch fallback spread consultation
Lookback and mean/median study to launch this month, with results tipped to move the basis market
Clearstream, Euroclear eye buy-side bonanza as IM rules loom
Depositories offer access to automated margining in different ways, but each faces challenges
Latest
Risk Quantum
Data insights, delivered daily
Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
Editors' choice
A look under the hood of Span 2, CME’s new margin engine
VAR-based framework has new ways of netting contracts and setting volatility floors and more
Big Figure
Cash out
Deutsche Bank has steadily cut the share of its liquidity portfolio held in cash, as it seeks to deploy excess liquidity into higher-yielding investments. As of the second quarter of this year, Deutsche had 64% of its €246 billion ($270 billion) liquidity reserve as cash in central banks, down from 70.8% at end-2018 and 79.3% at end-2017. In its Q2 interim report, the bank said it was taking “active measure to reduce and redeploy excess liquidity”.
Read the full article
Comment
How collateral scarcity reshaped the US yield curve
Swaps data: analysing the US rates collapse
Op risk data: Sanctions-busting fines cost banks $20bn
Credit data: Italian banks find themselves at a crossroads
Our Take
When regulators become nationalists
Span 2: a fine balance
Time for a (proper) G-Sib speeding ticket
Backtesting expected shortfall: mission accomplished?