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Fed discussing margin impact of SOFR switch
Isda AGM: Legacy Libor swaps should be protected from new rules when ditching Libor, MetLife’s Manske says
Basel’s Coen warns on FRTB complexity
Isda AGM: Regulators may consider “simpler and more robust” approaches when finalising rules this year
Credit Suisse sheds $11bn in op risk RWAs
Regulator allowed Swiss bank to cut op risk exposure from defunct business
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Risk Quantum
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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.
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FRTB threatens dynamic forex hedging of capital ratios
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges
Big Figure
A certain ratio
JP Morgan hit out at a proposed revision to the enhanced supplementary leverage ratio (eSLR) as first quarter earnings showed it had increased its combined on- and off-balance sheet exposures by over 2% on the year. The dealer said it was of “concern” that the ratio would incorporate the global systemically important bank (G-Sib) surcharge “without addressing known issues” with the add-ons’ calibration.
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Swaptions basis secrets, risk capital changes and forex hedges
The week on Risk.net, 14-20 April, 2018
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