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Term Sonia rivals don the same clothes
IBA mimics Refinitiv by adding Tradeweb quote data; Refinitiv denies IBA has ‘synthetic Libor’ edge
Podcast: Matthias Arnsdorf on a new – and cheaper – KVA
Quant proposes approach anchored by a dealer’s default rate rather than its return on equity
Esma warns of UK-sized hole in Europe’s fund leverage radar
Executive at hedge fund AQR also urges reform of EU leverage measures to better assess risk
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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.
Editors' choice
US dollar Libor’s fate in doubt after IBA delays funeral plans
Decision to exclude US dollar Libor from cessation plan is being treated as effective extension
Big Figure
Buy-to-hold popular in Q3
Top lenders in the US pushed more bonds and securities into their held-to-maturity (HTM) portfolios over the third quarter, led by Wall Street giants Bank of America and JP Morgan. The eight global systemically important banks disclosed a combined $903.3 billion of HTM assets as of end-September, up 23% on three months prior and 56% on a year ago. The share of all assets designated HTM also increased to 7%, its highest level in at least five years.
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7 days in 60 seconds
SA-CCR, SOFR lending and model approval
The week on Risk.net, November 21-27, 2020
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The value rally that never was
Op risk data: firm-wide control fails cost Citi $400m
Strengthening supervisory co-operation in derivatives markets
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