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Research Affiliates expects 16% return from value repricing
New study shows “the engine for value performance is not broken”
LCH leads top CCPs on operational failures
London-based clearing house said core systems were down for over seven hours in 12-month period
Lloyds wins consent to flip £1bn covered bond to Sonia
The conversion, backed by 99.84% of bond holders, marks another milestone in the Libor transition
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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
How banks game stress tests: the ‘shocking’ truth
Leaked memo exposes effort to swap out risky assets despite Fed’s push to end “window dressing”
Big Figure
Tears over tiers
Large European banks are expected to see their average Tier 1 capital requirements increase 18.6% under the fully-loaded Basel III rules from end-2018 levels, figures from the Basel Committee shows. The average capital increase for European Group 1 banks – internationally active firms with more than €3 billion ($3.3 billion) in Tier 1 capital – is driven by the introduction of the output floor (+7.4%), as well as changes to required capital for credit risk (+4%), operational risk (+3.7%), credit valuation adjustment (+3.4%) and market risk (+2.8%). This is partially offset by reduced capital requirements linked to the leverage ratio, which lowers the total amount by 2.6%.
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Comment
Credit data: sustainable companies are better credit risks
Op risk data: Rogue trading costs Mitsubishi $320m
Computer says no: combating bias in machine learning models
How collateral scarcity reshaped the US yield curve
Our Take
Futures rise to the occasion as SOFR surges
US clearing houses need not take collateral damage from Brexit
In stress-test window-dressing, timing is everything
Game theory plays well for capital management