News
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
Legislative fix sought for Libor fallbacks
Federal law makes it “almost impossible” to change benchmark rates for FRNs
Large banks thrash regionals’ proposal on CECL
Plan would require more work and produce no capital benefit, executives tell FASB
FCA: ‘We can be Libor fallback trigger’
Amid fears of hedging mayhem, Schooling Latter says FCA verdict could be trigger for smoother rates switch
Metro Bank loan blunder perplexes industry
Bankers surprised risk-weight errors went unnoticed, warn they could harm bank’s IRB aspirations
Lloyds’ head of traded products exits
Christophe Coutte left the UK bank late last year
BrokerTec outage serves as ‘systemic risk’ wake-up call
January 11 shutdown of dominant US Treasury market platform worries participants
Natixis sales exec leaves bank following €260 million hit
Nicolas Reille tried to bring his entrepreneurial spirit to the Asian equity derivatives market
Top 10 operational risk losses of 2018
Mega-fraud at China’s Anbang pushes up total losses year on year; SocGen suffers double blow
Factor timing: scant upside, big downside
Stock selection trounces “tempting” factor timing in study
Nomura plans more hires in equity derivatives, eyes China
Unit head also sees potential in Hong Kong listed market and in demand for bespoke products
Fed to persist with insurance capital proposals
Quarles indicates Fed will follow through on building block approach designed by previous board
Optimism fades to uncertainty on banks’ CECL proposal
As crunch FASB meeting approaches, most decline to speculate on outcome
Japan banks face huge CVA hit, dealers say
Revaluation of derivatives books likely to cause hundreds of millions in one-off losses
Malta’s crypto assets plan means greater AML risks, IMF warns
Authorities must rapidly improve AML regime and guarantee FSA’s independence, mission says
Eurex’s new Swiss rate futures in naming pickle
German exchange used ‘wrong month’ to name Saron futures
LGIM’s head of LDI departs
Simon Wilkinson to spend time away from industry; Guy Whitby-Smith takes on duties
Brexit threatens to reopen Asian bail-in clauses for EU banks
EU27 dealers had used English law contracts for Asian counterparties to comply with BRRD
Podcast: Kenyon and Berrahoui on the pitfalls of PFE
Quants propose replacement to existing credit risk measure
EU parliament OKs no-action powers but leaked doc signals delay
Council note means regulators may not get no-action powers until at least November
Cross-currency swaps could hasten RFR shift in Australia
Adoption of new risk-free rate for both swap legs likely to turbo-charge wider benchmark change, say sources
Investors bemoan Mifid II best-ex failings
Lack of consistency in data provided by trading venues undermines transparency drive
Final FRTB internal model rules get mixed reviews
Bankers divided on whether changes to two key tests will ease ‘penal’ capital charges
Eurex Clearing names new CRO
CCP’s risk analytics head will replace Laux in July