News
Recent defaults lead to record credit derivatives payouts
CDS auctions have yielded historically low recovery rates this year, meaning swap sellers have had to pay more than normal
Eurex CRO: market meltdown will mean margins stay higher
Record breaches at global exchanges fuelling pressure to keep rates permanently higher, says risk chief
Banks tout early roll dates for FX swaps as quarter-end looms
Asset managers open to more flexible hedging strategies since March turbulence, say dealers
Banks push for capital changes as CECL provisions soar
Spike in set-asides exposes fault lines between new accounting standards and Basel rules
Esma calls for full audits of cloud providers
Regulator says firms must negotiate access rights to books and premises of providers
EU urged to pass permanent market risk capital relief
Council agrees temporary changes, but ECB’s Enria wants legislators to trust supervisors
Appetite for renewed Fed dollar swap lines in doubt
With up to $300bn of positions nearing expiry, some say FX swap market can meet banks’ funding needs
Don’t run CCP auctions by fear, study argues
Paper by BoE economist and co-authors backs ‘second-price’ auctions and limited penalties
Twin-track solution for ‘tough legacy’ Libor falls flat
Critics deplore lack of detail in UK taskforce's call for parallel legal fix and synthetic rate
Libor trap lurks in 2021 US stress tests
Using SOFR, borrowing could boom and revenues collapse
Cross-border investing boosts contagion risk, study finds
More countries now capable of triggering a wider crisis
Data error inflated Wells Fargo’s op risk capital by $5 billion
Sharp fall in Q1 RWAs followed removal of duplicate data
Regulators and banks clash on FRTB capital impact study
Basel and EBA call out two banks for using “overly conservative” survey assumptions
Mental health: the new frontline for risk management
Rise in stress and anxiety among locked-down staff could open up banks to range of risks
In downturns, vol travels down the supply chain – study
Customer VAR breaches strike at stressed suppliers, research shows
EU Parliament ‘likely’ to allow market risk capital relief
MEPs propose allowing supervisors to temporarily exclude Covid-related backtesting exceptions
Turkey turmoil opens door to offshore NDF market
Emta invites input on documentation for offshore lira
R-nought is the wrong number for markets, academics say
New research suggests volatility of transmission matters more for asset prices
ECB’s Enria unsure banks will dip into capital buffers
Anxiety over investor and rating agency reaction may limit banks’ use of Covid relief measures
Choppy markets revive quest for RFQ’s ‘magic number’
Deutsche argues for smaller, stronger panels; Citi offers better prices for 'full amount' trades
Ice swap rate adds safety net with Tradeweb quotes
Inclusion of dealer-to-client prices will boost publication rate in stress periods, IBA claims
European lawmakers urged to prevent CCP contagion risk
Watchdog says carve-out needed in new recovery and resolution rules to avoid cascading default of clearing houses
US benchmark switch splits swaptions market
Some users ignore new guidance to nominate SOFR for swap discounting
ECB lays foundations for climate risk capital charge
New guide will influence capital management, but pillar two charges likely to await EBA report