News
Fed’s CECL relief falls short – regional banks
Banks won’t need to factor loan-loss estimates into DFAST through 2021; no word yet on CCAR
No bank would benefit from planned eurozone G-Sib waiver
Neither Deutsche nor BNP Paribas would move to a lower capital buffer, based on end-2017 data
VAR restrictions ‘will hit returns’ for sophisticated traders
VAR cap can be even more constraining than a short-selling ban, researchers find
Repo rate hits 7.25% on year-end volatility
US Treasury issuance on December 31 said to have fuelled last-minute dash for cash
Competing against Sifis ‘leads to higher risks’
But research finds weaker implied sovereign support reduces impact on non-Sifi competitors
Isda seeks consensus on CDS clean-up
Credit definitions amendments expected in Q1 to stamp out manipulated triggers
LCH shakes up compression vendor fee structure
Proposals follow criticism that current regime favours top provider TriOptima
Risk premia strategies do not reward downside
Study says alt premia approaches do not compensate for exposure to rough markets; hints at data mining
BIS slams Nasdaq Clearing for risk management failures
Clearing member says it is giving notice to quit bourse, citing concerns over concentration of risk on venue
Euro term rate likely to be OIS-based, says RFR group chair
Committed quotes “the most viable methodology”, but some insist rate creates new risks
Natixis’s €260m hit blamed on big books and Kospi3 product
Rivals say French dealer grew business too quickly – with leveraged version of Korean index one source of pain
NatWest kick-starts Brexit swaps transfer
Bank follows Barclays and UBS with plans to continue serving EU clients as ‘no-deal’ looms
Fallback decision will lift yen OIS, says Japan RFR group chair
Move should kick-start dormant Tonar OIS market – key requirement to building a term rate
LCH launches CDS exercise platform
CCP touts method for speeding up manual settlement process as rival Ice gears up for options launch
BoE unveils ‘final major piece’ of UK resolution regime
Consultations outline how the Bank of England will assess “resolvability” of banks
HSBC hires new head of model validation
Bank appoints Credit Suisse veteran to key role
FX swaps to avoid year-end basis blowout, banks say
Earlier rollovers likely to ensure no repeat of previous cross-currency volatility
A buy-side swaps order book – with a difference
First client joins Trad-X Clob as dealers get nervy about large-scale RFQs
Data shortage hits margin models for Asia banks
Thin trade volumes in local derivatives threaten to undermine key tests for initial margin models
FX traders dump short-dated options on Brexit mire
Attention turns to long-dated positions after failed no-confidence vote
Proposed repo market reform could kick-start China CDS
Industry hopes easier shorting of bonds will help banks hedge credit protection sales
EU lawmakers delay FRTB capital charges
Leaked paper potentially pushes market risk capital charges beyond Basel’s 2022 deadline
CECL fans and foes cross swords on Capitol Hill
Dispute over economic impact rages on despite agreement on capital relief
When bonds struggle, so does alt premia – research
Ties between alternative risk premia and fixed income closer than appreciated