News
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
Brexit clouds future for Euribor and Eonia in UK
Clashing deadlines threaten to scuttle rates, but ‘in-flight files’ bill might save them
Look closer at crypto, EBA and Esma warn Europe
Regulators raise concerns over limits of existing legislation
Princeton tops inaugural Risk.net quant master’s ranking
Course sees off competition from Berkeley’s Haas and three New York schools
FICC takes firm grip of US repo market
Central counterparty wrangled more money market repo cash than banks did by end-2018
Lobbyists seek eleventh-hour Brexit relief for UK futures
EC urged to extend CCP safe harbour so listed derivatives don’t switch to OTC
Non-netting status denies capital boost for Chinese banks
Reliable close-out netting could cut China’s SA-CCR capital requirements by around 20%
A tenth of users ‘don’t know’ if Libor death affects them, survey finds
Respondents blame low industry preparedness on lack of standardisation in treatment of fallbacks
Fed economists float new way to project op risk losses
Researchers suggest combining firm’s size with loss history to best predict losses under CCAR
China sees slowdown in structured deposit volumes
Easing of restrictions on wealth management products tips market away from structured deposits
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