Europe
Op risk data: Mouldy money makes big stink – and fine – for NatWest
Also: Santander plays Santa; JPM in messaging mayhem; ‘Sterling Lads’ cost HSBC a couple of bricks. Data by ORX News
Bitcoin futures ETF loses 9% a year to fees and contango
Cost of rolling futures contracts from one month to another exacerbates ProShares ETF’s losses
EU looks to close Brexit escape route from ECB supervision
Changes to capital regulation would stop national rulebook arbitrage deployed post-Brexit
LSEG beefs up non-cleared ambitions with Quantile deal
Agreement to buy optimisation firm for £274m strengthens LCH’s FX foothold as SA-CCR bites
Princeton, Baruch and Berkeley top for quant master’s degrees
Eight of 10 leading schools for quantitative finance programmes are based in US, latest rankings show
Top 10 op risk losses for 2021 hog $15bn total
Despite more fraud and crypto crime, firms’ op risk losses fall in number and in volume. Data by ORX News
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
People moves: Ice rings changes, new CFTC appointees, and more
Latest job changes across the industry
Counterparties clash over ‘dirty’ CSAs
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion
Down but not out: US Libor trading continues amid ban
Outgoing rate hits market share lows in US swaps but little dent made in listed markets
Some EU banks keep underprovisioning for ECLs
Divergences between accounting and regulatory markdowns remains high at some top lenders
EU’s IM model validation rules may put Simm in jeopardy
Draft RTS creates validation hurdles and cross-border conflicts, industry warns
New branch rules threaten Japanese banks’ EU plans
Draft CRR III may cause foreign banks to think twice before expanding in the EU
MSCI’s temperature scores stir angst among green investors
Ratings firm says world’s biggest wind power company will produce more global warming than Shell
Spanish regional bank’s CVA charge up 30-fold on SA-CCR
Banco de Crédito Cooperativo saw end-June charges balloon the most year-on-year across a sample of 120 European banks
The future of equity derivatives: perspectives for UK equities and dividends
Managing equity and dividend risk today requires new trading strategies and products. In a webinar convened by Risk.net and hosted by Eurex, three experts discuss what’s next for the UK and European markets.
SMFG reports highest power sector emissions intensity
Across all systemic banks, only eight dealers disclose their GHG emissions for this field
Europe swap dealers eye London return post-Brexit
Proposed Mifid exemption paves way for BNP Paribas, SocGen and Deutsche to trade swaps on UK venues
CME delays Span 2 rollout till at least mid-2022
FCMs ask bourse to postpone long-planned switch to new VAR model to allow more time for testing
EU banks with thinnest buffers tap heftiest IFRS 9 capital add-backs
EBA data shows lenders whose capital benefitted most from transitional loan-loss relief also have skinniest CET1 capital ratios
You’ve got a Frandt: banks set to port EU clearing rules to UK
FCMs set to adhere to higher standard on commercial terms for swaps clients
SA extends reach over EU banks’ market and op risk
Regulator-devised models have been capturing a bigger chunk of RWAs through the pandemic
EU offers reprieve for fund-linked derivatives trades
Banks hope FRTB draft allowing fund managers to supply standardised inputs will cut risk weights