Europe
Split emerges over data requirements for term €STR
Refinitiv warns against relying on Level 2 inputs, as Emmi targets October launch
Banks begin China close-out netting work after Isda opinion
Rise in collateralised transactions will be next step, dealers say
Banks relieved as EBA punts on dual-track stress tests
Hybrid approach for 2023 will see top-down models used to project net fee and commission income only
Pick a lane: Anna DSB to rival CDM coded swaps reporting?
Dual machine-executable rules are set to create choice – and maybe bifurcation – for swaps reporting
Uncertainty over ECB’s TPI muddies monetary and fiscal impact
Analysts say anti-fragmentation tool exposes long-standing flaws in EU fiscal framework
Esma warns new foreign clearing house rules could backfire
Löber says euro swaps trading may move away from CCPs that face toughest EU scrutiny
Can the EC reach consensus in clearing countdown?
Brussels faces a cold, hard deadline to build clearing regulation accord in Europe
Allianz, Generali post €52bn in fair value losses in H1
Bond portfolio values crash as equities tailwinds fades
Using correlation to model op risk losses may be unsafe – study
Techniques for linking economic factors and bank losses produce varying – and sometimes contradictory – results
Geopolitical risk models not ‘rigorous’ enough, says quant
Joseph Simonian believes game theory and reinforcement learning could improve matters
The ghost of Archegos returns to haunt Simm
UK regulator’s attack on Simm may have more to do with the failed family office than meets the eye
The closer quants look, the less diversifying crypto appears
Analysis seems to confirm that the asset class is not an effective diversification play
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
Amid macro storm clouds, a silver linings playbook for fintech
Banks and VCs believe inflation and rising interest rates will result in winners as well as losers
Bund volatility sparks uncertainty around futures delivery
Changing cheapest-to-deliver status catches some traders off guard despite Finanzagentur intervention
FCMs brace for ‘tough winter’ of energy market disruption
Banks stress-test clients, add big margin multipliers to insulate against risk of 100% price moves
US banks’ Brexit gambit hit by EU cross-border ban
US firms trying to Brexit-proof their European operations could now be hit by CRD VI
Regulators should be careful what they wish for on FRTB
New framework likely to reduce use of internal models, as planned; but is that a good thing?
Banks may spend ‘billions’ to stop quantum hacking threat
Quantum-proof algo standards nearing completion, but enhanced cryptography won’t come cheap
UK offers six-month margin reprieve for China netting sweep
Transition period falls short of Isda’s 18-month request, Hong Kong mulls similar relief
‘Nightmare’ of uncertainty plagues FRTB model applications
Shifting timetable and rule tweaks that could alter incentives dampen appetite for internal models
In a bit of a fix: Refinitiv seeks ideas to improve WM/R
Operator launches consultation following criticism of 4pm fixing rate
Banks turn away from FRTB internal models in Europe
Drawbacks mean even fewer model approval applications planned than past ECB survey suggested
Cohen & Co yields 8% by lending to unrated insurance companies
Small firms in ‘the safest industry in the world’ can’t raise capital, creating a trading opportunity