United Kingdom (UK)
Accurate RFR hedges face liquidity trade-off, participants say
Isda AGM: Aligning swaps with assorted cash market conventions requires users to weigh liquidity cost
New UK op risk rules elevate management over measurement
Under op resilience rules, firms must plan for all severe stresses, whatever their probability
Core systemic indicators at HSBC blinked higher in 2020
Underwriting indicator increased over 30%
UK banks released £671m of loan-loss provisions in Q1
HSBC, Lloyds and NatWest all released surplus credit reserves
Op risk update lops £72m off NatWest’s capital requirement
RWAs for operational risk fell 4% in Q1
Corporates remain on swaps fallback sidelines
Risk.net analysis finds just 14 out of 100 large non-financial firms have signed up to Isda fallback protocol
FCA unfazed by ‘inflated’ sterling Libor swaps trading
Regulator says high volume of new Libor swaps traded since April 1 is linked to risk reduction
Basel playing catch-up on climate risk, say experts
Individual regulators have already gone further in encouraging transition
Traders say BoE green bond purchase scheme could sap liquidity
Updated plan could spike market volatility – harming not only brown bonds, say dealers
FCA could get legal with USD Libor laggards
Incoming powers permit regulator to ban use of benchmarks with known cessation dates – but only for UK-supervised firms
IM at LCH Ltd fell to post-Covid low in Q4
Required IM for SwapClear dropped to £149.5 billion, down 3% quarter on quarter
Market dispels fears over USD Libor cross-currency swap shift
Traders confident market convention will shift to RFRs on both legs of deals
Industry group backs wider use of term Sonia in derivatives
Swaps used to hedge tough legacy products and some new loans could reference a forward rate
Dividend freeze helped keep lid on bank CDS spreads – BIS
But the ban on distributions wrecked bank share prices
Fraud op risk losses edged up at UK banks in 2020
An average 38% of losses by value last year were because of internal or external fraud
Some dealers are much cheaper than others; now you know who
New system will name the three cheapest dealers for liquid securities and show how much they cost
Isda plans ‘modular’ RFR conventions
Swaps definitions will be updated in response to divergent compounding styles in loan markets
BoE to consult on Sonia clearing mandate
Long-dated Sonia swaps set to lose clearing exemption as liquidity shifts from Libor
Riskiness of internationally-active UK banks edged up in 2020
Risk density across top five UK banks fell year on year
NatWest to quit US dollar Libor panel at year-end
Fifteen banks will continue submitting US dollar Libor quotes until mid-2023
UK banks added £140bn to HQLA in 2020
Barclays saw its LCR improve the most over the course of 2020
IBA rolls out Sonia indexes for lending markets
Alternative to BoE index includes 0% floors and support for both lag and shift conventions
IFRS 9 relief added £8bn to UK banks’ capital buffers in 2020
Lloyds’ CET1 ratio reaped a 120bp benefit
State Street to look after bitcoin, just don’t call it custody
The second-biggest custodian will provide “record-keeping services” for the unregulated asset