Risk magazine - May 2018
In this issue: how a $5.4 billion deal could change the Treasury landscape; a clearing house basis for non-cleared derivatives; single-dealer platforms boosted by Mifid; some strange goings-on with APAs; and much more
Articles in this issue
Rolet is right – for now
CME/Nex deal could change the established logic on how to deliver rates market savings
Funding changes break cross-currency, Libor/OIS link
Tax reform and Treasury issuance focuses bank US dollar funding pressures onshore
Isins for swaps need ‘complete rethink’, say platforms
Three trading venues say Mifid II transparency objectives diminished by identifier choice
Libor death threatens to blow hole in hedges
Isda AGM: BlackRock, Fed stress need for fallbacks to marry up across rates universe
US will implement FRTB, insists Fed official
Isda AGM: “I don’t know why people doubt” US adoption, says Lynch
LCH and CME to start clearing SOFR swaps in third quarter
Scramble to offer clearing aimed at cutting clients’ margin and capital costs
US swap rate failed during volatility rout
The Ice swap rate was not published on February 6 due to a lack of electronic prices during equity turmoil
LCH-JSCC basis drops as hedge funds arrive
Capula and Rokos Capital among funds to have gained access to JSCC in recent months
Regional banks cheer tweaks to FRTB standardised approach
Planned softening of SBA makes it more appealing, but most banks still expect to adopt IMA
People moves: SG loses Mattatia, Deutsche’s Wisnia joins Eisler Capital, and more
Latest job changes across the industry
CME has chance to rule US rates after Nex deal
Market expects exchange to unite bond, repo, futures and swaps clearing – eroding grip of banks and DTCC
Vol virus: how a CCP basis leapt from swaps to swaptions
A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product
Single-dealer platforms win in Mifid forex shake-up
Best execution rules not driving liquidity away from sole dealer platforms as expected
Safeguarding liquidity in a changing environment
Nick Gant, head of fixed income prime brokerage for Europe, the Middle East, Africa and Asia-Pacific at Societe Generale Prime Services, discusses banks’ evolving responsibilities for providing liquidity in a post-financial crisis environment in which…
Europe struggles to get a grip on derivatives transparency
Mifid reporting has fallen short of US swaps data, but national regulators are partly to blame
Mifid data: hard to access, hard to use
Risk.net research shows four of 12 APAs and trading venues only provide information via other vendors
Fed risk rating system unifies stress testing and 3LOD
Some banks have qualms over potential downgrades and overlap between first and second lines
On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
Op risk capital: why US should adopt SMA today
No reason to delay roll-out of standardised approach, says TCH’s Greg Baer
Maybank takes to the dark web to tackle hackers
Bank’s CRO and CTO discuss front-foot approach to cyber threats
Power to the people: US bourse bets on retail rush into swaps
Eris Exchange hopes retail access to its swap futures will usher in new era of swaps for all
Fixing CDSs: lots of patches, no magic wand
Isda response to Hovnanian controversy could open new loopholes, traders warn
Going local: Brexit prompts rethink on MREL governing law
One EU regulator has already asked banks to avoid reliance on English law for bail-in
FRTB threatens dynamic forex hedging of capital ratios
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges
Bridge to nowhere: gaps in Treasury G-Sib bankruptcy plan
US bankruptcy-first approach needs more thought on emergency liquidity, say experts
The long march: ECB struggles with supervisory convergence
Anti-money laundering supervision and emergency liquidity assistance still run at national level
Fears persist about forced unwind from ‘implicit’ short vol funds
February sell-off could presage a bigger slide if correlations change, buy-siders say
Start-up fund looks to profit from early-stage bubbles
Market feedback loops have a signature that can be spotted and monetised, new fund SIMAG says
Don’t wait for freight: suppliers look to boost demand
Growing interest in shipping derivatives means FFA market needs to change
Simple models won’t cut it for systemic risk
Understanding interconnectedness and capturing it within models is a key challenge, say quants
Credit Suisse sheds $11bn in op risk RWAs
Regulator allowed Swiss bank to cut op risk exposure from defunct business
Goldman Sachs’ VAR at three-year high
Increased client activity and market volatility increases firmwide risk
JP Morgan criticises revised leverage ratio
"Time is right" to reconsider G-Sib capital framework, says CFO
Monthly op risk losses: banks count the cost of IT failures
Also: top five loss breakdown led by Wells Fargo’s $1bn fine. Data by ORX News
Credit data: firms with fewer well-paid women are riskier
Gender pay gap disclosures could be a proxy for credit risk, writes David Carruthers of Credit Benchmark
Swaps data: the allure of liquidity
Liquidity in OTC trading concentrates at one venue, or splits across three, writes Amir Khwaja of Clarus FT
Putting swaptions pricing in the fast lane
Derivatives consultant proposes a model for arbitrage-free pricing
Discrete time stochastic volatility
Quant proposes faster model to price arbitrage-free swaptions
Isda chair on the swaps market’s power shift
A decade ago, dealers held 18 of 19 board seats – but crisis has forced trade body to change
