Risk magazine - May 2019
In this issue: how Citi about-face could change FXPB landscape; Mediobanca’s secret sauce; privacy fears in public places; and much more
Articles in this issue
Citi scrape could change FXPB skyline
FXPB business is in the throes of profound changes – and CCPs could benefit
LCH plans major forex clearing expansion
CCP to tackle cash-settled options, deliverable swaps and standalone service for deliverable forwards
FSB says fallbacks should kick in if Libor no longer accurate
Isda plans to consult on what to do if a benchmark is no longer representative of underlying markets
Libor-in-arrears swaps face unwinds on benchmark death
Backward-looking fallbacks are incompatible with the product, which relies on forward rates
Traders back SOFR derivatives as repo hedge
Isda AGM: Market participants say products linked to the rate could mitigate quarter-end spikes
No-deal Brexit could force European swaps trading to US venues
Lack of equivalence between UK and EU regimes would create “conflicting obligations” for large dealers
Eurex cross-currency swap clearing faces continued delays
Clearing house eyes June release; dealers voice concerns over liquidity and margining
Funds ring alarm on EU guidelines for liquidity stress-testing
Managers could be forced to use multiple methods to stress-test large number of funds every quarter
All along the watchtower – Surveillance tools against market abuse
Surveillance tools against market abuse are enjoying a technological revolution in analytics, while anxious supervisors are also closing in on market practices. Risk.net hosted a webinar in association with NICE Actimize to analyse the threats and…
People moves: Barclays’ investment bank chief exits, Citi president to retire, Vos promoted at BNY Mellon, and more
Latest job changes across the industry
Born again: Citi’s forex prime brokerage
After a $180 million gut-punch, the apex brokerage is now evangelising to amused rivals about the perils of mispricing
The credit skew market’s surprise package
Mediobanca’s €1.6 billion in issuance makes small Italian investment bank a market titan
The future of operational risk management
As the efficiency of operational risk management remains a top priority and pressure to maximise value increases, emerging technology could prove crucial. Nitish Idnani, leader of oprisk management services at Deloitte, explores how the oprisk management…
Privacy risks dash funds’ alternative data dreams
Asset managers see value in alternative data in its rawer forms, but most won’t touch it
EU’s new securitisation market stumbles at the starting gate
Lack of single supervisory authority is hampering EU efforts to create new markets
Into the void: Europe’s new but hazy securitisation market
Regulatory vagueness reaches new heights as incomplete rules take effect
Confusion dogs start of Europe’s new securitisation rules
Incomplete rules and lack of clarity on designated supervisors thwarts hoped-for revival of key market
Life’s a breach: banks settle uncomfortably into GDPR
A year into exacting data privacy regulation, ramifications are becoming more tangible
Smart weaponry aids bank fight against money laundering
Advanced algos and machine learning gain credence as regulators encourage innovation
Don’t fear the clearer
Wider use of CCPs not systemic threat – but participants do face hard-to-measure risks
Meet Simon, Luma and Halo (they trade structured products)
Shiny new platforms want to introduce structured products to an unsuspecting US public
Sovereign swaps users should learn from Italy’s mistakes
Posting collateral is a cost debt offices must embrace, argues Stefania Perrucci
Sovereign risk weights cannot wait
Why reform of Basel rules is urgent – and how to improve on December 2017 proposals
Realism or deregulation? Fed sidelined in oversight of insurers
Proposed activities-based approach to non-bank systemic risk will make Sifi designations less likely
US swaps end-users cry foul over SA-CCR punch
Capital on non-margined trades jumps 90%, and energy firms face double hit
Funds hunt for the real McCoy in alternative data jungle
Uncorrelated information is a rare species but there are other ways to make funky new data work
China throws up challenges for alternative premia funds
Poor data, curbs on trading and regulatory change put a new spin on the investment approach
Electric vehicles: a slow-motion car crash for oil firms?
Peak oil demand is seen as inevitable, but disagreement abounds on timing
Whose leverage ratio is it anyway?
Basel's capital backstop has been distorted out of shape by supervisory meddling
Deutsche predicts lower G-Sib charge
German lender expects to fall into 1.5% surcharge bucket by 2022
Custodians eye leverage savings of more than $200bn via new SLR
Central bank deposit carve-out won’t change holdcos’ capital requirements
Two banks dominate EU securitisations
Banco Santander and Deutsche account for over one-third of total securitisation exposures among G-Sibs
EU G-Sibs' CCP exposures topped €223bn in 2018
Societe Generale, BNP Paribas and HSBC made up over half of all exposures
Under SA-CCR, Nomura leverage exposure drops over ¥7 trillion
Methodology switch sends leverage ratio soaring to 5.04%
At Ice Clear Europe, 84 margin breaches in 2018
Clearing house posted just nine breaches in 2017
Op risk data: Europe’s AML drive follows Danske and ING slips
Also: top five losses include mortgage penalty for Citi and reporting fines for Goldman, UBS. Data by ORX News
Credit data: worrying trends in sovereign risk
All signs point to a more volatile environment for sovereign credit risk
Swaps data: IM grows in listed and OTC markets
Data shows fourth-quarter jump in IM across all product groups and after-effects of Nasdaq losses
SA-CCR may need more fundamental fixes
Quants propose tweaks to improve Basel counterparty credit risk framework
Revisiting SA-CCR
Berrahoui, Islah and Kenyon propose an alternative to SA-CCR
Roughening Heston
El Euch, Rosenbaum, Gatheral combine a rough volatility model with the classical Heston model
Skewing quanto with simplicity
George Hong presents an analytical method for pricing quanto options
A Chinese megabank and its CRO in the US
Frank Morisano has put together a risk team, his unit funds itself, and he’s banned cloud technology
