Risk magazine
FASB bins regional bank CECL proposal
Plan would have allowed smaller lenders to reduce capital impact of expected losses
New EU rules threaten to lock out US prop traders
Revisions to Mifid equivalence make opaque demands requiring “psychic abilities”, warn lawyers
Making machine learning work for AML
Banks’ anti-money laundering teams are starting to utilise machine learning to combat financial criminals. Risk hosted a webinar in association with NICE Actimize to explore whether these bots can be trusted
Central counterparty CVA
Matthias Arnsdorf proposes a method to calculate the counterparty risk related to CCP membership
Portfolio traders turn to tech – A new generation of strategies
Chris Bruner, head of US credit product at Tradeweb, explores the products that can help managers express portfolio views and how they can maximise the benefits they can reap by evaluating and understanding the price, risk and relative value of each…
Fed repo facility may fix SOFR’s image problem
‘Overnight standing repo facility’ could stop year-end rate spikes, and extend Fed’s reach
EU-Singapore trade deal awakens sovereign restructuring fears
Many worry that EU government bonds are now in play for international arbitration
Dealers go quiet on Turkey research
Seven banks have not covered this week’s lira meltdown, following investigation of JP Morgan
US version of SA-CCR could hurt settled-to-market swaps
Capital requirements on a client’s hedged options portfolio could increase by 1,100%
SOFR tipped to hit 300bp at quarter-end
US repo rate set for 25% spike thanks to French bank “window dressing” and US Treasury issuance
CFTC paves way for no-deal Brexit swaps transfers
Affiliate transfers would not trigger US margin rules if UK crashes out of EU without a deal
Tying allocation to selection
Hamza Bahaji introduces a new approach to core-satellite investing, the compound portfolio insurance
EU swap users still hope for single-sided reporting, one day
Lawmakers fail to deliver Emir reprieve but tease at potential future changes
Enria takes aim at eurozone banks’ sovereign exposures
New ECB supervision chair floats Pillar 2 concentration charge, criticises use of IFRS 9
Planned US capital buffer endangers shareholder payouts
CCAR-based stress capital buffer would hit healthiest banks harder than weaker rivals
State Street top trading partner of Dodge & Cox Funds in 2018
Custody bank made up over 90% of all principal transactions
Brexit to deliver further blow to Mifid transparency data
Market participants say duplicate reports in UK and EU will result in misleading public data
Fed may delay counterparty limits for foreign banks
Other countries need time to catch up on Basel large exposures rule, Fed official says
‘No way’ to avoid no-trade lists in no-deal Brexit
EU clients are likely to sever some cross-border ties with UK banks
Firms fear Mifid-style reporting crunch for Brexit day one
Operational clarity still needed to fully implement system changes in time for April 1
Brexit threatens to trip up derivatives reporting
Split will increase firms’ workload and costs, and result in less-accurate regulatory reports
Hammer horror: banks fear CCP auctions after Nasdaq
Auction failure at Nasdaq sparks debate over who gets to bid on portfolios, and whether they should be pre-hedged
Drop margin on swaps leaving Libor, Basel says
Joined by Iosco, Basel says moves to Libor successors should not be saddled with margin requirements
Asset managers brave patchy data to nowcast China’s GDP
Techniques include using many datasets, relying on proxies and continually reviewing models