Risk magazine
Clearers diverge on SOFR swaps discounting
CME switches to new rate for clearing; rival LCH stays with Fed funds
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
Implementing Basel III – the view from Europe
EU approach to new credit risk framework must recognise local market structures, say banking experts
EU trading venues warn over looming end of LEI relief
Expelling issuers with no legal entity identifiers could hurt liquidity and investor strategies
Quants tout exposure-based approach to op risk modelling
Ebor especially suited to modelling loss events such as legal claims, say proponents
French regulator voices doubts on Europe’s FRTB timeline
Federal Reserve warns EU delay would force US to reconsider 2022 implementation
Banks fear loss of Emir intragroup exemptions
Firms would have to clear or margin transactions with affiliates in non-equivalent jurisdictions
BAML replaces head of global rates
Gupta and Stanley named co-heads as Roberts exits
Libor transition raises basis risk fear
Shift to secured benchmark could cause dislocation between bank funding and lending rates
SRB denies conflict of interest claim on Banco Popular
Bondholders poised to challenge “no creditor worse off” valuation if compensation is denied
Large non-systemic US banks call for tailored liquidity rules
Two banks urge lawmakers to provide LCR relief because they do not fall into G-Sib category
Emerging market corporate bonds as first-to-default baskets
Modified Merton model offers insights on EM corporate debt
Seeing red: EU banks swamped by stress test demands
Banks’ stress test submissions receiving tens of thousands of error messages from local supervisors
Fed plans reform of US bank ownership rules
Relaxing the definition of control would allow funds to invest without becoming BHCs themselves
New DTCC fee structure could lure non-bank traders
US regulator approves proposal targeted at government securities business
Isin database users oppose further fee increase
Derivatives Service Bureau may hike fees for top users to cover cost of proposed additional services
New US buffer triggers fresh focus on CCAR transparency
Banks fear capital volatility and may also push for changes to US G-Sib surcharge
Brexit dims hopes for Solvency II change in UK
Lawyers say political tensions may have killed off chance of reform, following PRA U-turn
Banks question CECL procyclicality research
Banks dispute Fed paper showing accounting switch will lessen loan reserve procyclicality
European banks face ‘bottleneck’ to complete EBA stress test
New accounting rules and supervisor demands squeeze teams prepping for 2018’s exercise
Buy side frets over fallbacks in ‘zombie Libor’ scenario
Firms say any future plunge in number of Libor contributors should trigger switch to fallback rate
Questions remain on scope of Mifid extraterritoriality
Global firms confused about reach of trading obligation and best execution rules