Risk magazine
Banks save €3.5bn in swaptions compression drive
Capitalab removes €1.3 trillion notional, cutting capital requirements
Regulation, risk-taking and responsibility
Supervisors “need firms to be profitable”, writes BoE’s Fisher
Libor reform: the sound of silence
Moves to push swaps off Libor have generated surprisingly little noise
The limits of the leverage ratio
Data from 30 European banks shows even 6% ratio would miss regulators’ stability target
People: Barclays’ Staley taps JP Morgan for CRO and COO
Morgan Stanley loses risk analytics head; Portney leaves JP Morgan; Goldman shuffles London office
Beyond Libor: what reform plans mean for swaps users
Big bang still an option in plans to propagate new benchmarks
SEC in wait-and-see mode on CDS clearing mandate
Industry sources that have met with the agency claim it has “no plan” for mandate
LME Clear ‘welcomes scrutiny’ of CCP risk management
Oversight from clearing members is good for central counterparties, says LME Clear CEO
KVA pushes accounting standards to the limit
Radical changes needed if banks are to account for cost of capital
Freddie Mac reviews $600bn hedge book as losses mount
Swap spread inversion contributed to derivatives losses of $2.7 billion in 2015
Europe opens door to Mifid II package trade waiver
MEPs to vote on four changes to Mifid II text on March 17
Giving the Omega ratio a new lease of life
Johnson-Omega could change the way financial firms measure portfolio performance
Accounting for KVA under IFRS 13
An accounting treatment for the economic effect of KVA in accordance with IFRS13
Accounting puts brake on move to daily settled swaps
New margin approach threatens hedge accounting status, could hurt effectiveness
Isda general counsel David Geen departs
Geen stepping down after a decade at trade body
From FVA to KVA: including cost of capital in derivatives pricing
Youssef Elouerkhaoui presents a general derivatives pricing framework including cost of capital
Isda would create protocol for swap rate ‘big bang’
Tool to allow for legacy contract amendments in case of OIS rate change
Managing XVAs: from whack-a-mole to Mortal Kombat
Joined-up effort to tackle XVAs reflects growing impact of derivatives valuation adjustments
Johnson-Omega performance measure
Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions
CCPs seen as reluctant to report cyber attacks
Clearing houses urged to share information in aftermath of cyber security lapses
AllianceBernstein credit aggregator tackles bond illiquidity
Internal liquidity aggregator helps cut credit trading costs
Banks launch drive to crush outsized XVAs
Novations and profit-sharing form part of push to trim derivatives valuation adjustments
MEPs split on how to protect package trades from Mifid II
Ferber warns amending text "risks opening Pandora's box"
Firms weigh impact of blockchain on post-trade services
Opportunity for using distributed ledgers in OTC market discussed at meeting held by CFTC