Balance sheet
Seeing red over blue-chip swap in Argentina’s NDF fiasco
Emta protocol salve aside, peso settlement rate snafu is a warning for emerging market FX derivatives
Leverage is underestimated
Off-balance sheet funding is large, rising and not fully accounted for in leverage metrics
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Systemic US banks shed $70bn of repo exposure in Q4
Goldman Sachs lowered repo exposures 13% quarter-on-quarter
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
Will uncleared margin rules change the FX landscape?
As the next phases of uncleared margin rules come into force, there will be an economic driver for more clearing of FX. By Phil Hermon, Executive Director of FX Products at CME Group
OTC client clearer of the year: Bank of America
Risk Awards 2020: Pivot to Europe pays off with market share growth and big client wins
The theoretical foundations of XVAs
Bloomberg analyses the theoretical basis of XVAs, focusing on the works and findings of its head of quantitative XVA analytics, Mats Kjaer, who emphasises the role of the capital valuation adjustment as a major driver of derivatives trading profitability…
Off-balance-sheet exposures at JP Morgan climb $19.8bn in Q3
Goldman Sachs expands off-balance-sheet exposures 10% quarter-on-quarter
Prime services – It’s about what you bring
There are many benefits to integration – particularly when it comes to the provision of prime services. Societe Generale has followed this path, which has allowed it to improve cost efficiency and improve the range of products it can offer. The bank has…
How slower growth in China could threaten financial reforms
Low GDP could mean reforms are forgotten
Structural snags frustrate STS for synthetics
Curbs on excess spread and collateral stymie route to ‘high-quality’ signifier
Stress-testing to improve strategic decision‑making
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
Lease finance accounting – A new standard
International Financial Reporting Standard 16 came into effect on January 1. The impact of the new standard can be felt across all industries, particularly those that rely heavily on rentals and leasing as part of their core business. A global leader in…
Banks seek new value for their efforts
As regulatory stress tests evolve and a new age of stress-testing approaches, firms are looking to maximise value by making the most of scenario-based analytics. John Voigt, principal solutions manager at SAS, explores the importance to institutions of…
Best CVA practices in Japan
At a recent roundtable in Tokyo, banks and regulators discussed progress on credit valuation adjustment (CVA). While, in many respects, the work towards implementing best practices in the country is on track, challenges remain in resourcing and…
Podcast: Mats Kjaer on how trades affect the balance sheet
Bloomberg quant has developed a balance-sheet model for XVA pricing
In the balance redux
Mats Kjaer developes a dynamic balance-sheet pricing model for valuation adjustments
Realising opportunities while managing conduct risk
As efforts to transition from Libor to risk-free rates ramp up, Maria Blanco and Nassim Daneshzadeh, partners in PwC’s US and UK financial services practices, discuss two critical and interconnected strategies that are front and centre for PwC clients
Libor transition and implementation – Covering all bases
Sponsored Q&A
Off-balance-sheet exposures at US systemic banks jump $67bn
BAML expands these assets by 2.5% quarter-on-quarter to $921 billion
Libor takes a back seat as insurers await regulatory clarity
Eiopa silence on discount curves holds back transition plans
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…