Disclosure
The role of a green factor in stock prices: when Fama and French go green
The authors propose a means to capture climate change risk exposure by combining a green factor with typical frameworks used for explaining stock returns.
Op risk data: TD Bank takes $95m pill for pyramid scheme
Also: GE settles after juicing asset manager sale; keeping conflicts of interest quiet. Data by ORX News
Op risk data: Cigna catches a $172m cold over fake diagnoses
Also: Shinhan Bank America breaks AML rules; more greenwashing grime at DWS. Data by ORX news
Court showdown looms for SEC private adviser rules
Legal victory for the regulator would establish new powers of prohibition, critics claim
UBS leapfrogs global peers following Credit Suisse takeover
Swiss lender reports big increases in RWAs, leverage exposures and other key metrics
Social distancing: quantifying the ‘S’ in ESG
The ‘social’ pillar of ESG has been the poor relation in terms of data – until now
SEC rewrite of criteria for investor ‘group’ alarms buy-siders
Hedge funds fear it will freeze out activists and have chilling effect on everyday discussions
SEB’s wholesale funding doubles following reporting error
Front-loading of 2023 funding plan contributes to Skr500 billion increase in H1
EU’s late CDS transparency push triggers trader fears
Leaked proposal to shoehorn public disclosure of CDS into Mifir placates Esma, but alarms traders
The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures
The authors examine 10-K and 10-Q filings for risk factor disclosures and investigate if these disclosures can be used to improve estimations of the covariance matrix of stock returns.
Boaz versus BlackRock: the fight over closed-end funds
Saba founder says he never planned to be an activist investor. Now he’s battling BlackRock – again
SEC plans ‘pose reverse-engineering threat to quant funds’
Managers say proposed disclosure rules would lead to less efficient markets
More data needed on ‘cocktail’ of private market risks – FCA chair
“Patchy” reporting makes spotting hidden leverage and liquidity risk hard, says Alder
Hear no EVE, see no EVE
The Fed chastised SVB for poor rate-risk monitoring, but most US banks’ disclosures remain focused on earnings alone
US regionals remain laggards on EVE measure
Majority of lenders in Q1 did not report key metric that could have detected SVB’s risks
After a hack, loose lips won’t sink chips
Ion Group is the latest ransomware victim to stay mum about how it was compromised. No-one benefits from this code of silence
SEC reporting rule threatens CDS liquidity, say traders
Market participants say proposals for identifiable position reporting will hamper bank lending
Credit Suisse’s funding disclosures raise questions
The bank reported $141 billion of “other exposures” in NSFR at the end of 2022
Op risk data: Cerberus fight bites $850m off CIBC
Also: SEC targets dodgy disclosures; Commerzbank’s Wirecard hit. Data by ORX News
Climate risk managers debate role of client transition plans
Banks hope for guidance on whether to include changes in client behaviour in long-term scenarios
The JSE’s leading role in sustainability disclosures
The global landscape for sustainability standards and frameworks is evolving so rapidly that stock exchanges are becoming vital partners in helping companies navigate the complexities around disclosures on environmental, social and governance (ESG)…
Industry warns SEC bond disclosure plan may backfire
Extending rules for OTC equities to 144A bond issues could result in less price transparency
Credit Suisse and Commerz latest banks to ditch hold times
Mizuho also confirms zero last look add-on but MUFG’s policy unclear on the controversial FX practice
Non-transparent ETF spreads are tighter than transparent ones
Non-transparent ETFs don’t disclose what they own. Market-makers have worked it out anyway