Regulation
Next-generation ESG derivatives
Amid increasing concern for the future of the planet, the demand for environmental, social and governance (ESG) factors has grown significantly. As such, global investors are looking for tools to support the development of sustainable portfolios. ESG…
Regulatory attacks deal BSBY swaps a crippling blow
Libor successor “dead in the water” but CME sticks with cleared swap plan
Phase five margin queues spur calls for custody revamp
Custodians urged to update “antiquated technology” ahead of three-fold jump in phase six initial margin onboarding
Federal bill unpicks some, not all, US Libor legacy knots
Legislative effort is progressing with bipartisan support, but non-US law contracts won’t benefit
ING takes €5.2bn RWA hit from SA-CCR and last of Trim
Regulatory inflation negates RWA decrease from better loan-book quality
Federal tough legacy fix gives nod to alternative rates
Legislation does not “disfavor” alternative rates, but safe harbour may not stretch beyond SOFR
UBS incurred two VAR breaches in Q2
Risk Quantum understands the VAR backtesting exceptions stemmed from the Archegos blowout
Euro RFR group calls for statutory Eonia fix
Legal designation for €STR as replacement rate would avert “confusion” in €9trn of legacy contracts
Confusion reigns as US prepares for Libor’s end
Mixed messages from US regulators make it more difficult to plan for life after Libor
Aegon turns its back on pension deals in its home market
The Netherlands is Europe’s second-biggest pension market, but Aegon made little money from deals
Time to end debate on SOFR alternatives, participants warn
Doubt over future of five credit-sensitive Libor replacements may be hindering late-stage Libor transition
The race to offload the world’s biggest pool of assets
Specialist insurers on both sides of the Atlantic expect a bumper post-Covid second half of 2021
Zurich’s Scott: don’t levy climate risk capital charges
Imposing set-asides based on stress tests “does not make any sense”, sustainability chief warns watchdogs
Banks fear Fed crackdown on AI models
Dealers say agencies’ request for info could prompt new rules that stifle model innovation
Banks urged to take action as FRTB implementation nears
While the Fundamental Review of the Trading Book (FRTB) has been a long time in the making, and implementation guidance remains sparse in some jurisdictions, banks cannot afford further delays in deciding their market risk model approach and putting the…
Pricing services play critical role in securities valuations under SEC rule
Pricing services face scrutiny from investment managers as the US Securities and Exchange Commission's (SEC's) new 2a-5 ‘fair value’ rule takes effect. Here, Refinitiv’s Joseph Hayek explains how pricing services should prepare for the surge in customer…
ARRC eyes July ‘SOFR first’ switch
Adoption of RFR for swaps quoting conventions should pave the way for term SOFR endorsement
BoE’s post-Libor clearing plan leaves yen swaps in limbo
Sonia and €STR will be mandated for clearing, while Tonar must wait until liquidity settles
Delays to IM model approvals causing ‘anxiety’ for MetLife
Isda AGM: US insurer says regulators unprepared to accept docs where model approval is obligatory
Uncertain risk parity
This paper treats covariance as uncertain in order to find a risk parity weighting that does not count on perfectly optimized hedges and is robust to changes in regime.
FCA unfazed by ‘inflated’ sterling Libor swaps trading
Regulator says high volume of new Libor swaps traded since April 1 is linked to risk reduction
The Fundamental Review of the Trading Book and fat tails
Conservative capital buffers may not be enough to protect against tail events
Archegos debacle prompts Credit Suisse to slash prime services
Executives pledged $35 billion of cuts to investment bank leverage exposure