Risk magazine/News
CME targets year-end rollout of new margin model
Clearing house testing new Span 2 framework with members, more work needed with vendors
LCH, JP Morgan question BoE’s CCP resolution powers
Isda AGM: UK proposals give central bank broad powers to intervene in winding up stricken clearers
Prudential, Goldman cast doubt on Libor-like replacement rates
Isda AGM: Participants split on case for credit-sensitive rates in post-Libor world
ARRC’s Wipf ‘puzzled’ by appeal of Libor-like benchmarks
Credit-sensitive benchmarks face questions over inputs and compliance
US federal legislation ‘eliminates’ need for synthetic Libor
‘Tough legacy’ proposal will be discussed at a House Financial Services subcommittee meeting on April 15
US markets fret over ‘unrepresentative’ fallbacks
Two-year gap between spread fixing and cessation leaves fallback signatories tied to outdated basis
Calls grow for more oversight of ESG ratings
Current metrics are too fragmented and should have regulatory oversight, panel argues
NatWest to quit US dollar Libor panel at year-end
Fifteen banks will continue submitting US dollar Libor quotes until mid-2023
SOFR adoption stalls after US Libor delay
Stay of execution, RFR illiquidity and fallback reliance slow SOFR adoption
Nasdaq held Aas portfolio for nine months after blow-up
Swedish regulator reveals CCP’s decision to keep defaulted power portfolio – and claims it was not fully hedged
Brexit drives swaps trading to US platforms
Lack of equivalence forces dealers to shift euro and sterling swaps out of European and UK venues
EU benchmark drama set for cliffhanger end
Access to key FX rates due to be decided six months before potential cut-off
US regulator casts doubt on key SA-CCR netting benefit
OCC rejects suggestion banks can net certain cleared client exposures; Fed stays silent
US banks cede to SOFR lending as credit hopes fade
Critics of risk-free rate say dynamic spread will be too late for transition
Quarles’ legacy Libor contracts plan stirs confusion
Cryptic comment feeds speculation about synthetic US dollar Libor – prompting pushback from ARRC
After FinCEN leak, banks want more help from regulators
OpRisk Europe: Suspicious activity reports are going into a “black hole”, banks complain
Prime fund exodus threatens SOFR credit add-on
Falling commercial paper and certificate of deposit issuance could leave new benchmarks with data gaps
Protocol delay casts doubt on Libor death knell timing
Two-month delay to Isda fallback protocol leaves FCA’s planned end-2020 statement in the balance
Accounting rules snare insurers in SOFR discounting switch
Re-couponing swaps to reduce discount risk could have adverse accounting consequences for insurers
US regulator may bend on margin rule for segregated accounts
CFTC open to extending September 15 deadline
BofA becomes first US bank to adopt SA-CCR
Move cut leverage exposure by $66bn, but other banks wary of trade-offs
After Covid, CCPs face calls for revamped disclosures
Banks and buy-side firms working with clearers to provide more granular info on margin shortfalls
New Tradeweb/IBA benchmark tipped as ‘competitor’ to SOFR
Forward-looking risk-free rate aimed at US mortgage market could have broader applications
SOFR basis blows out amid CCP discounting changes
Rate cuts may have exacerbated discount risk as basis swap opt-outs move deeply in-the-money