Risk magazine/News
BoE creates volatility adjustment ‘stepping stone’ for insurers
Dynamic VA may be used for assets that fail to qualify for matching adjustment, say experts
EU shelves limits on structural FX hedge exemptions
Basel rethink on FRTB capital ratio hedging prompts fresh questions over EU implementation
Quarles: Fed would recalibrate eSLR if Crapo bill passes
Senate or House changes to CCAR could also affect Fed’s new stress capital buffer
Fed’s new capital buffer refocuses on risk
Low-risk activities and larger management buffers likely to become more attractive
LCH-JSCC basis drops as hedge funds arrive
Capula and Rokos Capital among funds to have gained access to JSCC in recent months
Industry mulls challenging Isins through global identifier
Success of UPIs could be catalyst for European rethink on unpopular derivatives identifier
LCH and CME to start clearing SOFR swaps in third quarter
Scramble to offer clearing aimed at cutting clients’ margin and capital costs
KYC concern slows asset managers’ move into China
Rush into $2.2 trillion China funds market tempered by problems obtaining client data
Isins for swaps need ‘complete rethink’, say platforms
Three trading venues say Mifid II transparency objectives diminished by identifier choice
US swap rate failed during volatility rout
The Ice swap rate was not published on February 6 due to a lack of electronic prices during equity turmoil
Regulator prepares crackdown on inaccessible Mifid data
UK regulator says approved publication arrangements not observing spirit of the rules
Europe’s co-op banks face capital hit from new Basel rules
Sharp increase in risk weight for strategic equity stakes will capture ownership of apex banks
Banco Popular bondholders turn US spotlight on Santander
Discovery application could shift compensation focus to the buyer instead of the SRB
Funding changes break cross-currency, Libor/OIS link
Tax reform and Treasury issuance focuses bank US dollar funding pressures onshore
Fed’s risk proposal puts banks on the defensive
New supervisory guidance will make business heads responsible for risk management
Libor administrator prepares to cut number of rates
Action aimed at keeping Libor going after 2021, says head of Ice Benchmark Administration
Study warns against ignoring factors’ procyclicality
Common multi-factor strategies have hidden macroeconomic exposures, research shows
Crédit Agricole hires Varloot from Natixis for risk role
Varloot joins as CIB head of market and counterparty risk
Mifid transparency has failed so far, say traders
Poor quality, inaccessible data and a lack of instruments covered undermine use case
Web-enabled devices raise cyber risk fears
OpRisk North America: banks wary of growth in ‘internet of things’
Basel to scrap automatic fails for P&L test
“Amber zone” will protect near-miss desks, but regulators not convinced by NMRF complaints
EU risks backlash on CCP supervision – UK MEP
Swinburne says US could retaliate over fears of “damaging blanket Brexit policy”
Cyber security expert issues call to modernise Patriot Act
OpRisk North America: current policies make it difficult to share information on cyber attacks
Cyber regulations prompt banks to elevate Ciso role
OpRisk North America: Information security increasingly seen as risk management function