Risk magazine/News
Buy-side firms doubt SEC initiative will fix bond markets
Despite increased electronic trading, liquidity worsening in some corporate bonds
Basel III changes set to create big winners and losers
Capital hit for G-Sibs ranges from 28% drop to 43% jump, QIS reveals
FASB to vote on hedge accounting for US Libor successor
Standards body likely to approve SOFR as eligible
Icap European Sef faces axe as US, EU reach equivalence deal
Dual-registered venue no longer necessary under US-EU substituted compliance regime, say lawyers
European split on NSFR worries dealers
Squabble over derivatives liabilities factor sparks fears of unlevel playing field
Quintenz: futures will allow regulated bitcoin exposure
New products allow investors to access digital currency in a monitored marketplace, says CFTC commissioner
Doubts cast on Europe’s IFRS 9 transition period
Dynamic transition viewed as too complicated for banks to use or investors to understand
SEC eyes new rules on algo trading in bond markets
Electronification of bond markets may require a regulatory response, Jay Clayton says
DTCC set to cut US Treasury clearing fees
Revised fee structure could prompt more firms to participate in clearing
EU sparks hopes of securitisation margin reprieve
Optimism over EU Council amendment, but Parliament will still have to approve
EBA highlights ‘cliff-edge Brexit’, cyber and NPL challenges
High NPL levels and low profits also challenge European banking sector, EBA report says
Basel concession strengthens US opposition to NSFR
Lobbyists say change to gross derivatives liabilities measure shows the whole ratio is flawed
Basel heading for ‘rotten’ compromise, warns EU lawmaker
US commitment to FRTB is essential to persuade Europe to adopt a 72.5% output floor
EU proposals feed hopes of forex forward VM relief
Expectations rise of forbearance after Council of the EU proposes buy side VM exemption
Esma guidance on swaps transparency still leaves questions
Volatile instrument attributes removed from transparency determination, but further issues remain
SEC approves DTCC’s $74bn liquidity facility
Proposal faced opposition from smaller broker-dealer members of US Treasuries CCP
CFTC flags global progress on swaps reporting standards
Common transaction identifiers close to completion, with product identifiers not far behind
No plans to scrap systemic insurer rules, says IAIS chair
A US regulator claims Europeans asked IAIS to chart own course after FSB moved to ditch G-Sii list
Banks apply machine learning to CCAR models
ML models benchmarked against traditional iterations to avoid ‘black box’ perception
New Brexit carve-out urged for legacy EU cleared swaps
Risk and default management of grandfathered portfolios required in any clearing relocation plan
Pimco calls for urgency on Libor transition
Bond giant wants SOFR rate published “sooner rather than later”; BlackRock raises questions over liquidity
IMF ‘wrong’ to label Deutsche world’s riskiest bank
Co-developer of risk methodology used by IMF says it was misapplied when labelling bank riskiest G-Sib
Cecl pitting risk managers against accountants, says quant boss
Banks are ‘all over the place’ on modelling expected credit losses, says Regions’ Maglic
Model validators squeezed by stress test deadlines
CCAR cycle frustrates compliance with Fed model risk guidance