Risk magazine/News
Fed’s CECL relief falls short – regional banks
Banks won’t need to factor loan-loss estimates into DFAST through 2021; no word yet on CCAR
No bank would benefit from planned eurozone G-Sib waiver
Neither Deutsche nor BNP Paribas would move to a lower capital buffer, based on end-2017 data
VAR restrictions ‘will hit returns’ for sophisticated traders
VAR cap can be even more constraining than a short-selling ban, researchers find
Competing against Sifis ‘leads to higher risks’
But research finds weaker implied sovereign support reduces impact on non-Sifi competitors
LCH launches CDS exercise platform
CCP touts method for speeding up manual settlement process as rival Ice gears up for options launch
FX swaps to avoid year-end basis blowout, banks say
Earlier rollovers likely to ensure no repeat of previous cross-currency volatility
EU lawmakers delay FRTB capital charges
Leaked paper potentially pushes market risk capital charges beyond Basel’s 2022 deadline
CECL fans and foes cross swords on Capitol Hill
Dispute over economic impact rages on despite agreement on capital relief
Leaked EU paper softens French blow to Mifir equivalence
Council draft ditches national licensing but introduces conditions on equivalence for some services
Clearing houses urge CFTC to act on non-default losses
US clearing members divided on whether NDLs are CCPs’ responsibility or a mutual risk
Basel turns its attention to operational resilience
New working group will focus on business continuity in the age of cyber threats
Banks warned on holes in EU’s proposed Brexit relief
Potential EC, French and German no-deal relief is expected to be short-lived and incomplete
Podcast: Dominique Bang on his stochastic local vol model
New approach delivers quick and accurate computation of prices
CME abandons buy-side direct clearing initiative
CCP shutters plan after feedback from regulators and market participants
BlueCrest seeks direct membership at LCH’s SwapClear
Investment firm to make leap away from clearing broker reliance
FDIC suspends resolution plans for deposit takers
Requirement for opcos of bank holding companies could be tailored or scrapped entirely
Risk Awards 2019: The winners
BNP Paribas wins derivatives house; lifetime award for Craig Broderick; CME takes clearing house award
Swaps users wary of hedge accounting hit from Brexit transfer
Uncertainty over exemption for novated trades may force hedgers to sacrifice netting benefits
Banks demand greater scrutiny of CCP margin add-ons
Nasdaq Clearing blow-up prompts questions over CCPs’ methods of applying top-ups to concentrated positions
Eurozone banks bet on 2024 MREL deadline to ease Brexit pain
SRB says legacy English law bonds ineligible, but BRRD grandfathering could solve problem
Fed could soften CECL impact on stress tests, banks say
Risk USA: Firms may be allowed to spread impact of projected losses across CCAR cycle
Esma’s Brexit novation relief falls short
Proposed clearing reprieve too narrow to alleviate burden of mass swaps migration
More carrot, less stick in US Libor transition
Risk USA: US regulators take softer approach than UK counterparts
Banks warned of capital add-ons for legacy Libor contracts
UK regulators’ letter to firms could be followed by Pillar 2 charge to speed transition to Sonia