GARP
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Buy-side traders start to cool on ESG-deficient dealers
Managers adopting ESG metrics in counterparty evaluations may exclude dealers that aren’t up to scratch
Counterparties clash over ‘dirty’ CSAs
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion
Smaller US banks make case for credit-sensitive rates
BSBY and Ameribor emerge as preferred Libor successors for some regional lenders in multi-rate approach
Down but not out: US Libor trading continues amid ban
Outgoing rate hits market share lows in US swaps but little dent made in listed markets
Investment fund leverage: the known unknowns
More work needed on first-mover redemption incentives and margin calls, says Iosco chief
Quants turn to single stocks to revive intraday trend strategy
Retail trading boom has made intraday single-stock strategies more viable
Review of 2021: Default, revolt, reform
Archegos, GameStop, the last days of Libor – markets just about coped in a bleak and disorderly year
MSCI’s temperature scores stir angst among green investors
Ratings firm says world’s biggest wind power company will produce more global warming than Shell
Bank-run fund derivatives platforms hit records
JP Morgan’s Nexus has seen balances double, while AUM on UBS’s Neo have tripled
Does regulators’ favourite climate risk metric measure up?
FSB and Basel Committee back climate VAR, but practitioners will take some convincing
EBA warns banks over loan-loss model tinkering
Senior executive says methods of adjusting IFRS 9 models to “smooth” outputs should be investigated
BofA clearing vet leaves to launch start-up
Brooks Stevens plans new venture after 27 years with Bank of America and Merrill Lynch
Quants see promise in Bayesian machine learning
Risk USA: probability theory may hold key to creating ‘self-aware’ AI
Don’t follow the models: they’re lost, too – risk managers
Risk USA: managers cite Covid, repo crisis and geopolitical risks as examples of model failures
Neural networks show fewer false positives on bad loans – study
Machine learning method edges regression techniques in linking nonlinearities among delinquent borrowers
Show, don’t tell, on op resilience – Fed examiner
OpRisk North America: banks warned of “disconnect” between theory and practice
Citi reorg the final note in failed swaps clearing model
Strategic shift from OTC clearing powerhouse to client support function marks the end of an era
Cyber optics: are banks downplaying SolarWinds hack?
In wake of watershed breach, banks eye supply chain risk while talking down hack’s impact
EU banks aim to block new counterparty risk guidance
Requirement to include exposure spikes linked to swap payments within EEPE models prompts blowback
Dealers back CLS plans for EM settlement system
12 banks announce support for project to extend PvP protection to certain CLS-ineligible currencies
Wells touts new explainability technique for AI credit models
Novel interpretability method could spur greater use of ReLU neural networks for credit scoring
Citi clearing head departs for crypto firm
Senior departure is latest among swaps giant’s clearing ranks
Capitolis to acquire LMRKTS
Deal for multilateral compression provider latest in wave of post-trade tie-ups, as SA-CCR bites