News
Basel sets out its stall on operational resilience
Body says banks expected to maintain critical services, but steers clear of setting compliance metrics
New Tradeweb/IBA benchmark tipped as ‘competitor’ to SOFR
Forward-looking risk-free rate aimed at US mortgage market could have broader applications
Indonesia eyes netting changes to enable derivatives CCP
Central bank says legal amendments will pave way for locally cleared NDFs and interest rate swaps
EBA’s software compromise draws fire on two fronts
UK regulator suggests it will neuter the proposed capital relief, which banks say doesn’t go far enough
Swaption compensation consensus proves elusive
ECB-sponsored recommendations fail to rally market behind compensation exchange solution
Non-cleared euro swaps market wrestles with discount rate switch
Buy-siders prepare for valuation change from move to €STR
Ion forced to ditch Broadway rates business
Remedy satisfies UK competition watchdog – but “a big defeat” for acquisitive tech giant
Covid forces banks to focus on vendor risk
Firms eyeing financial well-being of critical suppliers, and seeking alternatives
Podcast: Dario Villani on managing money with ML
Duality’s CEO discusses key to machine learning success, and the influence of Renaissance’s Jim Simons
Fed’s approach to stressing op risk frustrates banks
Regulator’s stress test results overshoot banks’ numbers, threatening capital plans
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
SocGen mulls sale of structured product books after big losses
Rival Natixis also plans to place parts of its equity derivatives business in run-off mode
Study suggests banks may be better off with simpler VAR models
Non-parametric VAR models perform well in calm markets, but miss the mark in volatile periods
Preparation paid off for funds during Covid liquidity crunch
Buy-side risk survey: how asset managers weathered the liquidity crisis in March
Buy side hopes for best execution reporting carve-out
After EC exempts venues from best execution reporting, Aima hopes RTS 28 reports will be next
Stanford’s Duffie shakes up SOFR credit race with AXI index
Academics propose new credit index that ditches Libor tenors for a single funding spread
Cross-currency confusion stalks FCA announcements
Possibility of RFR fallbacks setting on different dates creating valuation issues, say banks
Slump in €STR swap volumes at LCH leaves market guessing
Market participants are counting on July 27 discounting switch to revive key euro benchmark
Singapore to end Sibor by 2024
Multi-rate approach ditched after failed efforts to enhance Sibor
Term SOFR rate still possible this year, benchmark firms say
Administrators target year-end benchmark trials despite low swaps liquidity
Ethical funds balk at Europe’s new disclosure regime
Proposals for 32 reporting criteria are “unmanageable”, complain asset managers
Dealers eye model change to cure CVA capital headache
With hopes of EU regulatory carve-out fading, some banks are taking matters into their own hands
Good citizenship can signal better creditworthiness – study
Environmental and social behaviour predicts credit ratings in North America – less so in Europe
No Mifid equivalence for UK at end of Brexit transition
Footnote reveals assessment delay beyond January 2021, piling pressure on London-based firms