News
Eurex’s new Swiss rate futures in naming pickle
German exchange used ‘wrong month’ to name Saron futures
LGIM’s head of LDI departs
Simon Wilkinson to spend time away from industry; Guy Whitby-Smith takes on duties
Brexit threatens to reopen Asian bail-in clauses for EU banks
EU27 dealers had used English law contracts for Asian counterparties to comply with BRRD
Podcast: Kenyon and Berrahoui on the pitfalls of PFE
Quants propose replacement to existing credit risk measure
EU parliament OKs no-action powers but leaked doc signals delay
Council note means regulators may not get no-action powers until at least November
Cross-currency swaps could hasten RFR shift in Australia
Adoption of new risk-free rate for both swap legs likely to turbo-charge wider benchmark change, say sources
Investors bemoan Mifid II best-ex failings
Lack of consistency in data provided by trading venues undermines transparency drive
Final FRTB internal model rules get mixed reviews
Bankers divided on whether changes to two key tests will ease ‘penal’ capital charges
Eurex Clearing names new CRO
CCP’s risk analytics head will replace Laux in July
Brexit clouds future for Euribor and Eonia in UK
Clashing deadlines threaten to scuttle rates, but ‘in-flight files’ bill might save them
Look closer at crypto, EBA and Esma warn Europe
Regulators raise concerns over limits of existing legislation
Princeton tops inaugural Risk.net quant master’s ranking
Course sees off competition from Berkeley’s Haas and three New York schools
FICC takes firm grip of US repo market
Central counterparty wrangled more money market repo cash than banks did by end-2018
Lobbyists seek eleventh-hour Brexit relief for UK futures
EC urged to extend CCP safe harbour so listed derivatives don’t switch to OTC
Non-netting status denies capital boost for Chinese banks
Reliable close-out netting could cut China’s SA-CCR capital requirements by around 20%
A tenth of users ‘don’t know’ if Libor death affects them, survey finds
Respondents blame low industry preparedness on lack of standardisation in treatment of fallbacks
Fed economists float new way to project op risk losses
Researchers suggest combining firm’s size with loss history to best predict losses under CCAR
China sees slowdown in structured deposit volumes
Easing of restrictions on wealth management products tips market away from structured deposits
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
Repo rate hits 7.25% on year-end volatility
US Treasury issuance on December 31 said to have fuelled last-minute dash for cash
Competing against Sifis ‘leads to higher risks’
But research finds weaker implied sovereign support reduces impact on non-Sifi competitors
Isda seeks consensus on CDS clean-up
Credit definitions amendments expected in Q1 to stamp out manipulated triggers