News
Covid scenarios, pt II: apocalypse how?
Second crowdsourced scenario exercise reveals polarised views in equities and FX
Ratings can still sharpen credit risk picture
Study shows even the most modern default models benefit from adding credit rating information
Reg AT withdrawal could delay a Biden agenda for the CFTC
Democrats and some lawyers say Tarbert’s new principles don’t achieve same goals as Reg AT
US regulator may bend on margin rule for segregated accounts
CFTC open to extending September 15 deadline
AFM seeks to ‘level playing field’ for venues and vendors
Dutch regulator suggests some liquidity aggregators should be classified as OTFs
BofA becomes first US bank to adopt SA-CCR
Move cut leverage exposure by $66bn, but other banks wary of trade-offs
LCH to accept Sing dollar bonds as collateral
Singapore’s banks hope move will ease margin funding burdens, and speed direct membership
Bank investors still don’t think bail-in will happen, FSB told
Questions over bailing in bank bondholders mean problem of too big to fail persists, experts warn
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
Podcast: CFM’s Bouchaud on agent-based models and ESG investing
Hedge fund quant, and Risk.net’s new columnist, shares his unique take on markets
CVA problems, CCP resolution and digital tokens
The week on Risk.net, August 22-28, 2020
Ronin, felled prop giant, shuts up shop
Firm cancels regulatory licences; traders receiving payouts on equity stakes
Barclays proposes new taxonomy for digital tokens
A common approach to classifying tokens is needed to prevent regulatory arbitrage, UK bank argues
Big buy-side firms seek better model risk disclosures
Working group building standardised disclosure doc for managers and vendors
Asia risks falling behind on Libor transition, sources say
Regulators urged to take a more active role in steering buy-side firms to new benchmarks
Target2 ‘fingerprint’ could flag liquidity problems – research
Deviations from regular payment patterns are a sign something might be wrong
After Covid, CCPs face calls for revamped disclosures
Banks and buy-side firms working with clearers to provide more granular info on margin shortfalls
Goldman signs up as NDF client clearer at LCH
US bank expecting jump in cleared trades when initial margin rules hit buy side
Negative Euribor-Eonia spread tipped to persist
Supply and demand dynamics in unsecured market set to continue, pushing Euribor lower
For a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
Facebook’s libra could disrupt collateral markets – IMF paper
Collateral used to back ‘stablecoins’ such as libra will be unavailable for reuse
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