News
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
Altman: mega-bankruptcy wave coming
Credit conditions were worsening before Covid, research finds
Podcast: mental health and the role of the CRO
Energy company CRO discusses how her firm is dealing with workplace stress as lockdowns ease
Leaked doc: EU bans initial margin haircuts to resolve CCPs
Council will ban resolution authorities from dipping into clearing members’ initial margin
LME distressed at severity of Esma stress tests
Watchdog’s simulated price shocks said to be unprecedented in metals markets
Quant investors turn to raw data over ratings in ESG alpha hunt
Firms are using data on product returns and employee welfare to pick winners
Consultation on Libor cessation expected in September
IBA must consult market before formal announcement can be made at year-end
Common domain model needs infrastructure push, says Barclays
Bank wants market infrastructures to drive adoption of Isda CDM
Mifid’s pre-trade transparency is ‘a failed experiment’
Market participants say benefits of altering pre-trade transparency rules are small
Asia collar financing surges on back of Covid-19 volatility
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift
EU’s Brexit clearing grab slow to lift off
Clearing members say clients aren’t transferring material volumes from LCH to Eurex rapidly
SA-CCR adoption may spur wider FX swaps clearing
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
US banks want urgent guidance on capital plan updates
Call for Fed to provide Covid scenarios by start of September, not in fourth quarter