News
LCH sets €STR swap clearing launch date
Clearing house to offer the swaps from October 21, discounted at Eonia
HKEX: Hong Kong should not fear China investment rule change
Confidence in city’s legal framework remains a key advantage as China loosens QFII rules, says risk chief
Eurex to launch cross-currency swap clearing ‘within weeks’
Clearing service will target dealer-to-dealer trades before later rolling out to clients
Quants miss the ‘obvious’: a safe-haven factor in bonds
After carry, the flight-to-quality factor – the ‘elephant in the room’ – is a key driver, a study says
SOFR discounting switch splits Goldman and JP Morgan
CFTC committee calls on clearing houses to align timing and compensation mechanisms
Patchy grasp of Libor reform worries Asia lenders
Widespread lack of understanding could hinder renegotiation of loan terms
Aussie regulator signals tougher misconduct stance
Asic warns it will use new powers to punish misconduct in wake of excoriating Royal Commission review
Singapore looks to establish term RFR by 2020
Swaps linked to overnight rate will help create term structure, says industry committee member
Algo fears spark hunt for neutral checks on forex code compliance
Banks seek third-party quantitative methods for confirming activities done in their names are aligned with the principles
Brexit flips LCH-Eurex basis
LCH-Eurex basis has inverted on buy-side flows, hitting –1.3bp at July low
Natixis hires Boleslawski to head equities
Long-standing SG trading head arrives at French rival
Margin Xchange iced after regulators lift IM burden
A&O-backed platform quits two-horse race, leaving Linklaters-backed service with a clear run
Enria: no reason for EU to deviate from Basel output floor
ECB supervision chief urges lawmakers to implement contentious Basel III model constraints
Libor switch spells trouble for loan systems
Lenders face costly updates to ageing legacy platforms to cope with new risk-free rates
Korean regulator likely to probe issuers of rate-linked products
Mis-selling enquiry may extend to structuring banks as global rates plunge threatens retail notes
Revealed: FRTB impact three times higher than expected
Undisclosed Isda study finds capital hike outweighs previous Basel Committee estimate
Complex op risk models open to high error, study finds
Measuring 1-in-1,000 year loss events ‘unrealistic’, researchers say
Virtue bonds, Hong Kong FRTB and letting go of Lehman
The week on Risk.net, August 24–30, 2019
Podcast: Acerbi on backtesting ES and FRTB’s patchwork rules
Banque Pictet quant explains a new backtesting method for expected shortfall
Dealers rush to redeem high-yielding structured notes
An estimated $60 billion of structured notes are at risk of being called before year-end
Global banks fear Hong Kong frontrunning FRTB
Local subsidiaries of EU and US banks may be forced to adopt models before their parents
CME no longer looking back to Lehman
Changes to rates margin model move CCP into line with rivals
ING issues ESG-linked interest rate swap
Dutch bank takes carrot-and-stick approach on interest rate swap for oil and gas equipment firm
Op risk taxonomy, a Euribor futures spike and Sonia swaptions
The week on Risk.net, August 17–23, 2019