Europe
Fed Funds Futures in a Post-ZIRP World
As the FOMC returns to more active management of its key target rate, Federal Funds futures have experienced dramatic growth.
European FRTB proposals spark XVA overload fears
Banks warn of overly complex revaluation process and heightened risk of backtest fails
We’ve been here before: LEIs take two
LEIs are catching on in Asia
LCH sets date for euro swap discounting change
Clearer will make switch for €91 trillion in swaps next June
Ice swap rate failure disrupts exotics desks
Dollar version of rate wasn’t published on nine out of 22 working days in August
Eurex to adopt €STR flat discounting for Euribor swaps
Switch planned for Q2 of 2020, with a single cash payment to correct value transfers
Among G-Sibs, Japanese and US banks see LCRs improve most
US systemic banks’ liquidity coverage still lags behind other G-Sibs
How banks rode out the EU stress tests’ market shock in 2018
During the last round of tests, projected trading portfolio losses sapped 89 basis points off EU banks’ aggregate CET1 ratio
Floating start date for 2020 stress test alarms EU banks
Regulator proposal could lead to less reliable market risk data, critics warn
Liquidity coverage of eurozone G-Sibs diverge in first half of 2019
BNP Paribas sees LCR drop 11.6 percentage points in H1 while Deutsche Bank’s climbs 7.3 percentage points
Libor transition and implementation – Covering all bases
Sponsored Q&A
Ice, CME shore up clearing house recovery planning
Introduction of VMGH and tear-ups comes amid impasse over CCP recovery and resolution rules
EU seeks to offer reassurance on Brexit clearing exemption
Commission can act quickly to stave off no-deal market disruption, insists official
Deutsche opens bidding for interest rate derivatives
Fixed income assets on the block after equity derivatives sale closes
Watchdogs ask EC to delay repo haircut floors. Will it?
EBA says hedge funds will skirt the rules, but Basel and FSB want haircut minimums in place
EU alternative funds hold €17bn of CLOs
Over 50% of AIF exposures concentrated in top 20 funds
FCA chief calls for EU to extend Brexit clearing exemption
Bailey also urges EU to grant equivalence determinations for UK trading venues
Industry expects US FRTB proposals by year-end
Fed likely to co-ordinate progress with EU, which may also accelerate its timetable
Retained earnings power capital growth at top eurozone banks
Retained earnings increased €29.7 billion as part of CET1 at 16 large eurozone banks in two years to end-2018
Post-Woodford, State Street has an idea on liquidity risk
You’ve heard of the liquidity coverage ratio. Try the ‘redemption coverage ratio’ for funds
Over €1trn of EU insurer assets subject to climate risks
Housing exposures make up bulk of those vulnerable to climate change
LCH sets €STR swap clearing launch date
Clearing house to offer the swaps from October 21, discounted at Eonia