Regulation
Banks urged to take action as FRTB implementation nears
While the Fundamental Review of the Trading Book (FRTB) has been a long time in the making, and implementation guidance remains sparse in some jurisdictions, banks cannot afford further delays in deciding their market risk model approach and putting the…
Pricing services play critical role in securities valuations under SEC rule
Pricing services face scrutiny from investment managers as the US Securities and Exchange Commission's (SEC's) new 2a-5 ‘fair value’ rule takes effect. Here, Refinitiv’s Joseph Hayek explains how pricing services should prepare for the surge in customer…
ARRC eyes July ‘SOFR first’ switch
Adoption of RFR for swaps quoting conventions should pave the way for term SOFR endorsement
BoE’s post-Libor clearing plan leaves yen swaps in limbo
Sonia and €STR will be mandated for clearing, while Tonar must wait until liquidity settles
Delays to IM model approvals causing ‘anxiety’ for MetLife
Isda AGM: US insurer says regulators unprepared to accept docs where model approval is obligatory
Uncertain risk parity
This paper treats covariance as uncertain in order to find a risk parity weighting that does not count on perfectly optimized hedges and is robust to changes in regime.
FCA unfazed by ‘inflated’ sterling Libor swaps trading
Regulator says high volume of new Libor swaps traded since April 1 is linked to risk reduction
The Fundamental Review of the Trading Book and fat tails
Conservative capital buffers may not be enough to protect against tail events
Archegos debacle prompts Credit Suisse to slash prime services
Executives pledged $35 billion of cuts to investment bank leverage exposure
FCA could get legal with USD Libor laggards
Incoming powers permit regulator to ban use of benchmarks with known cessation dates – but only for UK-supervised firms
EU’s initial margin relief may come too late for phase five
Long-awaited easing of model governance requirements unlikely to take effect by September
GFXC sees no changes to code on pre-hedging
Committee rejects calls to set more strict boundaries to controversial practice
Non-cleared margin logjam looms after squandered delay
Fewer than half of phase five firms have submitted documentation necessary to open custody accounts
Op risk data: Chronic corruption charges cost Deutsche dear
Also: Wells Fargo fee fight; Nasdaq queers Emir reg; Covid keeps AML fines in line. Data by ORX News
FCA sees ‘no case for delay’ on Libor cessation ruling
Synthetic Libor powers set for spring consultation as fallbacks become effective and IBA analyses cessation feedback
An empirical analysis of the Brazilian Transmission Service Operators incentive regulation
In this paper, we analyze the results of incentive regulation for Brazilian transmission companies regarding operational costs.
Diginex chief on taming the Wild East of cryptocurrencies
Asia Risk 25: Singapore-based digital exchange wants to bring respectability – and regulation – to the sector
Time for the next-generation investment book of record – Eidos
Calypso Technologies’ end-to-end Ibor, decision and order support (Eidos) is the only effective and efficient way to bring together suppliers and consumers of enterprise investment data
Synthetic Libor powers give FCA ‘massive discretion’
Consultation on use of new benchmark clout may not limit safety-net rates to economic realities
Asia edging towards integrated capital markets – SGX’s Loh
Asia Risk 25: full regional co-operation could still be 10 to 15 years away, says Singapore exchange head
Mixed response to Esma’s clearing carve-out for optimisation
Long-awaited proposal must be replicated by US and UK to be effective, participants say
IFRS 9 product of the year: AxiomSL
Asia Risk Technology Awards 2020
Bailed-out basis traders face regulatory backlash
The cash/futures basis trade could be a test case for regulating systemically risky activities