Risk.net
Latest
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
Tradeweb reveals package trading for swaps and bonds
New tool offers pricing and trading of sterling swap-bond combo
Bank of China pioneers SOFR lending in Asia
In absence of term rate, lender uses daily compounded backward-looking rate
Latest
Risk Quantum
Data insights, delivered daily
Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
Editors' choice
A look under the hood of Span 2, CME’s new margin engine
VAR-based framework has new ways of netting contracts and setting volatility floors and more
Big Figure
Cash out
Deutsche Bank has steadily cut the share of its liquidity portfolio held in cash, as it seeks to deploy excess liquidity into higher-yielding investments. As of the second quarter of this year, Deutsche had 64% of its €246 billion ($270 billion) liquidity reserve as cash in central banks, down from 70.8% at end-2018 and 79.3% at end-2017. In its Q2 interim report, the bank said it was taking “active measure to reduce and redeploy excess liquidity”.
Read the full article
Comment
How collateral scarcity reshaped the US yield curve
Swaps data: analysing the US rates collapse
Op risk data: Sanctions-busting fines cost banks $20bn
Credit data: Italian banks find themselves at a crossroads
Our Take
When regulators become nationalists
Span 2: a fine balance
Time for a (proper) G-Sib speeding ticket
Backtesting expected shortfall: mission accomplished?