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Latest
Tighter RMB rates basis brings new hedging opportunities
Increasing alignment between CNH and CNY benchmarks opens door to more cross-currency hedging by foreign lenders
For EU banks, there can be no ‘back to normal’
The ECB’s recent review of risk models shows lenders got it all wrong pre-pandemic
An end to replication
Convexity adjustments can be valued with an analytical formula, avoiding replication arguments
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
Simm template to be expanded for SA-CCR and FRTB
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
Big Figure
Ex-cap
NatWest’s annual recalculation of its operational hazards led to a 4% drop in its regulatory capital charge for these risks over Q1, to £1.7 billion ($2.4 billion). It was the largest one-quarter drop since a similar recalculation in Q1 2018. Total operational risk-weighted assets, used to calculate capital charges, amounted to £21 billion in Q1, down from £21.9 billion the prior quarter and £22.6 billion in Q4 2019.
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Regulation
Swipe left: repo reporting no match for Brexit, or collateral
A happier start than Emir, but SFTR honeymoon is over now that trades report separately in UK and EU
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Comment
Net losers? Benefits of clearing US Treasuries are cloudy
Risk management is not a job for compliance
Government bond swaptions and how they might work
Op risk data: Sberbank suffers $108m supermarket clean-out
Our Take
For EU banks, there can be no ‘back to normal’
Games of hazard: NSCC’s margin waiver sets bad precedent
What good are risk disclosures anyway?
Rough volatility’s steampunk vision of future finance