The CECL implementation deadline is approaching. Banks and other financial institutions should be evaluating the likely effects of the standard on them and deciding what their next steps are.

This course will consider a range of key areas, including: challenges & opportunities; CECL quantification; model risk management for CECL; and internal controls framework. 

This course is CPE accredited and delegates will earn 12 points if in attendance for both days of the course. The course will be held under Chatham House Rule with the opportunity for discussion within a practical learning environment. 

Cost pressures, a multiplicity of models and heightened regulatory requirements are leading some banks to consider outsourcing the more mundane and repetitive aspects of model validation to third parties. A group of European banks is working with Standard & Poor’s to create a risk model utility.

But there are real questions around whether such a thing can work in practice – especially for US banks.

Crisil, a unit of S&P, is working with HSBC and three other large European banks on a risk model

Ructions in the repo market. An inverted yield curve. Banks hiding risky exposures. Investment funds halting redemptions. The warning signs of a crisis were everywhere in 2019. And yet the financial system emerged largely unscathed. Global stocks surged, bond yields tightened. Bank earnings beat expectations. 

That is not to say everything is rose-tinted. The convulsions in the repo market are troubling. Some blame post-crisis regulations, which force banks to hold more cash and make it harder

This course will bring together operational risk professionals from across the region and provide an unmatched opportunity to learn about and discuss a wide diversity of operational hazards and the evolving thinking on how to handle them.

Global capital is crucial to leading toward a greener planet, but it’s not enough on its own – governments have to be involved. And if they don’t act, consequences for workers could be dire.

So says Maryam Golnaraghi, a climate scientist and director of extreme events and climate risk at the Geneva Association think-tank for insurance, the industry on the hook when monster weather strikes. She is concerned that all the officious buzzing around the financial risk part of climate change is

The shift to expected credit loss accounting has caused banks to complain they must set aside too much capital for credit losses owing to a discrepancy between the new rules and the Basel capital regime – but new research suggests a way of adjusting risk weights in advanced models to help resolve the clash.

The IFRS 9 accounting standards force lenders to hold provisions for expected credit losses across the lifetime of some assets, whereas firms using the advanced modelling approach use a more

This course will bring together operational risk professionals from across the region and provide an unmatched opportunity to learn about and discuss a wide diversity of operational hazards and the evolving thinking on how to handle them.

This course will bring together operational risk professionals from across the region and provide an unmatched opportunity to learn about and discuss a wide diversity of operational hazards and the evolving thinking on how to handle them.

Singapore’s largest banks are weighing direct clearing membership at LCH’s SwapClear, with the London-based central counterparty’s (CCP) move to scoop up their local currency interest rate swaps earlier this year after rival Singapore Exchange (SGX) pulled out of rates clearing helping to fuel a rise in volumes at the CCP.

At the moment, Singapore’s three biggest lenders – DBS, OCBC and UOB – clear trades indirectly with LCH as clients of larger clearing banks – saving the banks the cost and

COMMENTARY: Margin tonic

It is not often that financial regulators can bask in a warm glow of goodwill and popularity in the industry they serve, but the Commodity Futures Trading Commission and a group of prudential regulators may just have added their names to the Christmas card lists of hundreds of US buy-side firms.

The regulators have announced plans to shift the three-month window for derivatives users to calculate their average aggregate notional amounts (AANA) of outstanding non-cleared derivatives from a period running June-to-August, to one from March-to-May.

The AANA figure determines whether firms are caught in forthcoming waves of non-cleared margin rules. The fifth and penultimate phase of compliance, starting in September 2020, requires any entity with more than $50 billion AANA to post margin on non-cleared derivatives for the first time. Industry body Isda estimates the phase will apply to around 300 firms globally.

The US...

Through a combination of presentations and practical exercises, this seminar offers a full review of the role and attributes of KRIs in financial services. It clarifies some confusing ideas about KRIs and offers insight on their role in a risk management framework. The seminar also reviews many examples of the best performing KRIs in banking and financial markets activities and proposes a step by step methodology to select and design preventive KRIs.

Rules granting relief from the capital-sapping effects of accounting standard IFRS 9 saved European Union banks €22 billion ($24 billion) of Common Equity Tier 1 capital (CET1) as of end-June, with Greek banks reaping the most benefits on average. Alpha Bank, Eurobank, National Bank of Greece and Piraeus Bank – the four Greek banks included in the EU-wide transparency exercise – claimed a combined €4.9 billion of IFRS 9 transitional relief, about €1.2 billion each on average. Their combined CET1 capital would have...

This course will bring together operational risk professionals from across the region and provide an unmatched opportunity to learn about and discuss a wide diversity of operational hazards and the evolving thinking on how to handle them.

Countervailing forces are at work in the US repo market, leaving traders wondering just how bad things could get at year-end.

On the one hand, scarce reserves and elevated systemic risk scores at the largest US repo dealers suggest a major funding squeeze is in the offing. But some say the Federal Reserve’s repo operations, coupled with a marked shift to term funding and central clearing, could be enough to keep a lid on rates.

Much will depend on how the four largest US repo dealers manage

This course will bring together operational risk professionals from across the region and provide an unmatched opportunity to learn about and discuss a wide diversity of operational hazards and the evolving thinking on how to handle them.

Revisions to the Basel Committee’s market risk framework will increase European banks’ market risk-weighted assets (RWAs) by 105% on average, a study by the European Banking Authority shows. The 2019 iteration of the Fundamental Review of the Trading Book standard, due to come into force in 2022, will hit those banks using the internal models approach hardest, pushing their market RWAs up 108% on average relative to current levels. Those planning to exclusively use the updated regulator-set standardised approach will see a smaller 76% increase on average.

COMMENTARY: Last Libor bank standing

Imagine you’re an executive at one of the banks on the panel that sets Libor rates. Perhaps even the executive responsible for your bank’s Libor submissions.

You and your colleagues may be feeling a little uncomfortable. After all, Libor is a word synonymous with unsavoury concepts such as manipulation, fraud even. It carries with it a degree of reputational risk.

But stop: your bank already struck a deal with the Financial Conduct Authority, Libor’s regulator, to continue submitting quotes to the panel to ensure the benchmark survives until the end of 2021, giving the markets some breathing space to be able to engineer a suitable replacement.

In that respect, your employer is doing the financial markets a great service in maintaining crucial stability at a delicate juncture.

Now, however, the time has come for the benchmark that underpins trillions of dollars of financial products to fade gently into...

With its sleek aesthetics, fruit-water dispensers and free beer gimmick, WeWork seemed to perfectly capture the millennial zeitgeist. The co-working company catered to the army of entrepreneurs, start-ups and freelancers that define the gig economy. As millennials became the largest demographic in the workforce, WeWork expanded rapidly. In January 2019, an investment from Japan’s Softbank valued the company at $47 billion.  

Then, everything came crashing down. WeWork pulled its planned initial public offering in September after investors questioned its business model and profitability. Almost overnight, its valuation dropped to under $8 billion. In October, Fitch downgraded WeWork’s credit rating to CCC+, deep in junk territory, with a negative outlook.

WeWork is an extreme example, but its problems could be a harbinger for other companies reliant on millennial customers. Comparing the credit performance of 57 such businesses to more traditional...

Banks are stress testing the possibility that Hong Kong’s currency could decouple from the US dollar following a surge in options bets against the peg.

“We have added new de-pegging scenarios so that we have a better idea of what would happen during a de-pegging event and what losses we might be looking at,” says a senior quant within a large European bank. “These are new scenarios because, apart from a few hedge funds, people weren’t really talking about the peg breaking before.”

The Hong

Jump to Spotlight: JP overtime | In Focus: PPI

The largest operational risk loss in November is at Brazil’s Banco Itaú, which faces a $3.8 billion reais ($903 million) fine for creating shadow corporate addresses to evade state taxes between 2014 and 2018.

Banco Itaú registered around 50 corporate identities at addresses in the municipalities of Poá and Barueri rather than in state capital São Paulo, where much of its business takes place. This meant the bank paid lower taxes than would

Almost everyone agrees that tougher capital requirements imposed after the financial crisis have made the system safer, essentially saving banks from themselves. Could they be used to save the planet, too?

One bank seems to think so.

In September, Natixis unveiled its green weighting factor (GWF) for allocating capital to loans based on their climate impact. Loans to heavily polluting borrowers will have their risk-weighted assets (RWAs) hiked by as much as 24%; the greenest loans see theirs cut in half.

While some support the idea, it has generated a fierce backlash from some banks and regulators. Critics say adjusting risk-weightings in this way defeats their very purpose, which is to ensure banks set aside sufficient capital to absorb losses. It could even be counter-productive – loading-up green companies with cheap debt only makes them riskier.

Others say Natixis has put the cart before the horse. While there is a growing consensus that the...

Climate change is real. So is climate-related financial risk. Yet prevailing prudential standards fail to capture this, meaning lenders needn’t capitalise against potential losses either from physical risks – such as extreme weather events – or transition risks, which erode the value of carbon-hungry assets as green technologies supplant them.

“We know there are risks linked to climate change. We know those risks haven’t been properly assessed in the past. We know they’re still not properly

Final Volcker rule fires up rethink on FRTB trading desks

Regulators encourage structural alignment between the two rules, but hurdles remain

Tradeweb’s IPO shows how OTC markets are changing

RFQ pioneer is embracing new protocols and liquidity providers in a bid to connect the OTC markets

COMMENTARY: Cracking the code

Many in the foreign exchange industry have been saying for some time that more buy-side firms should sign up to the 2017 Global Code of Conduct, formulated in the wake of fixing scandals that fostered mistrust between clients and liquidity providers.

A few on the sell side are already going the extra mile, using quantitative methods to confirm that activities done in their names align with the standards-based document.

But the buy side is lagging in the race to adopt the 55 principles. As it stands, just 80 buy-siders have added their names – among more than 900 sell-side signatories....

The Bank of England (BoE) has released new proposals requiring financial firms to measure the impact of cyber attacks and other disruptions, and to devise plans for maintaining crucial business services for customers.

The draft rules lay down standards for operational resilience, including a requirement to set time limits on a return to operations following an outage or failure.

Operational resilience reflects a shift in emphasis towards maintaining key services for customers once disaster

Responsibility for financial wrongdoing has been hotly disputed ever since the largely unpunished financial crisis a decade ago. On Monday, December 9, regulation to identify who precisely can be held responsible for future missteps of any kind will be extended to almost 50,000 more companies in the UK.

The Senior Managers and Certification Regime (SMCR), the Financial Conduct Authority’s (FCA) flagship regulation, will be broadened beyond the very large banks it now governs to 48,118 more

In 2014, the Federal Reserve Bank of New York launched its first conference on reforming culture in the finance industry. The event, which later evolved into a series of conferences, workshops and training programmes, sought to tackle shortcomings in bankers’ behaviour, which had been dramatically exposed during the 2008 financial crisis and subsequent Libor scandals.

“The consequences of inaction seem obvious,” then-New York Fed president William Dudley said in a 2014 speech.

These