Market risk

EBA consults on the list of advanced economies to determine equity risk under the new market risk regime

Retrieved on: 
Wednesday, April 7, 2021
Financial law, Finance, Money, Economy, Actuarial science, Credit risk, Financial risk, Risk factor, Market risk, Operational risk

These RTS are part of the phase 3 deliverables of theEBA roadmap for the new market and counterparty credit risk approaches.

Key Points: 
  • These RTS are part of the phase 3 deliverables of theEBA roadmap for the new market and counterparty credit risk approaches.
  • Institutions using the alternative standardised approach to determine own funds requirements for market risk are required to compute the equity risk stemming from their trading book positions in accordance with a prescribed set of risk factors and corresponding risk weights.
  • To determine the appropriate risk-weight, institutions are to identify whether a risk factor refers to an advanced economy or an emerging market.
  • Risk factors mapped to the advanced economy bucket benefit from a lower risk weight compared to those mapped to the emerging market bucket.

Innovator ETFs Lists April Series of MSCI EAFE and Emerging Markets Power Buffer ETFs, Helping Advisors Manage Risk in International Equities

Retrieved on: 
Thursday, April 1, 2021
Economy, Finance, Articles, Exchange-traded funds, MSCI, Morgan Stanley, Financial risk, Index, Risk, Market risk, Liquidity risk

The Funds face numerous market trading risks, including active markets risk, authorized participation concentration risk, buffered loss risk, cap change risk, capped upside return risk, correlation risk, liquidity risk, management risk, market maker risk, market risk, non-diversification risk, operation risk, options risk, trading issues risk, upside participation risk and valuation risk.

Key Points: 
  • The Funds face numerous market trading risks, including active markets risk, authorized participation concentration risk, buffered loss risk, cap change risk, capped upside return risk, correlation risk, liquidity risk, management risk, market maker risk, market risk, non-diversification risk, operation risk, options risk, trading issues risk, upside participation risk and valuation risk.
  • The Innovator Russell 2000 Power Buffer ETF (the Fund) has been developed solely by Innovator Capital Management, LLC.
  • The ETFs referred to herein is not sponsored, endorsed, or promoted by MSCI Inc. or based upon the MSCI EAFE and MSCI Emerging Markets Indexes.
  • MSCI, MSCI EAFE, and MSCI Emerging Markets are trademarks or service marks of MSCI Inc. or its affiliates (Marks) and are used hereto subject to license from MSCI.

TCX Launches Frontier Currency Bond Index

Retrieved on: 
Wednesday, March 31, 2021
Banking, Professional services, Finance, Financial law, Finance, Money, Financial markets, Market risk, Bond, Credit risk, Foreign exchange risk, Futures contract, Financial risk

The Currency Exchange Fund ( TCX ) launches the first-ever frontier bond currency index ( TCX FI ).

Key Points: 
  • The Currency Exchange Fund ( TCX ) launches the first-ever frontier bond currency index ( TCX FI ).
  • The TCX FI currently covers 77 bonds in 20 frontier currencies where TCX has acted as hedging counterparty to the issuer.
  • TCX has been set up specifically to provide currency risk protection to hard currency borrowers in countries where the market fails to deliver solutions.
  • Frontier currency bonds offer a unique combination of investment-grade credit risk with the market risk and return of frontier market currencies.

Innovator ETFs to List April Series of MSCI EAFE and Emerging Markets Power Buffer ETFs, Risk Management Strategies for International Equity Investing

Retrieved on: 
Thursday, March 25, 2021
Economy, Finance, Articles, Exchange-traded funds, MSCI, Morgan Stanley, Financial risk, Index, Risk, Market risk, Liquidity risk

The Funds face numerous market trading risks, including active markets risk, authorized participation concentration risk, buffered loss risk, cap change risk, capped upside return risk, correlation risk, liquidity risk, management risk, market maker risk, market risk, non-diversification risk, operation risk, options risk, trading issues risk, upside participation risk and valuation risk.

Key Points: 
  • The Funds face numerous market trading risks, including active markets risk, authorized participation concentration risk, buffered loss risk, cap change risk, capped upside return risk, correlation risk, liquidity risk, management risk, market maker risk, market risk, non-diversification risk, operation risk, options risk, trading issues risk, upside participation risk and valuation risk.
  • The Innovator Russell 2000 Power Buffer ETF (the Fund) has been developed solely by Innovator Capital Management, LLC.
  • The ETFs referred to herein is not sponsored, endorsed, or promoted by MSCI Inc. or based upon the MSCI EAFE and MSCI Emerging Markets Indexes.
  • MSCI, MSCI EAFE, and MSCI Emerging Markets are trademarks or service marks of MSCI Inc. or its affiliates (Marks) and are used hereto subject to license from MSCI.

Bloomberg Poll Finds Banks Forging Ahead with FRTB Preparation, But Facing Data and Modeling Hurdles

Retrieved on: 
Tuesday, March 16, 2021
Finance, Economy, Articles, Market failure, Market risk, Pricing, FRTB, Bloomberg L.P., Bloomberg Terminal, Risk, Analytics

However, progress is uneven across the industry, and the significant data and risk modeling decisions FRTB requires across an organization are posing the most difficult challenges, according to a recent poll conducted by Bloomberg.

Key Points: 
  • However, progress is uneven across the industry, and the significant data and risk modeling decisions FRTB requires across an organization are posing the most difficult challenges, according to a recent poll conducted by Bloomberg.
  • At a recent online event, " FRTB Nearing the Finish Line ," Bloomberg asked over a hundred senior trading, compliance and regulatory professionals from across the sell-side how their institutions are preparing for FRTB.
  • "Despite the delay, banks should continue to keep FRTB implementation high on their radar," said Eugene Stern, head of market risk product at Bloomberg.
  • The company's strength delivering data, news and analytics through innovative technology, quickly and accurately is at the core of the Bloomberg Terminal.

EBA releases its annual assessment of the consistency of internal model outcomes for 2020

Retrieved on: 
Monday, March 15, 2021
Financial law, Actuarial science, Benchmarking, Strategic management, Financial risk, Market risk, Credit risk, Articles, Economy, Business

The Reports cover credit risk for high and low default portfolios (LDPs and HDPs), as well as market risk.

Key Points: 
  • The Reports cover credit risk for high and low default portfolios (LDPs and HDPs), as well as market risk.
  • These benchmarking exercises are a fundamental supervisory and convergence tool to address unwarranted inconsistencies and restoring trust in internal models.
  • The results of the 2020 regular benchmarking analyses for credit risk are largely comparable to those of the last exercises.
  • This can be seen as an indication of the general stability of bank portfolios and internal model outcomes.

EBA consults on technical elements for the implementation of the alternative standardised approach for market risk as part of its FRTB roadmap

Retrieved on: 
Friday, March 12, 2021
Financial services, Finance, Actuarial science, Money, Capital requirement, Financial law, Bank regulation, FRTB, Market risk, Credit risk

These draft RTS are part of the phase 3 deliverables of the EBA roadmap for the new market and counterparty credit risk approaches.

Key Points: 
  • These draft RTS are part of the phase 3 deliverables of the EBA roadmap for the new market and counterparty credit risk approaches.
  • The consultation papers published today provide technical specifications for the implementation of these two elements.
  • In particular, the draft RTS on gross JTD amounts specify the key inputs needed for computing own funds requirements for default risk under the FRTB-SA.
  • These RTS also clarify that longevity risk, weather, natural disasters and future realised volatility should all be considered as exotic underlyings.

Green Tiger Markets (GTM) Launches Pilot for Philippines Energy Contracts

Retrieved on: 
Wednesday, March 10, 2021
Professional services, Environment, Utilities, Alternative energy, Energy, Finance, Market risk, Hedge, Futures contract, Derivative, Articles, Energy economics, Economy, Market economics)

The pilot marketplace will allow business participants to buy and sell forward contracts for Philippines energy to hedge their price risk exposure in a simulated, test trade environment.

Key Points: 
  • The pilot marketplace will allow business participants to buy and sell forward contracts for Philippines energy to hedge their price risk exposure in a simulated, test trade environment.
  • These pilot participants represent, on a wholesale basis, approximately:
    40% of the Philippines electricity generation capacity, and
    65% of the Philippines electricity consumption.
  • We know that bringing transparency and price discovery to Philippines energy will help to reduce the price volatility that Filipinos experience, says John Knorring, CEO of Green Tiger Markets.
  • About Green Tiger Markets: Green Tiger Markets (GTM) develops and operates derivatives marketplaces that facilitate the forward hedging of price on a financial basis.

AEGIS Hedging Solutions Files SEF Application with CFTC

Retrieved on: 
Wednesday, March 3, 2021
Swaps, Market risk, Hedge, Derivative, Interest rate swap, Futures contract, Finance, Money, Economy

AEGIS has established a subsidiary, AEGIS SEF, LLC ("AEGIS SEF"), to facilitate the negotiation and execution of bilateral derivative contracts between commercial end-users and their financial counterparties.

Key Points: 
  • AEGIS has established a subsidiary, AEGIS SEF, LLC ("AEGIS SEF"), to facilitate the negotiation and execution of bilateral derivative contracts between commercial end-users and their financial counterparties.
  • Trading on the AEGIS SEF will be focused on bona fide hedge transactions; swaps not used for hedging purposes (i.e., speculative trades) will not be permitted.
  • AEGIS Hedging Solutions enables companies to manage their commodity price and interest rate risk through leading software and advisory capabilities.
  • AEGIS SEF (US) LLC, a subsidiary of AEGIS Hedging Solutions, will operate markets for commodities, interest rate swaps and other instruments.

Atlantic Power Corporation Announces Dates for Fourth Quarter and Year End 2020 Results and Conference Call

Retrieved on: 
Monday, February 22, 2021
Commodity, Conference call, Market risk

Conference Access: Please request access to the Atlantic Power conference call.

Key Points: 
  • Conference Access: Please request access to the Atlantic Power conference call.
  • Replay: Access conference call number 10152718 at the following telephone numbers:
    The replay will be available one hour after the end of the conference call through April 5, 2021 at 11:59 PM ET.
  • Atlantic Power is an independent power producer that owns power generation assets in eleven states in the United States and two provinces in Canada.
  • The Company seeks to minimize its exposure to commodity prices through provisions in the contracts, fuel supply agreements and hedging arrangements.