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Buffer stop: Eurex clearing members shunt default fund
Clearing house’s CRO says both members and clients opt to pay more margin instead
Crossed signals: row over collusion pits scholars against traders
An Oxford study claims to show evidence of collusion in ETF markets. Some traders give it short shrift
Podcast: Alexandre Antonov turns down the noise in Markowitz
Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio
Risk data
Cross-border lending to shadow banks spiked in Q3
Non-bank financial institutions record fastest annual growth since Covid-19 pandemic
How a serverless risk engine transformed a digital bank
Migrating to the cloud permitted scalability, faster model updates and a better team structure
TD’s prop-style trading shop rises up bond rankings
Ascent of bank’s bond trading business comes amid electronification changes in US fixed income market structure
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Bank regulation
During Trump turbulence, value-at-risk may go pop
Trading risk models have been trained in quiet markets, and volatility is now looming
Iosco pre-hedging review: more RFQs than answers
Latest proposals leave observers weighing new clampdown on pre-hedging
Bank of England mustering unit to model system-wide stresses
Permanent team at UK supervisor will work on buy- and sell-side interactions
Regis-TR and the Emir Refit blame game
Reporting overhaul was marred by problems at repositories, prompting calls to stagger future go-live dates
Risk Quantum
Data insights, delivered daily
Risk Quantum tracks thousands of data points across hundreds of metrics from organisations that represent a cross-section of the financial system. Published daily, articles are short and broken into chunks – the facts, the context and a brief commentary – and use data visualisations to get each story across.
Cross-border lending to shadow banks spiked in Q3
Non-bank financial institutions record fastest annual growth since Covid-19 pandemic
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
Counterparty Radar is based on position data from around 20,000 US mutual funds and ETFs, rolled up to the manager level – it shows the OTC derivatives they have on their books, and who they traded them with, providing unique insights into an important market segment. More info
Franklin Templeton dethrones MSIM as top FX options user
Counterparty Radar: MSIM continued to cut RMB positions in Q3, while Franklin Templeton increased G10 trades
Equity derivatives
Why vol markets shrugged off Nvidia rout
Gamma, autocalls and stock dispersion helped prevent a broader market meltdown
Reverse dispersion gains traction as implied spread jumps
Inverted strategy on Euro Stoxx 50 gains popularity for profit-taking and correlation play
How UBS sold off non-core equity assets at lightning speed
More than 40 auctions have been completed since Credit Suisse acquisition, with a little help from a T-Rex
SG looks beyond equity derivatives in new markets push
French bank aims to expand fixed income business to achieve “more stable” revenues across asset mix
Does no-hedge strategy stack up for mag seven mavericks?
At Amazon, Meta and Tesla, the lack of FX hedging might raise eyebrows, but isn’t necessarily a losing technique
Central clearing
Banks divided over CME’s done-away model for UST clearing
Buy side could give thumbs-up if questions on margin protection and guarantee fees are answered
Hedge funds could look to bypass UST clearing mandate
New paper argues that repo users might relocate offshore or use other means to avoid US Treasury clearing dragnet
Osttra to launch Treasury clearing middleware
Mid-year delivery expected for system that aids credit checking for repo trades
LCH expects to boost deliverable FX clearing with new adds
Onboarding of dealers and link-up with CLS could swell interbank deliverable FX clearing volumes
Op risk benchmarking
Our new research service compares op risk practices at financial institutions – from staffing to AI safeguards, key controls to board reporting packs.
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