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EBA to weigh in on credit spread risk conundrum
Industry confusion persists over which products in banking book are affected by spread changes
Market RWAs climb to new highs at top Chinese banks
Bank of China, China Construction Bank and Shanghai Pudong Development Bank set records for second successive quarter
Most banks stick to tried-and-trusted XVA models
Black Scholes- and Heath-Jarrow-Morton-based approaches dominate, with some exploring Copulas for wrong-way risk, post-Archegos
Risk data
Podcast: Iabichino on finance-native neural networks
UBS quant explains how to incorporate financial laws into an AI framework
FICC to launch new default fund before UST repo clearing mandate
Clearing members expected to welcome FICC’s plans to separate loss mutualisation from margin
Tomorrow’s Quants: what it takes to be a next-gen modeller
Employers increasingly prize mix of hard and soft skills, Risk.net survey reveals
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Interest rates
Bessent’s Treasury buy-back ‘success’ draws expansion warnings
BMO Treasury trading head warns of “overarching presence” as Treasury scales up programme
Treasury market urged to beef up operational resilience plans
NY Fed panel warns about impact of AI and reliance on critical third parties
Bond investors diverge on AI’s rates impact
While many agree the technology will drive growth, questions remain over the timing and inflationary impact
How EU supervisors react to interest rate risk outliers
Banks have faced no automatic penalties for breaching new NII test, but do come under microscope
Risk Quantum
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Market RWAs climb to new highs at top Chinese banks
Bank of China, China Construction Bank and Shanghai Pudong Development Bank set records for second successive quarter
Risk Benchmarking
Most banks stick to tried-and-trusted XVA models
Black Scholes- and Heath-Jarrow-Morton-based approaches dominate, with some exploring Copulas for wrong-way risk, post-Archegos
Bank regulation
ECB finds holes in banks’ credit spread risk nets
Banks censured for insufficient evidence to support exclusion of products from CSRBB perimeter
Narrower US supervisory remit could lead to more bank failures
Some former regulators see risks in fewer MRA letters, but others welcome streamlining
No Fed G-Sib buffer reform in 2025, say experts
Recalibration of method 2 seen as more likely than its abolition; banks resist daily averaging
Banks grapple with Fed’s double deadline on stress-test plans
Supervisor consulting simultaneously on next year’s test scenario and broader model changes
Ardagh CDS spreads reel amid payout confusion
Dispute over company’s recapitalisation plan leaves credit default swap holders with uncertain future
Clearing
How US hedge funds won big on permission to clear at JSCC
But CFTC no-action letter won’t allow netting of Japanese trades with those cleared at US FCMs
US hedge funds eyeing JSCC after regulations eased
FCMs see strong interest and expect funds to start clearing yen swaps before year-end
DTCC’s plan to unlock billions in margin and capital savings
T+1 settlement has already cut margin; now firm is working on OCC tie-up, among 10 efficiency projects
Industry groups call on EC to delay foreign CCP reporting
Trade bodies seek to prevent late-running rules causing duplicated implementation projects
Dealers prep for year-end equity financing surge
Cost of funding equity derivatives bets blew out to 227bp in 2024 and is ticking higher again
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