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Traders pin Sonia derivative woes on UK’s local difficulties
Market participants say BoE forecasts and mini-budget help explain RFR products’ lack of liquidity
Market ‘not ready’ for US Treasuries clearing mandate
“Client clearing for Treasuries doesn’t really exist,” says Barclays exec, while DTCC points to gaps in market awareness
OCC liquidity risk doubles to all-time high in Q2
Concentration of activity around June expiration responsible for record rise
Risk data
‘Witching day’ price spikes point to options market manipulation – study
Data reveals patterns that can be explained no other way, researchers say
BNPP back in dealer top three for FX forwards with mutuals
Deutsche Bank, HSBC hit by cuts at Vanguard and Pimco in Q2
How Bloomberg got liquidity seekers to trust its machine learning models
Recent liquidity squeezes have proved the worth of advanced models, argues the tech giant. Now the task is to explain their inner workings to machine learning sceptics
Basel III endgame
Industry divided on whether Europe should delay FRTB
Most bankers prefer to keep to earlier start date, even though it puts continent out of sync with US
How operational risk managers won a battle and lost a war
Applying op risk capital to US regional banks is positive, but the SMA may not be fit for purpose
Fed throws curveball with agency clearing surcharge proposal
Revived plan could see capital for G-Sibs’ client clearing jump 40 times, says industry body
The strange effect of US clampdown on FRTB models
Ban on internal models for trading book default risk could provide some banks with unexpected capital relief
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.
OCC liquidity risk doubles to all-time high in Q2
Concentration of activity around June expiration responsible for record rise
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
BNPP back in dealer top three for FX forwards with mutuals
Deutsche Bank, HSBC hit by cuts at Vanguard and Pimco in Q2
Post-Libor rates
US regionals load up on cheap receive-fix term SOFR swaps
Major dealers are welcoming basis-risk-offset trades with “open arms”, say hedge advisers
Rising costs prompt US borrowers to embrace compounded SOFR
Sophisticated firms with term SOFR loans increasingly willing to run basis risk to cut hedging costs
CSRs fight for survival after ‘damning’ Iosco verdict
Standard-setter accused of ignoring its own principles and failing to back up its conclusions
TMX, CanDeal set to launch risk-free Canadian term rate
Forward-looking version of Corra will take over as official loan benchmark next year
ECB mulls intervention on uneven banking book reporting
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
Credit markets
How Chenavari is adapting to an uncertain macro regime
Talking Heads 2023: Fund chief Loic Fery eyes rebalancing between public and private credit strategies
Citi is building a central risk book for credit
Talking Heads 2023: Putting CDSs, ETFs and bonds into the same pot will result in better pricing, says credit head Bhatia
Inside Blackstone’s $150bn private credit business
Talking Heads 2023: Alts giant has around 10% of global market and hopes to expand its reach by porting quant insights from liquid credit
JPM’s new-look credit unit primed for market uncertainty
Talking Heads 2023: Leaders of merged business explain plans for new equity-credit combo, and why bank’s “biggest opportunity” lies in direct lending
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