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Basel’s IRRBB shock scenario update hit by US crisis
Recalibration of shocks had been touted for Q3, but wider rethink may now cause delay
MUFG’s settlement risk surges fourteenfold in Q1
Risk-weighted assets for Japanese lender’s unsettled transactions cross ¥300 billion mark
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
Risk data
Dutch pensions have extra year to restructure hedges
January 2028 implementation date allows more time for long-dated swaps to roll off
Collateral markets in need of rewiring
New data suggests a tech upgrade is needed to avoid a large central bank footprint in markets
A student of Dr Doom says QE is here to stay
Salomon alumni Michael Howell says central banks can’t stop pumping liquidity
Banks in crisis
Risk modellers navigate fearful new world of depositor behaviour
Silicon Valley Bank suffered fastest bank run in history, but how should others respond?
Taking stock: putting a price on US bank regulation post-SVB
Tougher requirements could “blow a hole” of 200+bp in regulatory capital ratios – and cripple equity returns
The tweet and the trust collapse: how banks can fall on a dime
In March’s market contagion, experts see lessons in the rapid erosion of confidence
In bank runs and market crashes, it matters how ideas ‘catch’
Contagion episodes show importance of network effects in finance
Why tougher liquidity rules may not reduce the risk of bank runs
EU regulator and industry experts say LCR reform is the wrong response to Credit Suisse and SVB
Investor wish-list offers no quick fix for Swiss CoCos
Some want bond doc overhaul to clarify bail-in risk, but sovereigns can always change the rules
Europe’s new IRRBB test: the riddle with no answer
A proposed compromise on net interest income test is not scientific, but exact calibration may be impossible
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MUFG’s settlement risk surges fourteenfold in Q1
Risk-weighted assets for Japanese lender’s unsettled transactions cross ¥300 billion mark
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
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US life insurer index options market hits $1trn mark
Counterparty Radar: Lincoln Financial emerges as top player in Q4 with $43 billion portfolio increase
Clearing
Eurex scrambles to avert Treasury collateral ban on US default
Current policy prevents CCP from selectively excluding eligible collateral
CCPs mull collateral options amid debt ceiling deadlock
Isda AGM: Raising haircuts and minimum maturities are among measures on the table to avoid a cliff-edge
Swap Connect shines light on US client clearing hurdles
New scheme may intensify calls for CFTC to reassess its exempt DCO limitations
Regional banks face soaring term SOFR spreads
Bid/offers hit 10bp as dealers price counterparty risk into non-cleared Libor transition trades
Quant Finance Master’s Guide 2023
Risk.net’s guide to the world’s leading quant master’s programmes
FRTB
EU banks fear Brexit battle over FRTB internal models
Bank of England approach looks easier, but that may not make much difference to model uptake
Banks find new uses for discarded FRTB models
Much-maligned IMA models are being upcycled and repurposed for internal risk management
Banks look back in anger as FRTB revives 1990s risk test
Institutions bemoan need for parallel framework to measure portfolios’ sensitivities to market moves
US falls behind in race to match Europe’s FRTB launch date
Recent US bank failures could jeopardise planned January 2025 start date for Basel III
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