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CCP models vulnerable to Trump risk
Volatility of ‘will he, won’t he’ tariff strategy could confound clearing house risk models
Automated market-making tested by intraday FX vol
Price gaps in spot FX markets could be exacerbated by algos trading on headline risk
BofA, JPM face 50bp increase in G-Sib surcharge
Surge in systemic indicators puts banks on track for 3.5% and 5% add-ons in 2027
Risk data
Basel tweak may weaken counterparty hedging, industry warns
Proposed technical revision risks dissuading bespoke CDSs and guarantees covering derivatives exposures
Haidar Capital founder sees global yield curves steepening
‘Gigantic’ funding needs set to pressure long-dated European and US bonds
Does FX Spot+ add up for traders?
New CME venue aims to provide easier access to FX futures liquidity, but some worry about its stability in choppy markets
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Market turmoil
German defence announcement hits steepener trades
Rapid euro curve flattening following Merz’s comments last week caught out a number of hedge funds, say dealers
‘Trump slump’ hedges rise on rate cut fears
One dealer notes fivefold increase in number of clients hedging against possibility of faster rate cuts
Short-term Trump FX trades ‘dead’ as euro rallies
EUR/USD spot rally and vol spike sees mass unwinds of long USD trades
Disappearing dealer gamma spurs wild stock swings
Stock market selloff leaves dealers perilously close to peak short gamma positioning
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.
BofA, JPM face 50bp increase in G-Sib surcharge
Surge in systemic indicators puts banks on track for 3.5% and 5% add-ons in 2027
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
BlackRock bucks trend in shrinking IRS market for Ucits
Counterparty Radar: Pimco boosts pay-fixed book by $27.5 billion in H1 2024
Bank regulation
Credit loss database reveals holes in Basel’s IRB formula
Researcher has used two decades of data to propose improved internal model methodology
Delving into the European Commission’s proposed overhaul of FRTB
Raft of potential changes would benefit both IMA and SA banks – but only temporarily
Crypto custody a bit(coin) closer after US accounting U-turn
Federal banking supervisors expected to eventually relax regimes for safeguarding digital assets
Japan’s regulator stands firm behind Basel as peers buckle
Japanese banks fear being at a disadvantage to rivals as Basel III implementation falters
AI survey 2025
Risk.net survey finds banks embracing a twin-track approach to AI in the front office: productivity tools today; transformation tomorrow
Clearing
Gilt repo clearing mandate on Bank of England’s radar
Sources say regulator mulling benefits of US-inspired regime, but is non-committal
CME-FICC cross-margin extension timeline questioned
SEC changes and queries around margin segregation may make end-2025 deadline unrealistic
CME-FICC cross-margin programme sees increased demand
Joint arrangement aids netting, reduces clearing costs and increases capacity
PTFs clash with banks over ‘done-away’ US Treasury clearing
Trading firms losing patience with banks’ reluctance to unbundle trading and execution
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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