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Hedge funds retreat to sidelines in euro steepeners
Rate hike repricing and stop-losses have gutted positioning in once-dominant 10s30s bet
Limited RWA gains support rethink on Fed output floor
Advanced approaches cut RWAs only marginally across US banks
FRTB models find salvation in US Basel III proposal
Changes to P&L attribution test and NMRFs make IMA viable for US banks, risk managers say
Franklin Templeton closes $5bn yen options book
Counterparty Radar: Asset manager’s bets on USD/JPY soured as yen weakened through Q4
Eight US dealers set to dodge FRTB application
Revised trading-activity thresholds would narrow scope of market risk framework
Leaked EU plans offer extra temporary relief for FRTB models
Risk factors would need only two observations to be modellable. Do changes foreshadow US Basel III?
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Basel III Endgame
US blows the floors off Basel III
Barr criticises “downward deviations” in US rule; Bowman rejects “blind adherence” to global standards
AOCI reinclusion would strip $49.5bn from US bank capital
Schwab, Ally and Fifth Third face largest CET1 hits under Fed Basel III endgame proposal
HSBC, Mizuho, US Bancorp ensnared by endgame CVA rule
Notional-based backstop leaves most banks exempt from capitalising non-cleared trades
US regulators bid to save FRTB IMA, but it’s no small task
Even if industry wish-list is granted, a 2028 start date might be too soon for model adoption
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.
Limited RWA gains support rethink on Fed output floor
Advanced approaches cut RWAs only marginally across US banks
Risk Benchmarking
Most banks run physical climate scenarios beyond 2050
Risk Benchmarking data finds majority rely on geospatial asset mapping, while a third use third-party catastrophe models
Middle East crisis
What futures and options say about the cost of war
Spot prices reveal major disruption, futures indicate this will pass, options imply ongoing instability
A Hormuz tipping point may be days away
Agent-based model suggests delays and shortages likely to accelerate after four weeks
SRT deals shelved amid Iran and AI concerns
Simple and risk-reducing deals prioritised as growing fears disrupt synthetic risk-transfer pipeline
Oil clearing volumes surge at Ice, CME
Ice Europe nears Brent clearing record midway through March
Rising reliance on internal auditors spooks regulators and industry
Risk managers warn US is substituting supervisors with auditors; could compromise independence
Artificial intelligence
Iosco chief talks cyber, AI and clearing
Buenaventura discusses Iosco’s role in aiding market resilience and cross-border co-operation
New LLMs are proving to be surprisingly good quants
Strides in AI’s ability to do maths mean models can plausibly help with research
FHLB Cincinnati explores AI to spot failing banks
Agentic model detects anomalies, monitors sentiment and drafts credit reports for analyst review
The loneliness of the model risk manager
Boards may see them as a drag on innovation; risk functions need to show they embrace efficiency
CME-FICC cross-netting terms fuel clashes
Hedge funds worried by CCP powers to suspend arrangement; clearing members say it’s standard practice
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