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Ion: after the hack, the clean-up
Some clients now using Ion systems again, but synchronising data with CCPs could take days
Lawmakers join pushback over SEC dealer rule
Bipartisan letter to Treasury says proposal would damage market liquidity
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
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Risk Quantum
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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
Finma cools off UBS’s VAR model overhaul
Estimated $1.3bn RWA benefit temporarily offset by regulatory add-on
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
US retail funds further slash repo borrowing
Counterparty Radar: Manager activity in Q3 2022 lowest in nearly three years; BofA surpasses JP Morgan as top dealer
Editors' choice
More EU banks will fail new IRRBB test as rates push upwards
Half of all EU banks could cross outlier threshold for new test of net interest income
Big Figure
Concentration issues
RepoClear, London-based LCH Ltd’s clearing service for fixed-income contracts, held the highest rate of change of concentration risks over the past six years. Out of 23 clearing services analysed for the period between Q1 2016 and Q3 2022, the slope of concentration of outstanding open positions by RepoClear’s five largest members had a gradient of 1.01.
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Risk Management
Ion: after the hack, the clean-up
Some clients now using Ion systems again, but synchronising data with CCPs could take days
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