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Bonds will cushion equities in election volatility – Lombard Odier
August showed old risk models can be trusted ahead of voting day, says investment manager’s macro chief
Another post-Libor rate aims to clear Iosco bar
After two rivals were slapped down by the benchmark overseer last year, will Axi fare differently?
Scotiabank pivots to standardised approach for securitisation exposures
Risk-weighted assets under SEC-SA jump 450% in three months to end-July
Risk data
People: Masters moves into FNZ, Two Sigma founders step back, and more
Latest job changes across the industry
Should banks risk lightning hitting twice for CrowdStrike?
Bank tech teams divided on whether to give security vendor a second chance after update crash
The post-Archegos risk model rebuild begins… slowly
Following regulatory prodding, banks start to overhaul counterparty risk models. A flurry of new research on the topic may aid the effort
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BASEL III ENDGAME
Fed’s Basel III rollback gives clearing units a capital break
Client-cleared trades will be exempt from CVA charges and G-Sib surcharge calculations, says Barr
EU banks lose relief on model test after FRTB delay
Deferment of new trading book regime to January 2025 eats into transition period for “erratic” P&L attribution test
Sunday night football and the Basel III endgame
Big banks, political advocates and housing organisations are unlikely allies in race to dropkick new capital regime
Some EU banks wanted option to start FRTB on time
Representatives of member states raised possibility with European Commission at July meeting discussing the delay
Risk Quantum
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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.
Scotiabank pivots to standardised approach for securitisation exposures
Risk-weighted assets under SEC-SA jump 450% in three months to end-July
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
HSBC loses FX forwards market share with EU funds
Counterparty Radar: UK bank reported 6% drop in notional volumes with Ucits funds in H2 last year
Global market sell-off
Pre-market trades blamed for record Vix surge
Traders rushed to cover short vol positions before the market opened on August 5
Dealers bruised by surprise renminbi vol surge
Rush to re-hedge USD/CNH exotics left banks in grip of painful short gamma squeeze
After the selloff, competing theories on dealer gamma
Tier1 Alpha sees $74 billion short gamma catalyst; SG says rapid return to positive territory had calming effect
Margin calls jumped threefold as global markets sold off
FCMs claim no client defaults, but episode revives complaints of procyclical margining
Let’s grow the third-party risk playbook – CME security chief
CrowdStrike outage highlights need for financial sector to adjust its game plan
Insurance
Cayman reinsurance shift ‘negative’ for US life firms
Moody’s warns of US insurers switching preference after Bermuda tightens capital rules
Long shadow of Apollo looms over turmoil at Athora
Risk.net investigation reveals troubling picture of US asset manager’s European insurance project
NAIC wants more disclosure about use of offshore reinsurance
US watchdog seeks improved data around deals some say allow insurers to game capital rules
Insurance double-hatters like Apollo can expect more scrutiny
Regulators are homing in on conflicts of interests at private-equity-owned insurers
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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