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Hard concentration: clearing members want clarity from CCPs
FCMs complain they struggle to pass opaque margin calculations through to end-clients
Substitutability cap spares JPM, Citi higher Basel G-Sib surcharges
Stalled framework review by Basel Committee benefits world’s largest bank for 10th consecutive year
Better tech brings threat of two-speed trading in fixed income
Smaller asset managers may get left behind as automation allows the big players to prosper
Risk data
Lifetime achievement award: Nicole El Karoui
Risk Awards 2024: Mathematician had to swim against the tide to create first – and most famous – master’s in quant finance
Bank QIS teams take zero-day options plunge
JP Morgan sees better risk/reward profile for 0DTE-based trend strategies
Risk Awards 2024
JP Morgan wins derivatives house, lifetime award for El Karoui, Barclays wins rates
Basel III endgame
FRTB managers face hard facts about risk factors
There are ways to reduce the capital charges caused by NMRFs, but they come at a price
Party’s over as more banks drop internal models for market risk
At least three systemic banks in Europe intend to ditch IMA for capital requirements
EC to adopt NII outlier test within ‘weeks’
New IRRBB rules could come into force in early 2024; industry hoping EBA draft is softened
Filling the gaps in Basel’s interest rate risk measures
Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage
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.
Substitutability cap spares JPM, Citi higher Basel G-Sib surcharges
Stalled framework review by Basel Committee benefits world’s largest bank for 10th consecutive year
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 life insurers piled into index options in Q2
Counterparty Radar: Lincoln Financial, Global Atlantic lead expansion; Goldman claims top dealer spot
Clearing
Nickel odium: critics pan BoE role in LME meltdown
Last year’s nickel fiasco calls into question effectiveness of UK supervisory model – and of central bank’s part
New UK clearing rules: same as the old rules?
Clearing experts doubt UK regulation can diverge significantly from Emir and global standards
FSB warned not to overfill its planned CCP resolution toolbox
Network contagion could make cash calls systemically risky, but TLAC also controversial
UK to permanently recognise US CCPs
Regulators also launching review on long-term status of UK pension fund clearing exemption
Swap dealers look internally to ease SOFR basis headaches
Traders are using their own banking units as a new outlet for reducing SOFR-versus-term SOFR risk
US Treasuries
SEC to delay US Treasury clearing mandate, dealer rule
A final vote on proposed US Treasury market reforms is now expected in early 2024
PTFs loaded up on US Treasuries during SVB collapse
Treasury official says non-bank interdealer market share rose 10 percentage points in March as dealers retreated
Off target: SEC dealer rule will hurt those it aims to protect
Regulator’s plan could harm US Treasury markets and make it costlier for Americans to borrow, says Don Wilson
How repo roll risk could spoil US Treasury basis trade
Financing worries emerge as popular trade becomes increasingly reliant on overnight repo
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