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Nomura eyes FRTB models expansion for FX desks
With rates desks all now on FRTB internal models, markets head says FX is next
Real money looks to dynamic hedges after tariff bout
Buy-siders are adopting more responsive FX hedging strategies after correlations broke down
More interdealer e-trading needed to support FX swap streaming
Dealers say primary venues must gain more traction to allow further electronification on client side
Risk data
Quantcast Master’s Series: Dan Stefanica and Jim Gatheral
Baruch College leaders on how they manage the top-ranked quant finance master’s programme
XVA Benchmarking: explore the data
Take a deep dive into the findings of our 30-bank study, with interactive charts covering XVA optimisation, regulation and tech stacks
Tomorrow’s Quants: what it takes to be a next-gen modeller
Employers increasingly prize mix of hard and soft skills, Risk.net survey reveals
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Interest rates
Bessent’s Treasury buy-back ‘success’ draws expansion warnings
BMO Treasury trading head warns of “overarching presence” as Treasury scales up programme
Treasury market urged to beef up operational resilience plans
NY Fed panel warns about impact of AI and reliance on critical third parties
Bond investors diverge on AI’s rates impact
While many agree the technology will drive growth, questions remain over the timing and inflationary impact
How EU supervisors react to interest rate risk outliers
Banks have faced no automatic penalties for breaching new NII test, but do come under microscope
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.
Euro credit growth catches up with dollar in global flows
Cross-border lending hits $37trn as euro flows gain ground
Risk Benchmarking
Half of European banks already embed FRTB into XVA pricing
US and rest of world lag Europe in incorporation of Basel capital rules into XVA calculations, Risk Benchmarking analysis shows
Bank regulation
ECB finds holes in banks’ credit spread risk nets
Banks censured for insufficient evidence to support exclusion of products from CSRBB perimeter
Narrower US supervisory remit could lead to more bank failures
Some former regulators see risks in fewer MRA letters, but others welcome streamlining
No Fed G-Sib buffer reform in 2025, say experts
Recalibration of method 2 seen as more likely than its abolition; banks resist daily averaging
Banks grapple with Fed’s double deadline on stress-test plans
Supervisor consulting simultaneously on next year’s test scenario and broader model changes
Ardagh CDS spreads reel amid payout confusion
Dispute over company’s recapitalisation plan leaves credit default swap holders with uncertain future
Clearing
How US hedge funds won big on permission to clear at JSCC
But CFTC no-action letter won’t allow netting of Japanese trades with those cleared at US FCMs
US hedge funds eyeing JSCC after regulations eased
FCMs see strong interest and expect funds to start clearing yen swaps before year-end
DTCC’s plan to unlock billions in margin and capital savings
T+1 settlement has already cut margin; now firm is working on OCC tie-up, among 10 efficiency projects
Industry groups call on EC to delay foreign CCP reporting
Trade bodies seek to prevent late-running rules causing duplicated implementation projects
Dealers prep for year-end equity financing surge
Cost of funding equity derivatives bets blew out to 227bp in 2024 and is ticking higher again
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