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Could Trump presidency herald $27bn margin call on World Bank?
A group of 50 conservative organisations has released a policy road map that urges the next US president to cancel the country’s membership of the World Bank. If the next president is Donald Trump – and if he heeds the group’s calls – the World Bank could face a credit rating downgrade and a whopping margin payment on its half-trillion-dollar derivatives portfolio.
Running the numbers on Barr’s Basel III endgame revisions
Fed vice-chair’s plan to ease capital requirements for big banks still lacks critical details
New data reveals Pimco is top Ucits interest rate swaps user
Counterparty Radar: US managers and dealers reign supreme in European retail fund space
Risk data
UBS Americas’ clearing rate dips post Credit Suisse integration
US arm of Swiss bank cleared $47bn in notionals in the second quarter, the lowest since end-2021
Backtesting correlated quantities
A technique to decorrelate samples and reach higher discriminatory power is presented
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
Endgame manoeuvre: US banks put SLR reform back in spotlight
Plan to ease Basel III brings renewed focus to impact of leverage ratio on US Treasury market
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
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.
UBS Americas’ clearing rate dips post Credit Suisse integration
US arm of Swiss bank cleared $47bn in notionals in the second quarter, the lowest since end-2021
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
New data reveals Pimco is top Ucits interest rate swaps user
Counterparty Radar: US managers and dealers reign supreme in European retail fund space
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
BIS warns of growing offshore reinsurance risk
Deals by private equity-backed life firms could mask risk in $25 trillion industry, report says
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
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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