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Ruled out: can regulators settle the pre-hedging debate?
Market participants are at odds over the practice and whether regulation or principles can settle the score
Avon CDS holders win payout despite narrow debt auction
With swap volumes outweighing eligible deliverable debt, holders feared contracts could be worthless
Citi revealed as top index CDS dealer to Ucits funds
Counterparty Radar: Novel data shows US banks captured nearly 90% of uncleared notional volume in European markets
Risk data
IM requirements at LCH ForexClear hit record high in Q2
Latest figures show a 32% increase quarter on quarter to $10.7bn
BofA quants propose new model for when to hold, when to sell
Closed-form formula helps market-makers optimise exit strategies
Regulators want to fix AT1s. Investors want restraint
Tweaking the instrument that regulators love to hate may be the only way to prevent its abolition
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BASEL III ENDGAME
EU banks fear loss of NSFR repo relief
European Commission must decide by next June; other jurisdictions adopted softer calibration
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
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.
IM requirements at LCH ForexClear hit record high in Q2
Latest figures show a 32% increase quarter on quarter to $10.7bn
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
Citi revealed as top index CDS dealer to Ucits funds
Counterparty Radar: Novel data shows US banks captured nearly 90% of uncleared notional volume in European markets
US election 2024
Could Trump presidency herald $27bn margin call on World Bank?
Think-tank’s policy plan to pull US out of multilateral threatens AAA rating, ending collateral exemption
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
ETF dispersion set for election revival
Sector-based approach to popular vol trades boasts cheaper entry cost than classic version, proponents argue
On geopolitical risk, G-Sibs choose their battles
Conflicts – both existing and threatened – raise concern among banks, but many are still grappling to weave the risk into their frameworks
Risk management overhauls juggle speed and independence
Some banks say the 1.5 line of defence responds faster to risk, but supervisors are still divided
Information security
Should banks risk lightning hitting twice for CrowdStrike?
Bank tech teams divided on whether to give security vendor a second chance after update crash
CrowdStrike outage spurs rethink on ‘critical’ vendors
Some want US regulators to designate tech firms that pose risks to financial stability
Between the lines: why banks are rethinking risk management
Lloyds is not the only bank wanting to reshuffle the three lines of defence as tech risks grow
For G-Sibs managing cyber outages, confidence makes the difference
IT disruption drops among top G-Sib concerns this year, as banks revamp models and retool risk indicators
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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