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US banks race against time as Fed plays climate catch-up
Long-awaited US climate risk exercise puts tough pressure on banks’ data and models
EU banks need ‘billions’ in hedges to pass new NII test
Declines in net interest income can be hedged, but the markets may struggle to handle the demand
UBS takeover of Credit Suisse to trigger higher G-Sib surcharge
At 14.2%, UBS’s CET1 capital ratio is more than sufficient to absorb the deal
Missing Basel metric could have revealed SVB risks
US regulators did not implement economic value of equity test that SVB failed in 2021
Nasdaq exec criticises VAR models in erratic energy markets
FIA Boca 2023: Model being adopted by rivals is “bad choice” for unpredictable assets, says exchange tech official
Still Trussed up: UK pensions confront fallout from LDI crisis
Trustees and consultants are making risky trade-offs as interim guidance increases the cost of hedging
IRRBB
Why risk managers don’t trust the EU’s new IRRBB test
And why there may never be a perfect way of assessing the risks of changes in net interest income
ECB promises ‘proportionate’ approach to interest rate risk
But banks still fear regulatory and investor response if many are classed as outliers
All outliers now: Europe’s unflattering IRRBB test
Banks, fearing overreaction from supervisors, urge European Commission to reject NII-based assessment
More EU banks will fail new IRRBB test as rates push upwards
Half of all EU banks could cross outlier threshold for new test of net interest income
Risk Quantum
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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
UBS takeover of Credit Suisse to trigger higher G-Sib surcharge
At 14.2%, UBS’s CET1 capital ratio is more than sufficient to absorb the deal
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
Pimco nearly halves FX forwards book in Q4
Counterparty Radar: West Coast manager’s 45% cuts send Morgan Stanley to fifth place in dealer rankings
Top 10 op risks
Top 10 operational risks for 2023
The biggest op risks for the year ahead, as chosen by senior industry practitioners
Top 10 operational risks: focus on third-party risk
Ion hack deals industry painful reminder on drawbacks of outsourcing
Top 10 operational risks: focus on cyber risk
All firms fear data breach; smaller banks also concerned over IT disruption
Top 10 op risks 2023: regulatory risk jumps sharply
Cyber and third-party risks also rise, along with concerns around data management and execution errors
Risk.net’s top 10 investment risks for 2023
Geopolitical frictions, sticky inflation and a hard landing are among the hazards cited by investors
Ion hack
One-fifth of CME clearing members hit by Ion hack
Advisory committee heard CFTC believed it could “play a more direct role” in cyber security practices
Ion in the fire: three banks call in lawyers after hack
Banks are examining service-level agreements for possible breaches
Ion: after the hack, the clean-up
Some clients now using Ion systems again, but synchronising data with CCPs could take days
Ion cyber outage continues as banks use workarounds
ABN Amro, Macquarie, RBC among firms hit; ransom deadline tomorrow, but service may be down for days
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