Feature
Clobbered: how ‘toxic’ flows reshaped US Treasury trading
Volumes have dropped by more than a third at BrokerTec. The reasons are complex, the outlook uncertain
Canada’s FRTB pioneers get snowed on fund-linked trades
As Basel capital reforms go live, risk managers eye early adopters’ progress and push to improve capital treatment of fund-linked products
European regulators turn up the heat on IFRS 9 model overlays
After warnings from EBA and BoE, risk managers urge ‘soul-searching’ on post-model adjustments
Beating the drum on cyber risk: the battle for boardroom attention
Delays patching financial sector vulnerabilities highlight the need for more internal clout for cyber chiefs
US dealers slam capital hit on clearing for unreal CVA risk
Fed would diverge from Basel standards by imposing CVA capital on client-cleared trades
Why Canada is giving FRTB internal models the cold shoulder
“Crazy” cost of tech upgrades among reasons why banks snub own models to calculate market risk capital
A change of TIIE: the knotty issue of Mexico’s benchmark switch
Outlier fallback methods and narrow window to build F-TIIE derivatives liquidity make for ambitious transition plan
Why cyber hack leaves EquiLend down but not out
Users turned to alternative securities lending platforms, but that may not mean lost market share
Hedge funds push for transparency in credit determinations
Proposals include more disclosure around meetings and detailed rulings of credit events
Dealers inch closer to clearing of FX forwards
LCH’s ForexClear aims to ease capital charges and margin constraints on banks, but will it kick-start clearing?
BoE puts American spin on fix for FRTB’s govvies dilemma
Four jurisdictions find four different ways to resolve Basel market risk capital quirk
Why Canada may need to revisit term Corra methodology
Break from US guidance benefits dealers but some futures inputs underpinning term rate are in short supply
Can risk parity ride out the storm of correlated asset chaos?
High interest rates, spiking inflation and correlation breakdowns are testing risk parity strategies
Tall order: why a unified op risk taxonomy is still elusive
Banks vary in how they classify operational risk losses – and regulators are in no rush to change the status quo
Basel’s cherry-picking toughens IRRBB shock scenarios
European banks want higher outlier thresholds to offset higher confidence level in new standard
Taming the systemic risk Hydra: 10 years of mandatory clearing
Regulators, clearers and market participants reflect on a decade of the clearing requirement
Prop traders call for new rules on pre-close briefings
Price swings after private meetings alarm PTFs, but Esma gives regulators no ‘specific guidance’
Bloating CCP default funds. New margin models. Are the two linked?
Dealers grumble that greater guaranty fund payments could undermine the ‘defaulter pays’ principle of clearing
Creditors struggle to stop stressed firms borrowing more
Dropdowns, uptiers and double dips grow in number, and lenders can't prevent them
Holes in the netting: the limits of CME-FICC cross-margin deal
Big margin savings for some, but more needed to ease pressure of UST clearing mandate
Will generative AI crack the code for bank tech teams?
Banks could roll out tools to help translate old – or write new – code within months
Review of 2023: A hard road to a soft landing
Banks and regulators were caught in the crosswinds of the fight against inflation
Climate capital in the balance as EBA rejects green risk weights
European regulator suggests climate change must be factored into existing risk categories
The unknown risk on the flip side of the basis trade
US mutual funds have amassed record notionals in Treasury futures that in some cases exceed their AUM