GARP
Why tougher liquidity rules may not reduce the risk of bank runs
EU regulator and industry experts say LCR reform is the wrong response to Credit Suisse and SVB
Banks find new uses for discarded FRTB models
Much-maligned IMA models are being upcycled and repurposed for internal risk management
ARRC relaxes limits on trading term SOFR derivatives
Updated usage guidelines allow hedge funds and fixed rate issuers to hedge with forward rate
Crypto custody faces regulatory death-roll
New measures to safeguard digital assets threaten to squeeze the life out of custody business, insiders fear
CVA desks avoided re-hedging as Credit Suisse teetered
As credit spreads blew out, dealers opted not to adjust rates and FX risks
Banks look back in anger as FRTB revives 1990s risk test
Institutions bemoan need for parallel framework to measure portfolios’ sensitivities to market moves
How Man Numeric found SVB red flags in credit data
Network analysis helps quant shop spot concentration and contagion risks
US falls behind in race to match Europe’s FRTB launch date
Recent US bank failures could jeopardise planned January 2025 start date for Basel III
SEC securitisation rule could hamper interest rate hedging
ABS participants say breadth of resurrected 2011 proposal creates compliance minefield
JP Morgan is testing quantum deep hedging
Researchers say timeline has shortened for use of models in production
Revealed: where banks are (literally) warehousing their swaps
As derivatives notional grows, dealers experiment with novel storage solutions
SVB opens floodgates on liquidity buffers debate
European regulator says HQLAs should be booked at fair value, but not everyone agrees
Top 10 operational risks: Focus on regulatory risk
Tougher regulatory enforcement, new consumer rules and rise of ESG are ringing alarm bells
Eurex-LCH basis hits new highs amid rates vol
10-year price gap spikes to 4bp as 30-year whipsaws; Eurex gauge indicates stable flow balance
Hacked off: banks demand answers after Ion cyber attack
Clients left in the dark about ransomware attack that disrupted futures trading last month
How Finma milked Credit Suisse’s CoCos in UBS deal
Unusual clause in Swiss AT1 bonds allowed them to be written off; could others follow suit?
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
Missing Basel metric could have revealed SVB risks
US regulators did not implement economic value of equity test that SVB failed badly in 2021
Is Euribor on borrowed time, or here for the duration?
As €STR gains traction, traders are still hedging their bets on a euro benchmark transition
Strict term SOFR trading rules ‘permanent’, says Fed’s Bowman
Official says restrictions on use of term SOFR swaps “should not be expected to change”
Top 10 operational risks for 2023
The biggest op risks for the year ahead, as chosen by senior industry practitioners
Term SOFR trading ban remains as easing talks collapse
Fed working group resolute on interdealer trading restrictions despite looming capacity crunch
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
MTS and WeMatch combine to launch euro swap MTF
New venue to start as interdealer but will soon take on Tradeweb in the dealer-to-client market