Latest
Ardagh review sparks CDS warnings
Lawyers warn a panel’s decision on the company’s restructuring will have wider implications
CCPs trade blows over EU’s new open access push
Cboe Clear wants more interoperability; Euronext says ‘not with us’
JP Morgan attracts bigger add-on from Fed’s G-Sib scoring
Methodological divergence with Basel Committee results in double the surcharge
Squashing CVA still dominates XVA desks’ priorities
Dealers favour options-based strategies to manage charges; some explore contingent CDSs amid rising exposures
US G-Sibs diverge on cashflow volatility
Maturity mismatch add-on hits peak at two banks and trough at two others
Quantcast Master’s Series: Kihun Nam, Monash University
Melbourne-based programme winks at pension fund sector
All that glisters: precious metal volumes surge on FX venues
Gold and silver liquidity on foreign exchange trading platforms improves as more dealers link precious metals with e-FX
Who is Selig? CFTC pick is smart and social, but some say too green
Colleagues praise crypto smarts and collegial style, but views on prediction markets and funding trouble Senate
MAS official flags risks in Asia’s path to T+1 settlement
Regulator says region faces “unique challenges” in establishing a shorter settlement cycle
EU single portal faces battle to unify cyber incident reporting
Digital omnibus package accused of lacking ambition to truly streamline notification requirements
XVA desks prioritise core tech upgrades over AI
Vendor upgrades, cloud-native rebuilds and sensitivities tooling dominate 2026 budget road maps
Bank of America leaps to fourth on global OTC derivatives ranking
Bank overtakes BNP Paribas, Morgan Stanley, Goldman and Citi with €8.3 trillion expansion in 2024
Basel Committee members ‘buying time’ before fixing FRTB mess
Despite inconsistencies today, regulators maintain they want to align global regime eventually
Nomura shuffles risk methodology team
Epperlein takes advisory role six months after Japanese bank’s FRTB IMA go-live
How window-dressing distorts US repo markets
Banks crush their repo balances periodically to massage systemic indicators, with far-reaching consequences for borrowing rates
All 14 G-Sib indicators hit records in 2024
Aggregate measures of systemic importance for top banks jumped to new highs, driven by sharp rises in underwriting activity and securities trading volumes
How Basel III endgame will reshape banks’ business mix
B3E will affect portfolio focus and client strategy, says capital risk strategist
Derivatives industry blasts EU reporting framework
Complaints about duplicate and ambiguous trade reporting requirements aired at Esma’s Data Day
CME futures outage caused FX spot pricing problems
At least one non-bank was forced to pull prices, and NDFs also affected
Chicago data centre outage forced clearers to turn away clients
Friday’s cooling system failure highlights cracks in tech and concentration risk of big CCPs
Morgan Stanley set for biggest reset under softened eSLR
Bank’s leverage utilisation to fall from over 90% to 64% under new buffer
LCH goes live with agency model for client clearing
English law version of FCM-style European trust model approved, as Eurex lags behind
Andy Ross leaves StanChart
CurveGlobal veteran confirms his departure as bank’s global head of prime brokerage
US banks hoping for end of DFAST global market shock
As Fed consults on stress-test reform, lobby group argues regulator is double-counting market risk
Credit default swaps break through fourth wall
Fourth-trigger CDS trading ramps up as more protection sellers enter field
BofA and ICBC lose, Deutsche wins in latest G-Sib audit
Latest assessment of systemic lenders brings capital relief to German giant
Why source code access is critical to Dora compliance
As Dora takes hold in EU, access to source code is increasingly essential, says Adaptive’s Kevin Covington
People moves: BofA’s new markets heads, Barclays takes SG’s Mastrangelo, and more
Latest job changes across the industry
FCM capital buffers drop below pandemic nadir
HSBC Securities, RBC Capital Markets set record lows for surplus over requirements
Quantcast Master’s Series: Petter Kolm, Courant Institute
The NYU programme is taught almost exclusively by elite financial industry practitioners
Growth in China snowball lookalikes sparks questions
New products include tweaks to sidestep restrictions, but some believe they don’t go far enough
CVA capital charges – the gorilla in the mist
The behaviour of CVA risk weights at US banks in 2020 hints at the impact of the Basel III endgame
Traders prepare for EU energy rules despite political risk
Exporter pressure on LNG supplies is threatening Europe’s regulatory push, leaving markets uncertain
Record $95bn in equities sits with US banks as OTC margin
Stocks on par with US Treasuries in top dealers’ collateral trove
Hedge funds cut BoJ bets after torrid year in yen rates
Dealers see lighter positioning after shock October election saw more than $300m of losses, compounding April’s pain
Want to be a quant? Here’s how (and how not) to get hired
Stay curious, be a team player, speak well – and don’t be big-headed
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
Capital One’s LCR strengthens post-Discover acquisition
Projected retail outflows rise one-third after card-business deal, but liquidity buffers hold up
Opaque NCCBR market twice as big as regulators expected
Transaction-level data reveals $5trn in non-centrally cleared bilateral repo, raising transparency and risk concerns
Inside Safran’s $54bn FX options book
French aircraft parts supplier emerges as key exotics player
Compression eases capital, risk bottlenecks amid CNH swap boom
Dealers say multilateral compression for yuan cross-currency swaps can increase trading capacity
ICBC’s equity fund RWAs surged fivefold in Q3
Less risk-sensitive mandate-based approach drives Chinese bank’s spike to record high
XVA desks target capital in optimisation runs
US regulatory uncertainty leaves banks cautious on investing in new optimisation tools, Risk Benchmarking study finds
Quantcast Master’s Series: Laura Ballotta, Bayes Business School
The business school prioritises the teaching of applicable knowledge with a keen eye on the real world
EU’s FRTB multiplier risks picking winners and losers
Attempts to find capital-neutral way to implement new rules might create unlevel playing field
Fed’s new LFI regime most lenient since 2020
Revised rating system could cut not-well-managed share to its lowest since framework’s introduction
Almost two-thirds of banks now run XVAs on cloud
Risk Benchmarking study finds a majority of big dealers tapping cloud capacity, some exclusively, with others migrating
NatWest retunes options tool to create, not hedge
Auto-hedging algo replicates non-linear exposures in spot for clients that can’t trade options
The importance of modelling futures dynamics in commodity index derivatives
Index-based and underlying-based pricing methods for commodity derivatives are presented
US G-Sibs rediscover appetite for less-liquid HQLAs
Aggregate eligible Level 2A assets rise to $110bn while median LCR falls to record low
