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Comerica, Frost lead US banks on commodity derivatives concentration
Commodity-linked trades account for one-third of derivatives books at both lenders
YCC, carry trades and the changing role of the yen
Marcello Minenna argues that as the BoJ adjusts its policy regime, changes in carry positioning are increasing the instability of the correlation between exchange rates and yield differentials
EU can handle energy price pressure – it’s been here before
Reforms made after Russia’s invasion of Ukraine have made region more resilient to energy shocks, officials say
From pink tickets to Python: Toby Baker on 40 years in FX
T Rowe Price’s departing FX head reflects on the pain points and keys to success for a modern buy-side trading desk
Limited RWA gains support rethink on Fed output floor
Advanced approaches cut RWAs only marginally across US banks
Franklin Templeton closes $5bn yen options book
Counterparty Radar: Asset manager’s bets on USD/JPY soured as yen weakened through Q4
Hedge funds retreat to sidelines in euro steepeners
Rate hike repricing and stop-losses have gutted positioning in once-dominant 10s30s bet
FRTB models find salvation in US Basel III proposal
Changes to P&L attribution test and NMRFs make IMA viable for US banks, risk managers say
Eight US dealers set to dodge FRTB application
Revised trading-activity thresholds would narrow scope of market risk framework
AOCI reinclusion would strip $49.5bn from US bank capital
Schwab, Ally and Fifth Third face largest CET1 hits under Fed Basel III endgame proposal
PBoC reserve ratio cut spurs short-term FX hedging
Removal of 20% forex risk rule drives exporters towards options and onshore forwards
Inflation shock upends Aussie dollar rates flatteners
Hedge funds’ front-end curve trades stopped out as Iran conflict drove RBA terminal rate pricing higher
Rising reliance on internal auditors spooks regulators and industry
Risk managers warn US is substituting supervisors with auditors; could compromise independence
HSBC, Mizuho, US Bancorp ensnared by endgame CVA rule
Notional-based backstop leaves most banks exempt from capitalising non-cleared trades
What futures and options say about the cost of war
Spot prices reveal major disruption, futures indicate this will pass, options imply ongoing instability
CME-FICC cross-netting terms fuel clashes
Hedge funds worried by CCP powers to suspend arrangement; clearing members say it’s standard practice
For collateral, can TINA become TIA?
US Treasuries’ dominance as collateral in repo and derivatives is no longer set in stone, argues economist
US blows the floors off Basel III
Barr criticises “downward deviations” in US rule; Bowman rejects “blind adherence” to global standards
G-Sib overhaul could trim future capital needs by $45.2bn
Morgan Stanley, Goldman and BNY set to benefit most from Fed Basel III endgame proposal
A Hormuz tipping point may be days away
Agent-based model suggests delays and shortages likely to accelerate after four weeks
Ellington spinout hopes to ease whole-loan investing
Data hurdles have frustrated insurers as they look to increase allocations
SRT deals shelved amid Iran and AI concerns
Simple and risk-reducing deals prioritised as growing fears disrupt synthetic risk-transfer pipeline
Osttra hires four from LSEG as post-trade battle heats up
SwapAgent head Nathan Ondyak returns to Osttra following KKR acquisition
Op risk data: HK gets tough on takeover in $200m takedown
Also: Bank staff steal state funds in India; Vanguard settles US net zero lawsuit. Data by ORX News
Pimco slashes short dollar forwards at year-end
Counterparty Radar: EUR/USD cuts drive $86.5 billion reduction
Ice CDS volumes surge as investors hedge Iran shock
Single-name volumes outpace indexes as investors target specific risks
Basel III endgame – a timeline
A review of Risk.net’s coverage of the US implementation saga
Leaked EU plans offer extra temporary relief for FRTB models
Risk factors would need only two observations to be modellable. Do changes foreshadow US Basel III?
Pimco, PGIM say EU securitisation reform falling short
Proposals that lack ambition will fail to revitalise the region’s market, asset managers argue
New LLMs are proving to be surprisingly good quants
Strides in AI’s ability to do maths mean models can plausibly help with research
Beyond epicycles: models must describe markets, not just fit them
Modelling needs to embrace complexity in volatility patterns, says Jean-Philippe Bouchaud
Oil clearing volumes surge at Ice, CME
Ice Europe nears Brent clearing record midway through March
Iosco chief talks cyber, AI and clearing
Buenaventura discusses Iosco’s role in aiding market resilience and cross-border co-operation
Can AI be the great equaliser in e-FX?
FX market-makers see real benefits for agentic AI in code generation and data analysis
JP Morgan’s former head of FXO trading leaves Balyasny
Ankur Dhingra spent almost three years as a macro portfolio manager at the multi-strat hedge fund
Oil producers hedge rally with Brent shorts
Energy firms hedge oil spike as funds position for further gains
Interest rate crosswinds buffet IRRBB teams
Political intervention and rapid-fire law changes are skewering bank models for forecasting cashflows
FRTB internal models: quo vadis?
Two risk experts explore how to adjust the FRTB framework to promote internal model usage
Methodology change drives Eurex liquidity obligation to record
Limiting offsets to private-sector securities pushes estimated hypothetical obligation up 79%
LSEG’s TradeAgent to challenge swap confirmation monopoly
Post-trade platform aims to extend clearing efficiencies to bilateral markets beyond SwapAgent
US regulators bid to save FRTB IMA, but it’s no small task
Even if industry wish-list is granted, a 2028 start date might be too soon for model adoption
EBRD treasurer Alex van Nederveen retires
Felix Green set to replace 30-year bank veteran later this month
The loneliness of the model risk manager
Boards may see them as a drag on innovation; risk functions need to show they embrace efficiency
Hopes rise for cross-product netting under SA-CCR
Banks want rule change in Basel III endgame to lower capital costs of clearing UST repos
FCMs held record customer funds on eve of Iran war
F&O funds climbed 6% in February as seven brokers set new records
Short dollar bets make cautious return after safe-haven rush
Cautious USD-weakening positions re-emerge despite return of natural ‘dollar smile’ hedge
Ice’s Sprecher: institutional prediction bets ‘a matter of time’
Longer-term vision for ‘niche’ energy event contracts may be aided by recent Polymarket tie-up
A smooth fit for complex volatility surfaces
Quant shows a new way to capture implied vol with optimisers
Long way round: EU banks lament credit spread saga
EBA ditches some of banks’ preferred qualitative reasonings – and shortcuts – for CSRBB exclusion
Iosco chief sees no need for CCPs to hold more capital
CCPs have shown resilience in volatile times without extra skin-in-the-game, says Buenaventura
