United States
Shell-company registry might not halt US dirty money, say experts
Observers raise questions over verifying beneficial owner info on proposed FinCEN database
CFTC delays rewritten swaps reporting rules after industry plea
Firms still face multiple rounds of compliance to implement UPI and ISO standards
CCPs to review conversion blueprint ahead of SOFR switch
Rising rates vol expected to push US transition to the wire, but process likely to follow previous runs
US funds piled on index hedges ahead of stock selloff
Counterparty Radar: Filings show managers adding more than $5.5 billion of puts in Q3, setting new high
Foreign banks flocked to Treasuries and Fed in Q3
Claims rose at fastest annual pace since early pandemic amid inflation jitters
Autocalls in peril as Netflix breaches downside barriers
Options liquidity keeps hedging panic at bay as some investors double down on volatile tech stocks
All top US banks below Collins floor
None of the eight systemic banks in the country above the threshold for the first time since 2015
Quant Finance Master’s Guide 2022
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
Top US banks released $18.5bn of credit reserves in 2021
JP Morgan reversed over $6bn of PCLs, the most of the group
Led by BofA, US banks doubled distributions in 2021
Stock buybacks and dividends hit $117.7 billion last year
Op risk data: Mouldy money makes big stink for NatWest
Also: Santander plays Santa; JPM in messaging mayhem; ‘Sterling Lads’ cost HSBC a couple of bricks. Data by ORX News
Bitcoin futures ETF loses 9% a year to fees and contango
Cost of rolling futures contracts from one month to another exacerbates ProShares ETF’s losses
Morgan Stanley curbs SA-CCR impact on core ratio
Impact of early implementation far below original estimates thanks to mitigatory action
Bank of America’s VAR drops 19% in Q4
Average one-day trading VAR falls to lowest point since Q1 2020
SA-CCR switch pushes Goldman below Collins floor
Early adoption at the end of 2021 adds $15 billion of RWAs
LSEG beefs up non-cleared ambitions with Quantile deal
Agreement to buy optimisation firm for £274m strengthens LCH’s FX foothold as SA-CCR bites
Wells Fargo RWAs drift apart
Standardised RWAs have increased for three consecutive quarters, putting pressure on the bank’s CET1 capital ratio
Princeton, Baruch and Berkeley top for quant master’s degrees
Eight of 10 leading schools for quantitative finance programmes are based in US, latest rankings show
Citi bolstered CET1 ratio on eve of SA-CCR switch
Standardised RWAs dropped 5% in Q4, boosting the bank’s core ratio by 55bp
Top 10 op risk losses for 2021 hog $15bn total
Despite more fraud and crypto crime, firms’ op risk losses fall in number and in volume. Data by ORX News
Libor’s death propels SOFR swaps market
Trading in the risk-free rate jumped to a weekly high and long-dated swaps activity grew
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Experts urge OCC to include climate risk in bank exams
Regulator’s proposed principles are step in the right direction, but still behind Europe