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Iran sell-off wipes out dispersion profits
Popular indexes down 5% in March, despite low realised correlation; some short bets see gains
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
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
Inflation shock upends Aussie dollar rates flatteners
Hedge funds’ front-end curve trades stopped out as Iran conflict drove RBA terminal rate pricing higher
PBoC reserve ratio cut spurs short-term FX hedging
Removal of 20% forex risk rule drives exporters towards options and onshore forwards
Rising reliance on internal auditors spooks regulators and industry
Risk managers warn US is substituting supervisors with auditors; could compromise independence
What futures and options say about the cost of war
Spot prices reveal major disruption, futures indicate this will pass, options imply ongoing instability
For collateral, can TINA become TIA?
US Treasuries’ dominance as collateral in repo and derivatives is no longer set in stone, argues economist
CME-FICC cross-netting terms fuel clashes
Hedge funds worried by CCP powers to suspend arrangement; clearing members say it’s standard practice
US blows the floors off Basel III
Barr criticises “downward deviations” in US rule; Bowman rejects “blind adherence” to global standards
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
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
Beyond epicycles: models must describe markets, not just fit them
Modelling needs to embrace complexity in volatility patterns, says Jean-Philippe Bouchaud
New LLMs are proving to be surprisingly good quants
Strides in AI’s ability to do maths mean models can plausibly help with research
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
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
