Risk magazine - Sept 2025
Cover detail:
Samuel Deacon, Dream Weavers
www.anne-mariebainbridge.co.uk
am.b@btopenworld.com
Articles in this issue
Eurex plans October launch for QIS futures
Long-only European equity strategies will be first out of the gate, with more to come
Swaps or futures? Clearers grapple with CME’s event contracts
New prediction contracts straddle the line between futures and swaps, Risk.net understands
CME mystery FCM’s purpose revealed
F&O Financial revealed as non-clearing broker for new event contracts venture with FanDuel
Ice’s VAR migration reignites debate on margin levels
CCP says IRM 2 is more sensitive to portfolio risk, but banks fear increased risk to clearing members
Accounting fix brings FICC agent clearing a step closer
SEC accepts Sifma interpretation, but firms still need their own opinion and capital clarity
Court ruling challenges ‘fiduciary’ role for pre-hedging
Lawyers suggest overturning of Mark Johnson’s conviction questions dealer-client fiduciary relationship
EU securitisation rethink to boost mortgage-bearing SRTs?
Insurer participation and a lower risk weight could help make capital savings attractive to banks
People: Nomura’s rates rebuild continues, DB USA’s new CEO, and more
Latest job changes across the industry
US Treasury clearing success depends on competition and choice
The origins of the forthcoming clearing mandate for US Treasury securities and details of the ICE clearing platform scheduled to launch by end of year
Some European banks still failing net interest income test
Swedbank joins seven other outliers after it updates methodology assumptions
Dora delay leaves EU banks fighting for their audit rights
Regulation requires firms to expand scrutiny of critical vendors that haven’t yet been identified
Future proof: can FMX-LCH platform prevail?
A year into FMX Futures Exchange, Treasury futures volumes are low, and firms aren’t cross-margining
EU banks fear tumbling rates will upset their IRRBB balance
As rates decline, hedging two separate tests of vulnerability becomes more difficult
Untangling corporate actions data complexity
LSEG is developing AI capabilities and leveraging expert validation to bring structure and speed to corporate actions data
How FX pricing is adapting to Trumpian markets
Dealers are tying pricing engines to new signals in effort to cope with out-of-the-blue moves
Is 2027 the new 24-hour trading target?
Slew of technical issues and dearth of SEC staff compound exchanges’ reluctance for round-the-clock equity trading
Has US dollar hedging hype faded?
While the initial wave of real money USD hedging flows disappointed some dealers, many believe there is more to come
Rumblings over UK review of ‘bad apples’ regime
Plans to reform Senior Managers and Certification Regime raise concerns over backsliding on conduct in financial industry
DFAST fashion: emerging trends from 12 years of US stress tests
The banks that breach buffers, the assets that perform best under stress, and other insights from Dodd-Frank Act stress-testing exercises
The investors who aren’t fretting over Trump’s stat sulk
Some see dismissal of statistics agency chief as an assault on US institutional integrity; for others it offers a chance to throw off outdated methods
Reporting overhaul: the EU’s near-impossible balancing act
Regulators must weigh their desire to streamline derivatives reporting against the need to gather crucial trade data
Turning climate risk into strategy: predictive data for resilient portfolios
Predictive analytics, shifting fiduciary duty and resilient strategies are reshaping portfolios
US Basel III endgame: a credit risk calibration conundrum
If regulators want to finalise the rules, they should strip out gold plate and cancel a haircut
When AI models malfunction, address the problem not the math
Governance of artificial intelligence models should focus on actionable outcomes rather than interpretability, argues former chief regulator
Why flows now rival fundamentals
Geography and market sentiment are having profound impacts on price action, says LMAX’s head of FX data
Global CCPs suffer record IM breaches in tariff-hit Q2
JSCC leads surge ahead of Eurex, CDCC, OCC and LCH
BNPP, Deutsche among EU banks hit by VAR breaches in April
Sharpest rise in backtesting exceptions since 2022 Ukraine war shock largely linked to tariff chaos
JPM piles into Treasuries with record $72bn AFS surge
Portfolio reshaped with shift to medium-term maturities as Q2 glut boosts holdings to all-time high
US MMFs clear record 37% of repos through FICC
Trades executed via sponsored model reach $1.1 trillion in July
Tariff volatility triggers record margin calls at global CCPs
Aggregate average VM call in Q2 eclipsed pandemic highs
Lightening the RWA load in securitisations
Credit Agricole quants propose new method for achieving capital neutrality
Capital-neutral securitisation risk weights
A closed-form formula to allocate capital to the tranches of a securitisation is presented
Skewing the correlation in local and stochastic volatility frameworks via copulas
A copula-based model to capture correlation skew in multi-asset derivatives is presented
