Latest Risk Management
Hard concentration: clearing members want clarity from CCPs
FCMs complain they struggle to pass opaque margin calculations through to end-clients
Buy side still prefers bilateral repo despite LCH margin update
New model will cut margin faster after stresses abate, but costs still high for directional trades
Margin failings raise concern over Treasury basis trade
Opaque models at clearing houses cast doubt on calculations for concentration add-on
FRTB managers face hard facts about risk factors
There are ways to reduce the capital charges caused by NMRFs, but they come at a price
New UK clearing rules: same as the old rules?
Clearing experts doubt UK regulation can diverge significantly from Emir and global standards
Roll up for the BoE’s counterparty mystery tour
Letter warns of cross-currency repo risks, but they didn’t feature in Archegos or LDI blow-ups
Op risk benchmarking
Op Risk Benchmarking, round II: helping lenders borrow
From KRIs to four-eye checks, how do op risk frameworks at regional and domestic banks stack up?
Up to their necks in it: banks wrestle with change management
Op Risk Benchmarking: Banks recognise risks in transformation, but struggle to measure them
Maximum insecurity: banks tool up to meet cyber threat
Op Risk Benchmarking: Lenders confront “existential” threat of data leaks with bigger teams and better controls
Execution & process errors: banks try to get beyond blunderdome
Op Risk Benchmarking: Mistakes mean more data for reporting, models and scenarios. But do banks learn from them?
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Citi propels G-Sibs’ OTC derivatives notionals to nine-year high
Bank leapfrogged Goldman as fourth-largest derivatives dealer after 20% jump over 2022
Central clearing
Nickel odium: critics pan BoE role in LME meltdown
Last year’s nickel fiasco calls into question effectiveness of UK supervisory model – and of central bank’s part
CME’s Span 2 margin model generates systems headaches
Market participants welcome smarter margin requirements, but not the computational workload
Can CCPs provide a port in a storm for securities lending?
Basel III, T+1 and EquiLend scandal all incentivise clearing, but also disintermediation
Eurex repo haircutting to move to Prisma futures model
Switch will open cross-margining opportunities between repo and futures
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
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