News/Risk management
FX market weighs viability of spot clearing
Supporters believe it could remove credit risks, but others say it would be unnecessary and add costs
LSEG to launch clearing for equity swaps
Turquoise, LCH tie-up comes as equity swaps attract regulatory scrutiny in wake of Archegos
Ice to accept EUAs as collateral
Emissions certificates accepted to offset short EUA futures positions, subject to 14-day comment period
SOFR swap basis could pose ‘systemic risk’
Trading curbs must be loosened to prevent tripling of unhedgeable basis risk, says senior banker
ECL model forecasts are off-target, researchers find
Anticipated slowdown will be first major test for new generation of expected credit loss models
Banks face capital hit on broader energy market collateral
Non-standard clearing house margin for energy trades would increase RWAs unless relief granted
Bypassing consent may aid CCP porting – report
CPMI-Iosco report says clearing houses cannot reasonably accommodate client preference; brokers favour rule book harmony
Esma to meet with clearing industry over EU energy crisis
Widening eligible collateral on table; ECB intervention would need government indemnities
Margin costs leap on Simm rejig and rates hikes
Acadia finds roughly one-third jump in exposure following Simm recalibration, with higher funding costs adding to burden
Banks relieved as EBA punts on dual-track stress tests
Hybrid approach for 2023 will see top-down models used to project net fee and commission income only
Uncertainty over ECB’s TPI muddies monetary and fiscal impact
Analysts say anti-fragmentation tool exposes long-standing flaws in EU fiscal framework
Esma warns new foreign clearing house rules could backfire
Löber says euro swaps trading may move away from CCPs that face toughest EU scrutiny
Using correlation to model op risk losses may be unsafe – study
Techniques for linking economic factors and bank losses produce varying – and sometimes contradictory – results
Geopolitical risk models not ‘rigorous’ enough, says quant
Joseph Simonian believes game theory and reinforcement learning could improve matters
FCMs brace for ‘tough winter’ of energy market disruption
Banks stress-test clients, add big margin multipliers to insulate against risk of 100% price moves
Banks may spend ‘billions’ to stop quantum hacking threat
Quantum-proof algo standards nearing completion, but enhanced cryptography won’t come cheap
Concentration risk add-ons too low at Ice and ECC, says regulator
Results of European stress test suggest shortfall of collateral for large commodities positions is equivalent to 17% of total required margin
Major lender hikes borrowing costs as crypto flounders
Brokers warn crypto market faces a reckoning with wrong-way risk as lenders rush to tighten terms
DRW calls for regulation of fiat-backed stablecoins
Regulatory intervention would shore up confidence in flagging market, says major market-maker
Ex-Deutsche CRO: banks face hundreds of billions in climate fines
Banks risk becoming a “whipping dog” in the fight against climate change, says departing risk chief
Don’t just reach for the ’70s inflation playbook – CROs
Lack of inflation experience on risk teams not a concern, buy-siders say
ORX to launch controls benchmarking service
App will be delivered via start-up tech platform led by former HSBC op risk chief
BoE: regulators could push CCPs to publish margin shocks
Russia-Ukraine war has forced a tenfold margin funding burden, says BNP; Ice says smaller hedgers face disenfranchisement
Exchange execs clash over LME nickel closure
Ice’s Williams says circuit breakers could have averted shutdown, but LME’s Combe defends ‘tough decision’