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Could the SEC revive the private fund adviser rule?
Industry experts deem a second life for the reviled rule unlikely
HSBC North America breached leverage ratio minimum in latest DFAST
Ratio of UK bank’s US subsidiary ended stress test 20 basis points below regulatory threshold
How a ‘sushi circle’ approach can improve credit risk management
AI can help banks shift from manual corporate loan reviews to continuous, digitised risk monitoring
Risk data
Five battle for euro swaps clearing
Nasdaq aims to be regional hub, while BME seeks broader slice of ‘active accounts’ pie
AI, quantum computing and tokenisation set to transform finance – Menon
But significant barriers remain preventing the technologies from unlocking their full potential
How steepener trades burned hedge funds, and what happened next
Delays to central bank rate cuts torpedo popular trade, causing funds to pull capital – to the chagrin of sell-side desks
BASEL III ENDGAME
Vendors lack silver bullet for FRTB’s fund-linked issue
EU and UK legislators tried to ease capital charge by leaning on vendors, but problems persist
Why FRTB models are on the edge of extinction
With only four banks known to be applying to use internal models for market risk, the fate of advanced modelling looks precarious
US Treasury official calls for SLR relief during market stress
Under Secretary Liang also urges scrutiny of “artificial incentives” for Treasury futures in 40-Act rules
Attention shifts to US, UK after European Union postpones FRTB
Risk Live: Global timeline still unclear, with banks hoping lawmakers will use delay to soften rules
Risk Quantum
Data insights, delivered daily
Risk Quantum tracks thousands of data points across hundreds of metrics from organisations that represent a cross-section of the financial system. Published daily, articles are short and broken into chunks – the facts, the context and a brief commentary – and use data visualisations to get each story across.
HSBC North America breached leverage ratio minimum in latest DFAST
Ratio of UK bank’s US subsidiary ended stress test 20 basis points below regulatory threshold
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
Counterparty Radar is based on position data from around 20,000 US mutual funds and ETFs, rolled up to the manager level – it shows the OTC derivatives they have on their books, and who they traded them with, providing unique insights into an important market segment. More info
Vanguard stages swaptions comeback
Counterparty Radar: Deutsche grew book to $11 billion in Q1 to become largest non-US swaptions dealer to mutual funds
CREDIT RISK
House of cards? The $3 trillion (non-systemic) real estate risk
Regional banks share the bulk of US commercial real estate exposure, but the sector’s downturn doesn’t faze them
More data urged for effective counterparty credit risk management
Disclosure of client positions may not be commercially realistic, expert warns
Banks look to offload ‘orphan’ hedge risk
Bespoke CDSs shift private credit borrowers’ derivatives default exposures back to the buy side
Capital rules explain leverage craving in US bank risk transfers
Tougher requirements have led to conservative structuring and lower coupons
Dealer rankings 2024
Risk.net’s Dealer Rankings describe the sell-side hierarchy in 10 OTC derivatives markets using data from quarterly US mutual fund, ETF and life insurer disclosures – see which banks are active in each instrument, the size of their books and whether they are growing.
Equity derivatives
OCC readies new intraday margin requirement
Draft measure would cover all options positions including 0DTEs
The coming AI revolution in QIS
The first machine learning-based equity indexes launched in 2019. They are finally gaining traction with investors
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
Form an orderly QIS: hedge funds spur quant products to new heights
Rise of multi-strategy vehicles triggers demand for indexes once seen as competitors
Op risk benchmarking
Our new research service compares op risk practices at financial institutions – from staffing to AI safeguards, key controls to board reporting packs.
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