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Pre-market trades blamed for record Vix surge
Traders rushed to cover short vol positions before the market opened on August 5
NAIC wants more disclosure about use of offshore reinsurance
US watchdog seeks improved data around deals some say allow insurers to game capital rules
Fed hikes stress capital buffers for 18 US banks
Nine dealers face record-high SCBs as poor performance in latest DFAST weighs on capital requirements
Risk data
Triggers of August market ‘flare-up’ still in place, BIS warns
Leveraged positions remain at risk of sudden unwinding, as margin calls play amplifying role
Thames Water: a handy guide for worried counterparties
The UK’s largest water company – now junk-rated – has £1.3bn in swaps liabilities. Dealers ought to be safe, but face a host of headaches and questions
Banks fret over vendor contracts as Dora deadline looms
Thousands of vendor contracts will need repapering to comply with EU’s new digital resilience rules
BASEL III ENDGAME
EU banks lose relief on model test after FRTB delay
Deferment of new trading book regime to January 2025 eats into transition period for “erratic” P&L attribution test
Sunday night football and the Basel III endgame
Big banks, political advocates and housing organisations are unlikely allies in race to dropkick new capital regime
Some EU banks wanted option to start FRTB on time
Representatives of member states raised possibility with European Commission at July meeting discussing the delay
Study finds just 10 banks plan to apply for FRTB models
Research provides extra insight on reasons for decline in internal models
Risk Quantum
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Fed hikes stress capital buffers for 18 US banks
Nine dealers face record-high SCBs as poor performance in latest DFAST weighs on capital requirements
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
HSBC loses FX forwards market share with EU funds
Counterparty Radar: UK bank reported 6% drop in notional volumes with Ucits funds in H2 last year
Global market sell-off
Dealers bruised by surprise renminbi vol surge
Rush to re-hedge USD/CNH exotics left banks in grip of painful short gamma squeeze
After the selloff, competing theories on dealer gamma
Tier1 Alpha sees $74 billion short gamma catalyst; SG says rapid return to positive territory had calming effect
Margin calls jumped threefold as global markets sold off
FCMs claim no client defaults, but episode revives complaints of procyclical margining
Traders flipped long yen vol ahead of market rout
Hedge funds and real money bought long yen volatility in the run-up to Monday’s turmoil
Bankers hope EBA op risk taxonomy will go global
Proposed update to 20-year-old risk map is welcomed, but international co-ordination urged
Insurance
Long shadow of Apollo looms over turmoil at Athora
Risk.net investigation reveals troubling picture of US asset manager’s European insurance project
Insurance double-hatters like Apollo can expect more scrutiny
Regulators are homing in on conflicts of interests at private-equity-owned insurers
Athora CFO exit caps management overhaul
Entire management team at Apollo’s European insurance affiliate has been replaced since 2022
Chicago Fed research points to systemic risk from private credit
Life insurers that have tripled exposures could face a liquidity squeeze, say economists
Op risk benchmarking
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