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FX options’ MDP migration
Volumes on multi-dealer platforms are climbing, but dealers warn pricing may not be optimal
Banks cry foul over shock decision from Basel Committee
Asset and liability management professionals question severity of criteria in revised IRRBB tests
Discord deepens over fund-linked trades in FRTB
More banks use punitive approach to capital treatment under new trading book regime, irking regulators
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
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
US banks seek to open vendors’ black box on green data
Inaugural Fed climate scenario analysis flags lack of transparency around third-party models
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
Keys to the kingdom: FX dealers open doors to passive trades
Banks provide entry to internal exchanges and principal trading desks
Model teams fear budget cuts as FRTB wipeout looms
Senior modellers think supervisory intervention is needed to prevent funding drought
The coming AI revolution in QIS
The first machine learning-based equity indexes launched in 2019. They are finally gaining traction with investors
Shocks to the system: how Basel IRRBB update affects new EU test
Disclosures suggest more banks will be classified as outliers on net interest income assessment
Drilling for default: dry run gives CCPs a Lehman-like lesson
Member default simulation finds standardisation and porting could help in a crisis, and moots unscheduled repeat drill
Breaking with Behnam: inside the dysfunction at the CFTC
Policy and personality clashes have left the chairman isolated and slowed rulemaking activity to a crawl
The (slow) road to capital-backed investing for pensions
Partnerships with hedge funds and private equity firms promise a quicker route to funded status. So why have deals stalled?
Continued decline of the one-stop shop
Dealer Rankings 2024: Only two banks make the top 10 across all rankings tables – others have focused on vertical dominance
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
Often fluid. Not always liquid
Dealer Rankings 2024: On the buy side and the sell side, the make-up and depth of OTC mini-markets can change rapidly
As risk of US Basel delay grows, Europe is in a bind over CVA
European Commission may postpone FRTB, but it’s hard to separate surgically from rest of framework
The squeezing middle: data shows Europeans taking on US foes
Dealer Rankings 2024: Barclays, BNP Paribas and Deutsche grab bigger share of the pie
Caveat creator: GenAI giants’ pledges won’t pre-empt copyright suits
Tech vendors offer indemnities on generative output, but end-users need to check the fine print, warn IP lawyers
Basel triggers new tussle on anti-Archegos rules
Critics argue new guidelines on counterparty credit risk are either unworkable, or don’t go far enough to tackle concentration and wrong-way risk
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
Basel III endgame: why moving fast might prove better for banks
Republicans are pushing for reproposal, but a rapid finalisation may prove less far-reaching
Clear warning on escape hatch for optimisation trades
CCPs fear Emir clearing mandate carve-out for portfolio rebalancing could be abused