Feature
Basel’s cherry-picking toughens IRRBB shock scenarios
European banks want higher outlier thresholds to offset higher confidence level in new standard
Taming the systemic risk Hydra: 10 years of mandatory clearing
Regulators, clearers and market participants reflect on a decade of the clearing requirement
Prop traders call for new rules on pre-close briefings
Price swings after private meetings alarm PTFs, but Esma gives regulators no ‘specific guidance’
Bloating CCP default funds. New margin models. Are the two linked?
Dealers grumble that greater guaranty fund payments could undermine the ‘defaulter pays’ principle of clearing
Creditors struggle to stop stressed firms borrowing more
Dropdowns, uptiers and double dips grow in number, and lenders can't prevent them
Holes in the netting: the limits of CME-FICC cross-margin deal
Big margin savings for some, but more needed to ease pressure of UST clearing mandate
Will generative AI crack the code for bank tech teams?
Banks could roll out tools to help translate old – or write new – code within months
Review of 2023: A hard road to a soft landing
Banks and regulators were caught in the crosswinds of the fight against inflation
Climate capital in the balance as EBA rejects green risk weights
European regulator suggests climate change must be factored into existing risk categories
The unknown risk on the flip side of the basis trade
US mutual funds have amassed record notionals in Treasury futures that in some cases exceed their AUM
UK tiptoes away from Europe on bank CDS transparency
Only a small number of instruments are affected, but some worry it will distort competition
Banxico waiver prompts rethink on benchmark transition plans
Dealers weigh basis risk against longer-dated swap hedges as CME consults on new conversion plan
Can CRE credit risk models cope with hybrid working?
As US office use changes, modellers deploy judgement overlays and alternative data to keep up
Blow-out on ‘dim sum’ bonds fuels boom in offshore rates options
Swaptions on USD/CNH swaps enjoy boost as investors adopt ‘all-you-can-eat’ approach to callables
Clearing members combing rule books after LME lawsuit win
Industry debates whether other CCPs and exchanges would cancel trades if faced with similar crisis
Hard concentration: clearing members want clarity from CCPs
FCMs complain they struggle to pass opaque margin calculations through to end-clients
Three’s a crowd? Eurex and Ice battle CME for €STR trading
Chasing exchanges represent 75% of trading volume, 28% of open interest in first weeks of push
How corporates are tooling up for FX risk
Unstable markets have forced corporate treasurers to adopt whizzier methods for managing currency exposures
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
Industry unsure of SEC’s new short-selling transparency rule
Requirement aims to provide sufficient transparency while protecting traders from a GameStop-style backlash
How US insurers went to war over CLOs
Mutuals and private equity-backed rivals clash over determination of capital charges
Party’s over as more banks drop internal models for market risk
At least three systemic banks in Europe intend to ditch IMA for capital requirements
Quantum computing: a problem for another generation?
Some banks have soured on quantum exploration. Others are playing a game of wait and see.
Filling the gaps in Basel’s interest rate risk measures
Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage