GARP
JP Morgan is testing quantum deep hedging
Researchers say timeline has shortened for use of models in production
Revealed: where banks are (literally) warehousing their swaps
As derivatives notional grows, dealers experiment with novel storage solutions
SVB opens floodgates on liquidity buffers debate
European regulator says HQLAs should be booked at fair value, but not everyone agrees
Top 10 operational risks: Focus on regulatory risk
Tougher regulatory enforcement, new consumer rules and rise of ESG are ringing alarm bells
Eurex-LCH basis hits new highs amid rates vol
10-year price gap spikes to 4bp as 30-year whipsaws; Eurex gauge indicates stable flow balance
Hacked off: banks demand answers after Ion cyber attack
Clients left in the dark about ransomware attack that disrupted futures trading last month
How Finma milked Credit Suisse’s CoCos in UBS deal
Unusual clause in Swiss AT1 bonds allowed them to be written off; could others follow suit?
EU banks need ‘billions’ in hedges to pass new NII test
Declines in net interest income can be hedged, but the markets may struggle to handle the demand
Missing Basel metric could have revealed SVB risks
US regulators did not implement economic value of equity test that SVB failed badly in 2021
Is Euribor on borrowed time, or here for the duration?
As €STR gains traction, traders are still hedging their bets on a euro benchmark transition
Strict term SOFR trading rules ‘permanent’, says Fed’s Bowman
Official says restrictions on use of term SOFR swaps “should not be expected to change”
Top 10 operational risks for 2023
The biggest op risks for the year ahead, as chosen by senior industry practitioners
Term SOFR trading ban remains as easing talks collapse
Fed working group resolute on interdealer trading restrictions despite looming capacity crunch
Top 10 op risks 2023: regulatory risk jumps sharply
Cyber and third-party risks also rise, along with concerns around data management and execution errors
MTS and WeMatch combine to launch euro swap MTF
New venue to start as interdealer but will soon take on Tradeweb in the dealer-to-client market
US insurance regulators move to kill CLO arbitrage
Capital charges on collateralised loan obligations will be model-based after 2024
Why risk managers don’t trust the EU’s new IRRBB test
And why there may never be a perfect way of assessing the risks of changes in net interest income
Time running out for UK pension clearing exemption
UK Treasury still silent on pension fund carve-out despite current reprieve expiring in four months
Risk.net’s top 10 investment risks for 2023
Geopolitical frictions, sticky inflation and a hard landing are among the hazards cited by investors
Pension funds may sue managers ‘for making hedging a liability’
Finger of blame for LDI crisis is also being pointed at fiduciaries and even the schemes themselves
NY Fed paper warns of systemic risks from SOFR credit lines
Stress tests need to account for credit facilities being “drawn to the limit”, says Stanford’s Duffie
EC stuns corporates by scrapping Emir swaps exemption
Industry confused as to why intragroup reporting obligation needs resurrecting
Ion: after the hack, the clean-up
Some clients now using Ion systems again, but synchronising data with CCPs could take days
Alameda’s mystery bank stake reignites Fed deposit debate
Crypto challenger Custodia accuses regulator of unlevel playing field over master accounts