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CFTC aims to clarify murky futures extraterritoriality rules
Acting chair Pham says she wants to fix confusion created by last year’s Falcon Labs order
Op risk data: Crypto hack bites Bybit; fat-finger flurry at Citi
Also: OKX gets AML scold, UK motor finance fiasco revs up. Data by ORX News
Quants should take care with synthetic data – Lehalle
Synthetic data creates an illusion of certainty and risks messing up portfolio construction, says quant
German emissions traders swell ECC membership
CCP’s bid for transparency leads to 165-member increase
PTFs clash with banks over ‘done-away’ US Treasury clearing
Trading firms losing patience with banks’ reluctance to unbundle trading and execution
SLR relief for Treasuries would lift median bank’s ratio by 57bp
Charles Schwab and Goldman Sachs set for biggest boost if Covid-era relief returns
Does FX Spot+ add up for traders?
New CME venue aims to provide easier access to FX futures liquidity, but some worry about its stability in choppy markets
High CNH rates curb appetite for Hong Kong’s new repo scheme
Dealers remain hopeful initiative is a prelude to full onshore repo market access
CFTC aims to settle enforcement cases within 30 days
Remediation initiative accompanies new effort to slash penalties for technical violations
CME-FICC cross-margin programme sees increased demand
Joint arrangement aids netting, reduces clearing costs and increases capacity
JP Morgan QIS notionals hit $100bn
Dealer sees 15% annual growth in ‘imperfect’ notional measure, eyes rates and FX for next phase
US banks tiptoe back to least liquid assets for HQLAs
Goldman and Wells Fargo drive rebound on Level 2A holdings after two-year retreat
Gilt repo clearing mandate on Bank of England’s radar
Sources say regulator mulling benefits of US-inspired regime, but is non-committal
Can Europe prepare ground for insurers in securitised products?
Convincing regulators to make investing more viable would be a first step to revitalising insurer interest
Iosco chief defends margin transparency standards
More reporting will improve financial system’s resilience, argues Rodrigo Buenaventura
Short-term Trump FX trades ‘dead’ as euro rallies
EUR/USD spot rally and vol spike sees mass unwinds of long USD trades
Credit loss database reveals holes in Basel’s IRB formula
Researcher has used two decades of data to propose improved internal model methodology
‘Trump slump’ hedges rise on rate cut fears
One dealer notes fivefold increase in number of clients hedging against possibility of faster rate cuts
Credit fears drive US banks’ IRC requirements to 2022 highs
JP Morgan, BofA lead with triple-digit surge in Q4
Disappearing dealer gamma spurs wild stock swings
Stock market selloff leaves dealers perilously close to peak short gamma positioning
German defence announcement hits steepener trades
Rapid euro curve flattening following Merz’s comments last week caught out a number of hedge funds, say dealers
Citi sees sevenfold spike in derivs exposure cash outflows amid data upgrade
FX data enhancement triggers record-breaking projected cashflows, but net position remains largely unchanged
Tech firm OneChronos to offer ‘bundled’ equity-FX trading
New auction algorithms will optimise multi-leg trades; FX roll-out due in second quarter
SRT markets kick US banks’ caution to the kerb
Market for capital relief trades continues apace despite US banks’ reluctance to offer leverage
US banks record spike in trading loss-making days in Q4
UBS Americas and Stifel lead banks in worst trading quarter of 2024
Hedge funds flock to US swap spreads on SLR easing talk
‘Trade of the year’ sees investors position for shrinking negative basis as Treasuries predicted to outperform swaps
Delving into the European Commission’s proposed overhaul of FRTB
Raft of potential changes would benefit both IMA and SA banks – but only temporarily
Podcast: Lyudmil Zyapkov on the relativity of volatility
BofA quant’s new volatility model combines gamma processes and fractional Brownian motion
China programme trading rules to buoy futures market
Futures firms could adjust strategies to avoid HFT classification under new framework
Positive M&A outlook could boost deal contingent hedges
Traders predict hedging activity linked to deal completions will take off this year
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched
Impaired loans surge at Canadian banks
RBC leads increase with soured C$1.5bn utility loan
QIS 3.0 ‘bonanza’: hedge funds pivot from options to swaps
Pod-level scramble for max-loss exposure gives way to central risk books seeking overlays
Why the survival of internal models is vital for financial stability
Risk quants say stampede to standardised approaches heightens herding and systemic risks
Capital One, UBS Americas drive SVAR window adjustments in 2024
Bank duo responsible for over half of all lookback period changes across US banks
Clearing members welcome LME default fund cap
But 2022 nickel crisis still makes hedge funds doubt banks would foot the bill for default at all
Shaking things up: geopolitics and the euro credit risk measure
Gravitational model offers novel way of assessing national and regional risks in new world order
Eurex squashes butterflies with Stir incentives
Rebate caps on low-risk strategies flatten mid-curve bulge in €STR contracts
Norinchukin’s repo retreat brings SFT exposures to four-year low
Japanese bank slashes gross SFT assets 54% in Q4, accelerating pullback from repo market to bolster capital
Crypto custody a bit(coin) closer after US accounting U-turn
Federal banking supervisors expected to eventually relax regimes for safeguarding digital assets
US dealers tally most VAR breaches since mid-2023
Market turmoil in Q4 blindsides models at systemic and regional banks alike
Japan’s regulator stands firm behind Basel as peers buckle
Japanese banks fear being at a disadvantage to rivals as Basel III implementation falters
EU racing to comply with active account rules
Industry wants simpler route to exemptions ahead of ‘challenging’ deadline for new clearing regime
Banks urged to track vendor AI use, before it’s too late
Veteran third-party risk manager says contract terms and exit plans are crucial safeguards
The relativity of the fractional Gamma Clock
Bank of America quant expands his Gamma Clock model with a fractional Brownian motion
People: Shake-up at Goldman, new op risk posts, and more
Latest job changes across the industry
Japan Post Bank’s liquid deposits reach largest ever share
A decade since its privatisation, the bank has seen a shift in its deposit structure
Volatility selling is down, but not out
Shrinking risk premiums could end cycle of vol suppression, traders say – but not just yet
Futures gain ground in G10 FX pricing
Some market-makers believe contracts are now primary market price for Commonwealth currencies
AI ‘lab’ or no, banks triangulate towards a common approach
Survey shows split between firms with and without centralised R&D. In practice, many pursue hybrid path
