News
European corporates scramble for alternative credit sources
Credit lines with traditional bank counterparties exhausted since dollar rally against euro
EU expected to publish clearing proposal on December 7
Requirement for actively managed accounts in EU still being discussed by European Commission
EBA: more climate risk supervisory reporting is coming
Official anticipates effort to identify climate impact on internal models, concentration risk
Battle lines drawn as exchanges launch €STR futures
CME is betting its three-month contracts will give it an edge over Ice’s one-month version
Futures margin breaches on track to match 2020
At least 500 seen so far this year, says JP Morgan exec – in some cases leading to 200% margin increases
Citi quants’ AI model aims to hedge earnings surprises
Machine learning tool forecasts effect of shocks on implied volatility surfaces in minutes
Banks raise concerns over Macquarie concentration risk at ASX
Exit of Bell Potter exacerbates shortage of clearing capacity in Australia’s energy market
Fed official confirms US targeting 2025 for Basel III adoption
US regulators also preparing more guidance on concentration risk for outsourcing providers
MSIM option strategy set for payout
Manager has spent over $400 million buying options that have yet to generate returns – until now
Illiquid assets throw UK pensions off balance
Collapse in equity and bond prices leaves some funds with outsized exposure to private holdings
Regional banks beef up FX pricing tools
TraderTools’ PriceOn tech enables regional banks to internalise FX flows similar to top-tier dealers
Credit Suisse’s new markets strategy builds on the old one
GTS is scrapped, but blueprint of connecting wealth management to markets remains intact
China’s cross-border master agreement fails to excite dealers
New Nafmii OTC derivatives document provides greater flexibility, but dealers may stick to Isda
Corporates rush to hedge emerging market currency risks
Falling forward points have reduced cost of hedging further drops in Chinese renminbi
Economic gloom ‘won’t stop cov-lite lending’
Investors say borrowers will continue to enjoy looser terms, despite projected rise in defaults
Barclays’ head of inflation exits
Sukhjeet Atwal departs investment bank after 19 years
Pensions regulator plays down LDI risk to EU
Eiopa doubts UK gilt market chaos could occur to same degree in Europe
Margin for non-cleared European energy trades to jump 80%
Annual recalibration of Simm could catapult some energy firms over relief thresholds
EC circuit breaker plan for energy futures under fire
Market participants say proposals could instead lead to more volatility in front-month contracts
US Bank cautions on regulators’ TLAC proposal
Risk USA: CRO also says bank is readying credit risk models and business plans for recession
Cboe to launch Treasuries ‘dark pool’ by year-end
Exchange signs up dealer clients for new venue amid rising concerns around bond liquidity
EBA to scrutinise banking book models amid macro turmoil
Banking regulator raises concerns as bankers doubt their IFRS 9 and IRRBB models
Launch of Tona futures ‘could bolster yen term risk-free rate’
New Tokyo Overnight Average products could be used in TORF waterfall, says benchmark provider
Gilt volatility to live on in IM and capital models
Even if sterling rates vol subsides, it will impact interest rate and cross-currency swap costs for years