JP Morgan
People moves: JPM’s quant shuffle, NatWest hires Solanki, and more
Latest job changes across the industry
US banks underestimate loan losses in Fed stress test
Systemic lenders predict 34% lower hit to their loan books in latest DFAST exercise
One by one, dealers embrace standardised FX reject codes
Investment Association’s proposed codes finally begin to take hold after Covid setbacks
Capital Group leads charge in ballooning IR swaps market
Counterparty Radar: US mutual funds flock to G10 currency trades as macro conditions worsen
JP Morgan appoints two new equities quant research co-heads
New heads will share responsibilities previously held by deep hedging pioneer Hans Buehler
People: Richardson rises at JPM, Barclays hires Zaimi in Apac
Latest job changes across the industry
Capital One changed SVAR window 24 times in Q1
Since 2020, the lender updated its chosen stress period dozens of times each quarter, far more frequently than peers
Danske, Deutsche and PNC pin SVAR to Covid-19
Most global banks continue to use the global financial crisis to stress-test their portfolios
JP Morgan’s deep hedging reaches cliquets
Euro Stoxx roll-out is live and S&P is next, despite exit of machine learning programme’s figurehead
JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
Credit risk capital models hanging by a thread in the US
Industry insiders expect Fed to drop IRB and IMM when adopting Basel III, but market risk models may survive
No soft landings in flight to safety from Russia
Impact of Ukraine invasion hit bank balance sheets hard; its effects look set to continue
JP Morgan’s internal VAR hit 10-year high in March
CVA’s credit risk component split from VAR measure following credit spreads widening at some counterparties
From ‘cottage industry’ to quant-ready: prop data at JP Morgan
Unique information now “table stakes” for brokers as they compete for new clients
JP Morgan appoints new head of derivatives clearing
Richardson promoted to top job as Rustad takes leave of absence
Op risk data: Deutsche greenwashing fine a regulatory red flag
Also: Class claim costs CA tribe $500m; Essilor eyeballs JPM in fraud case; Bank of Italy con job. Data by ORX News
Ukraine crisis ‘made VM three times IM’ on CME commodities
Isda AGM: Margins spiked in April following rises in oil, gas and wheat prices triggered by Russia’s Ukraine invasion
JPM: EU corporate CVA exemption could split swaps liquidity
Isda AGM: Market may price in permanent lower capital charge if exemption retained in CRR III
Pimco triples book as IR swaptions market nearly doubles
Counterparty Radar: Goldman Sachs nets almost all of bond giant’s Q4 growth
MSIM’s baffling $400m options splurge
Funds owned or advised by the manager have spent vast sums on a USD/CNH strategy that appears not to have paid off
PGIM credit options binge lifts Barclays, Morgan Stanley
Counterparty Radar: Insurer’s AM arm doubled its market share in Q4 2021 as bought protection swells
Banks turn to analytics playbook to take on FX platforms
Dealers aim to lure clients from high-fee multi-dealer platforms with improved investment analytics
Standardised approach extends reach over US banks’ RWAs
Gap between standardised and advanced RWAs at its widest ever for BofA, BNY Mellon, Morgan Stanley and Wells Fargo
JP Morgan takes $524m XVA loss on nickel, Russia trades
Margin calls, markdowns and rising funding costs result in biggest XVA loss since early 2020