Europe
RBI’s VAR spikes on FX fluctuations
Ruble trouble sends market RWAs up €1.4bn
Hedge funds pile into euro systematic vol selling
Range-bound rates markets in Europe entice hedge funds to sell short-dated straddle positions
Four EU banks forecast capital hits from final Basel III reforms
BNP Paribas only dealer to disclose hit from FRTB
The boy who cried ‘outlier’: false alarms could dog EBA test
Analysis reveals banks deemed outliers by net income test are profitable post-shock, so how useful is the test?
Insurers deny cyber premiums are rising
Contrary to banks’ complaints, underwriters and brokers claim current market for policies is soft
Stage fright: lenders still struggling with IFRS 9 transitions
Divergence in how banks move loans between stages of impairment prompts regulators to push for more homogenous approach
Op Risk Benchmarking 2024: the G-Sibs
Eleven large banks feature in round II, with new data points on first-line risk teams, taxonomies and AI adoption
Rates markets rattled as tech outage hits broker pricing feeds
Dealers widened spreads and pulled live curves after TP Icap’s pricing feeds went offline
People: New brooms at NatWest and Tradeweb; MUFG splits rates, and more
Latest job changes across the industry
Study finds just 10 banks plan to apply for FRTB models
Research provides extra insight on reasons for decline in internal models
Cyber insurance costs still rising, say big banks
Op Risk Benchmarking: Cost of covering same exposure as last year now “somewhat” or “significantly” higher
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
EU banks hedge net interest income to pass new IRRBB test
Would-be outliers look to cut sensitivity of cashflows to rate moves, but at what cost?
CCPs vulnerable from reverse repo investments – Esma
European watchdog flags risks of uncovered exposure during liquidity stress event
Banks cry foul over shock decision from Basel Committee
Asset and liability management professionals question severity of criteria in revised IRRBB tests
Fresh EU push for single securities supervisor to compete with US
But MEP expresses ‘concern’ EU nations will stall revival of capital markets union
Ice postpones migration to VAR in bid to improve offsets
Clearing house will move on freight products before energy, as users fret over margin spikes
Discord deepens over fund-linked trades in FRTB
More banks use punitive approach to capital treatment under new trading book regime, irking regulators
AI, quantum computing and tokenisation set to transform finance – Menon
But significant barriers remain preventing the technologies from unlocking their full potential
How a ‘sushi circle’ approach can improve credit risk management
AI can help banks shift from manual corporate loan reviews to continuous, digitised risk monitoring
Five battle for euro swaps clearing
Nasdaq aims to be regional hub, while BME seeks broader slice of ‘active accounts’ pie