Europe
Banks offer crypto clearing but, shhh, don’t tell
Top dealers clear crypto futures for select clients despite smorgasbord of risks
UK cross-border review feels Brexit strain
Growing signs that overseas persons exclusion will fall foul of rivalry between UK and EU
BNP’s brief status as ‘non-bank’ reversed in indexing volte face
ICB’s temporary reclassification triggers repricing of dividend futures in main eurozone banks index
Market halts clearing shift to Eurex ahead of EU consultation
Participants hit ‘pause’ after proposed three-year equivalence extension for UK clearing houses
Starting salaries jump for top quant grads
Quant Guide 2022: Goldman’s move to pay postgrads more is pushing up incomes, says programme director
Blockade or blunder? Enigma of EU cross-border trading ban
Drafting errors and lawmaker’s comments leave industry perplexed about controversial new rules
How PGGM made 11% a year selling credit protection to banks
Dutch investor expects returns to drop over time unless rising inflation widens risk premia
Eurex upgrade timeline too tough, say banks
As exchanges prepare roll-out of major upgrades, banks are struggling to cope
UK Treasury urged to allow failed energy firms to hedge
Bulb can’t buy wholesale electricity and gas more than two weeks in advance, leaving it exposed to price hikes
Planned EU cross-border trading ban to hit most large markets
Most major jurisdictions currently provide either interdealer or client exemptions
Quant Finance Master’s Guide 2022
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
Op risk data: Mouldy money makes big stink for NatWest
Also: Santander plays Santa; JPM in messaging mayhem; ‘Sterling Lads’ cost HSBC a couple of bricks. Data by ORX News
Bitcoin futures ETF loses 9% a year to fees and contango
Cost of rolling futures contracts from one month to another exacerbates ProShares ETF’s losses
EU looks to close Brexit escape route from ECB supervision
Changes to capital regulation would stop national rulebook arbitrage deployed post-Brexit
LSEG beefs up non-cleared ambitions with Quantile deal
Agreement to buy optimisation firm for £274m strengthens LCH’s FX foothold as SA-CCR bites
Princeton, Baruch and Berkeley top for quant master’s degrees
Eight of 10 leading schools for quantitative finance programmes are based in US, latest rankings show
Top 10 op risk losses for 2021 hog $15bn total
Despite more fraud and crypto crime, firms’ op risk losses fall in number and in volume. Data by ORX News
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
People moves: Ice rings changes, new CFTC appointees, and more
Latest job changes across the industry
Counterparties clash over ‘dirty’ CSAs
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion
Down but not out: US Libor trading continues amid ban
Outgoing rate hits market share lows in US swaps but little dent made in listed markets
Some EU banks keep underprovisioning for ECLs
Divergences between accounting and regulatory markdowns remains high at some top lenders
EU’s IM model validation rules may put Simm in jeopardy
Draft RTS creates validation hurdles and cross-border conflicts, industry warns