Europe
Margin costs leap on Simm rejig and rates hikes
Acadia finds roughly one-third jump in exposure following Simm recalibration, with higher funding costs adding to burden
EU Parliament creates multiverse of SA-CCR outcomes
Some MEPs want to ease rules further than EC draft; others want return to undiluted Basel text
360T is second venue to demand FX code compliance
GFXC urges other platforms to follow suit, potentially making code adoption an entry ticket to FX markets
Credit checks, what credit checks? How crypto lending ate itself
Collapse of hedge fund Three Arrows Capital exposes “sloppy and irresponsible” credit standards among crypto lenders
Banks shock commodities by 1,000% in stress-test rethink
Energy price spikes force clearing firms to consider extreme or even ‘implausible’ scenarios
Bingeing on block sets: DLT could give FX its ‘Netflix moment’
Blockchain’s proponents say faster settlement times make technology akin to TV’s streaming revolution
How Citi is handling topsy-turvy rates markets
Talking Heads 2022: Rate hikes and inflation have forced a rethink of the US bank’s hedging strategies
Net-zero pledges bring big unknown for credit risk
Uncertainty on how governments plan to curb emissions adds political dimension to credit quality assessments
Split emerges over data requirements for term €STR
Refinitiv warns against relying on Level 2 inputs, as Emmi targets October launch
Banks begin China close-out netting work after Isda opinion
Rise in collateralised transactions will be next step, dealers say
Banks relieved as EBA punts on dual-track stress tests
Hybrid approach for 2023 will see top-down models used to project net fee and commission income only
Pick a lane: Anna DSB to rival CDM coded swaps reporting?
Dual machine-executable rules are set to create choice – and maybe bifurcation – for swaps reporting
Uncertainty over ECB’s TPI muddies monetary and fiscal impact
Analysts say anti-fragmentation tool exposes long-standing flaws in EU fiscal framework
Esma warns new foreign clearing house rules could backfire
Löber says euro swaps trading may move away from CCPs that face toughest EU scrutiny
Can the EC reach consensus in clearing countdown?
Brussels faces a cold, hard deadline to build clearing regulation accord in Europe
Allianz, Generali post €52bn in fair value losses in H1
Bond portfolio values crash as equities tailwinds fades
Using correlation to model op risk losses may be unsafe – study
Techniques for linking economic factors and bank losses produce varying – and sometimes contradictory – results
Geopolitical risk models not ‘rigorous’ enough, says quant
Joseph Simonian believes game theory and reinforcement learning could improve matters
The ghost of Archegos returns to haunt Simm
UK regulator’s attack on Simm may have more to do with the failed family office than meets the eye
The closer quants look, the less diversifying crypto appears
Analysis seems to confirm that the asset class is not an effective diversification play
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
Amid macro storm clouds, a silver linings playbook for fintech
Banks and VCs believe inflation and rising interest rates will result in winners as well as losers
Bund volatility sparks uncertainty around futures delivery
Changing cheapest-to-deliver status catches some traders off guard despite Finanzagentur intervention
FCMs brace for ‘tough winter’ of energy market disruption
Banks stress-test clients, add big margin multipliers to insulate against risk of 100% price moves