Risk magazine - May 2024
In this collection: adapting to pod funds, a US alternative to IRRBB, carbon credit saviours, and much more.
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Articles in this issue
Industry calls for major rethink of Basel III rules
Isda AGM: Divergence on implementation suggests rules could be flawed, bankers say
Revealed: the three EU banks applying for IMA approval
BNP Paribas, Deutsche Bank and Intesa Sanpaolo ask ECB to use internal models for FRTB
FICC takes flak over Treasury clearing proposal
Latest plans would still allow members to bundle clearing and execution – and would fail to boost clearing capacity, critics say
Consortium backs BGC’s effort to challenge CME
Banks and market-makers – including BofA, Citi, Goldman, Jump and Tower – will have a 26% stake in FMX
Industry urges focus on initial margin instead of intraday VM
CPMI-Iosco says scheduled variation margin is better than ad hoc calls by clearing houses
Doubts dog equity dispersion as market grows up to five-fold
Some say $500 million vega notional – or more – in popular equity derivatives trades could be dampening volatility
Euronext microwave link aims to cut HFT advantage in Europe
Exchange plans to level playing field between prop firms and banks in cash equities with cutting edge tech
People: Isda taps four new directors, O’Callaghan joins CA, Berlinski quits Goldman, and more
Latest job changes across the industry
CMBS resilience: investors steer around slow-moving train wreck
LSEG’s Damon Caputo and Unmesh Bhide explore the new dynamics shaping the CMBS market and the strategic responses to the evolving landscape
How banks are adapting to all-powerful pod funds
Growth of multi-manager funds such as Citadel, Millennium and Balyasny has forced dealers to switch tactics in attempt to preserve profits
How ‘re-correlation’ risk could cause a pod-shop unwind
Some think an underappreciated vulnerability might one day lead to a 2008-type crisis
The American way: a stress-test substitute for Basel’s IRRBB?
Bankers divided over new CCAR scenario designed to bridge supervisory gap exposed by SVB failure
Risk transfer and the shift from camaraderie to competition
The risk transfer market could be moving into a more competitive, more transactional and, some fear, riskier cycle
Green knights? Banks step into struggling carbon credit markets
Clearer global standards and a new exchange may attract dealer entry, but supply and demand challenges remain
Tracing credit contagion effects from corporates to the real estate sector
S&P Global Market Intelligence explores possible credit contagion effects from the corporate sector to real estate by using S&P Global Ratings’ research and underlying data to formulate clients’ own views on risks in the sector
Should the ECB stress-test counterparty default risks?
The US Fed already does, but it is notable that EU banks were less exposed to Archegos
FCA presses UK non-banks to put their affairs in order
Greater scrutiny of wind-down plans by regulator could alter capital and liquidity requirements
Who’s winning the €STR futures race? Depends how you measure
CME, Eurex and Ice all claim to be leading, but experts say it’s too early to pick a winner
Banks mull whether to stick or twist with SDPs
Fewer providers are going all-in on single-dealer platforms, which may lead to consolidation
Prop shops recoil from EU’s ‘ill-fitting’ capital regime
Large proprietary trading firms complain they are subject to hand-me-down rules originally designed for banks
Did Fed’s stress capital buffer blunt CCAR?
Experts fear flagship test’s use as a capital top-up has undermined its role in risk management
How Ally found the key to GenAI at the bottom of a teacup
Risk-and-tech chemistry – plus Microsoft’s flexibility – has seen US lender leap from experiments to execution
Sustainable bond markets miss an options trick
A derivatives mindset could boost lagging sustainability-linked market, argues climate think-tank
Natixis turns on the taps in flow trading
French bank boosts flow business, balancing structured solutions capabilities
Hidden Road ready for rush hour after FCM approval
Prime broker is trading “trillions” of notional with “a few hundred” counterparties in FX and crypto
FX alternative risk premia as a key diversifier for equity bond portfolios
Siddharth Grover, head of QIS structuring at BBVA, discusses how the BBVA FX Risk Premia Indices can aid investors seeking diversification, and provides insight into potential trends moving forward
Seven banks under SEC scrutiny over interest rate risk disclosures
Regulator-issued letters aim at boosting transparency on EVE and NII sensitivity
LCH issued highest cash call in more than five years
Largest same-day payment obligation triples in Q4 2023
US banks’ IRRBB transparency: one step forward, two steps back
A year on from the 2023 crisis, more lenders monitor EVE sensitivity, but full Basel-like disclosures remain the exception
BNY Mellon dips below Collins floor after surge in standardised RWAs
All nine US banks using internal models now bound by regulator-set approach
LCH UK units experience diverging IM requirements
EquityClear and RepoClear drop by half while SwapClear hits record high
Filling gaps in market data with optimal transport
Julius Baer quant proposes novel way to generate accurate prices for illiquid maturities
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
Podcast: Olivier Daviaud on P&L attribution for options
JP Morgan quant discusses his alternative to Greeks decomposition
