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 * Lessons from CCP fire drill
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LATEST

 * Regulation


SHOCKS TO THE SYSTEM: HOW BASEL IRRBB UPDATE AFFECTS NEW EU TEST


DISCLOSURES SUGGEST MORE BANKS WILL BE CLASSIFIED AS OUTLIERS ON NET INTEREST
INCOME ASSESSMENT

 * By Samuel Wilkes

BASEL’S CHERRY-PICKING TOUGHENS IRRBB SHOCK SCENARIOS

 * By Samuel Wilkes

EC TO ADOPT NII OUTLIER TEST WITHIN ‘WEEKS’

 * By Samuel Wilkes

THE AMERICAN WAY: A STRESS-TEST SUBSTITUTE FOR BASEL’S IRRBB?

 * By Menghan Xiao

 * Investing

OCC READIES NEW INTRADAY MARGIN REQUIREMENT

Draft measure would cover all options positions including 0DTEs

 * By Faye Kilburn

 * Risk Quantum

AT BAYERNLB, NYKREDIT AND ERSTE, OP RISK CHARGES HIT RECORD HIGHS

Annual model recalibrations responsible for double-digit rises

 * By Joshua Walker

RISK DATA

24.4%

Drop of capital needs for market risk at JP Morgan Europe’s trading book

€13.7 BILLION

RWA charge Rabobank suffered from real estate model change in Q1

1.8PP

Drop in Norinchukin’s CET1 capital ratio due to unrealised losses

 * Regulation

LOSS OF DIVERSIFICATION BENEFITS ‘WILL DRIVE HIGHER FRTB CHARGES’

Independent study backs industry’s claims of significant rise in market risk
capital requirements

 * By Daniel Blackburn

 * Risk Quantum

RBC’S CVA CAPITAL CHARGE UP 22% SINCE FRTB ADOPTION

Bank eschewed revised standardised approach in favour of simpler yet
constraining formulas

 * By Lorenzo Migliorato

 * Regulation


BREAKING WITH BEHNAM: INSIDE THE DYSFUNCTION AT THE CFTC


POLICY AND PERSONALITY CLASHES HAVE LEFT THE CHAIRMAN ISOLATED AND SLOWED
RULEMAKING ACTIVITY TO A CRAWL

 * By Luke Clancy and Bernard Goyder

BASEL III ENDGAME


AS RISK OF US BASEL DELAY GROWS, EUROPE IS IN A BIND OVER CVA


EUROPEAN COMMISSION MAY POSTPONE FRTB, BUT IT’S HARD TO SEPARATE SURGICALLY FROM
REST OF FRAMEWORK

 * By Samuel Wilkes



BASEL III ENDGAME: WHY MOVING FAST MIGHT PROVE BETTER FOR BANKS

Republicans are pushing for reproposal, but a rapid finalisation may prove less
far-reaching

 * By Janice Kirkel

BASEL TRIGGERS NEW TUSSLE ON ANTI-ARCHEGOS RULES

Critics argue new guidelines on counterparty credit risk are either unworkable,
or don’t go far enough to tackle concentration and wrong-way risk

 * By Luke Clancy

FRTB START DATES MUST ALIGN GLOBALLY, SAYS EUROPEAN COMMISSION

Lawmaker could trigger delay to market risk rules in Europe if US implementation
drags on

 * By Samuel Wilkes

 * Related content
 * More Basel Committee news
 * FRTB news
 * The internal models approach
 * Machine learning and credit ratings
 * What is IFRS 9?

DEALER RANKINGS

i

 * Markets


THE SQUEEZING MIDDLE: DATA SHOWS EUROPEANS TAKING ON US FOES


DEALER RANKINGS 2024: BARCLAYS, BNP PARIBAS AND DEUTSCHE GRAB BIGGER SHARE OF
THE PIE

 * By Duncan Wood

 * Markets

CONTINUED DECLINE OF THE ONE-STOP SHOP

 * By Michael Paterakis

 * Markets

OFTEN FLUID. NOT ALWAYS LIQUID

 * By Samuel Karasek

Read more


RISK QUANTUM

DATA INSIGHTS, DELIVERED DAILY

i

Risk Quantum tracks thousands of data points across hundreds of metrics from
organisations that represent a cross-section of the financial system. Published
daily, articles are short and broken into chunks – the facts, the context and a
brief commentary – and use data visualisations to get each story across.

More information


AT BAYERNLB, NYKREDIT AND ERSTE, OP RISK CHARGES HIT RECORD HIGHS


ANNUAL MODEL RECALIBRATIONS RESPONSIBLE FOR DOUBLE-DIGIT RISES

 * By Joshua Walker

RBC’S CVA CAPITAL CHARGE UP 22% SINCE FRTB ADOPTION

 * By Lorenzo Migliorato

NORINCHUKIN HIT WITH 54% RISE IN OP RWAS

 * By Lorenzo Migliorato

Read more


CREDIT RISK


US LARGE BANK CRE RISKS COULD BE UNDERSTATED, SAY RESEARCHERS


COMMUNITY BANKS HAVE THE MOST DIRECT EXPOSURE, BUT SYSTEMIC BANKS EXTEND MORE
CREDIT TO REITS

 * By Menghan Xiao



FED GREEN LIGHTS MORE CAPITAL RELIEF TRADES

Five US banks authorised to issue repeat credit-linked notes backed by financial
guarantees

 * By Celeste Tamers

NAPIER PARK TO INCREASE INVESTMENT IN BANK RISK TRANSFERS

Hedge fund sees secular trend in lenders offloading credit risk, and plans to be
part of it

 * By Celeste Tamers

FOR A GROWING NUMBER OF BANKS, SYNTHETICS ARE THE REAL DEAL

More lenders want to use SRTs to offload credit risk, but old hands say they
have a long road ahead

 * By Natacha Maurin and Celeste Tamers

 * Related content
 * Credit risk 101
 * Credit risk modelling: research review
 * Machine learning and credit ratings
 * More articles on credit risk
 * What is IFRS 9?

 * Markets


HEDGE FUNDS SPUR QUANT PRODUCTS TO NEW HEIGHTS


RISE OF MULTI-STRATEGY VEHICLES TRIGGERS DEMAND FOR INDEXES ONCE SEEN AS
COMPETITORS

 * By Helen Bartholomew

CLEARING


CALLS GROW FOR DEALERS TO UNBUNDLE US TREASURY CLEARING


SEC’S GENSLER AND NY FED’S NEAL TURN UP PRESSURE ON DEALERS TO CLEAR ‘DONE AWAY’
TRADES

 * By Bernard Goyder and Janice Kirkel



REGULATORS URGED TO BACK NON-CASH VARIATION MARGIN

Market participants warn FSB on cash demands if banks curb collateral upgrade
trades

 * By Paulina Pielichata

OCC INTRODUCES NEW INTRADAY RISK CHARGE COVERING ZERO-DAY OPTIONS

Revised measures “a nightmare” to implement, says one broker-dealer

 * By Faye Kilburn

CHINA CDS USERS SLOW TO EMBRACE NEW CREDIT EVENT PANEL

Decisions from Nafmii determinations committee yet to be switched on in
agreements

 * By Chris Davis

 * Related content
 * More on clearing
 * CCP coverage
 * Margin news

TRENDLINES

INTEREST RATE SWAPS

CONTINUED DECLINE OF THE ONE-STOP SHOP

OFTEN FLUID. NOT ALWAYS LIQUID

JSCC PRESSES FOR US CLIENT CLEARING EXEMPTION

FOREIGN EXCHANGE

BANKS, VENDORS MINE AI FOR CORPORATE FX HEDGING

BLOOMBERG TO LAUNCH T+1 FX FIXING

SPECTRAXE FIRES UP OTC FX OPTIONS CLOB

HEDGE FUNDS

THE (SLOW) ROAD TO CAPITAL-BACKED INVESTING FOR PENSIONS

FORM AN ORDERLY QIS: HEDGE FUNDS SPUR QUANT PRODUCTS TO NEW HEIGHTS

BASEL TRIGGERS NEW TUSSLE ON ANTI-ARCHEGOS RULES

COMMENT

HOW ARGENTINA’S FINANCIAL TANGO COULD BECOME A DANCE OF DEATH

 * By Marcello Minenna

OP RISK DATA: TD BANK TAKES US REG PILL IN PURPORTED DRUG-RELATED AML FAILS

 * By ORX News

PODCAST: OLIVIER DAVIAUD ON P&L ATTRIBUTION FOR OPTIONS

 * By Mauro Cesa

OUR TAKE

ALTICE’S DROPDOWN IS A WARNING FOR EUROPEAN CREDITORS

 * By Nathan Tipping

ARE MARKET-MAKERS BETTER AT DEALING WITH CENTRAL BANK INTERVENTION?

 * By Joe Parsons

HEDGE FUNDS MUST RACE THE CLOCK TO CHECK THEIR DEALER-RULE STATUS

 * By Celeste Tamers

 


OP RISK BENCHMARKING


OUR NEW RESEARCH SERVICE COMPARES OP RISK PRACTICES AT FINANCIAL INSTITUTIONS –
FROM STAFFING TO AI SAFEGUARDS, KEY CONTROLS TO BOARD REPORTING PACKS.


Click here for selected highlights

EVENTS

RISK LIVE EUROPE

 * 18 Jun 2024 - 19 Jun 2024

 * London, UK

Find out more

ASIA RISK CONGRESS

 * 25 Sep 2024 - 26 Sep 2024

 * Singapore, Singapore

Find out more

RISK LIVE NORTH AMERICA

 * 16 Oct 2024 - 17 Oct 2024

 * Nashville, USA

Find out more

SPONSORED CONTENT

About

These articles were paid for by contributing third parties. Click here for more
information on content funding.

slide 1 to 5 of 10

CREDIT RISK MANAGEMENT SOLUTIONS 2024: MARKET UPDATE AND VENDOR LANDSCAPE

 * 

ENGIE EMPOWERS CLIENTS GLOBALLY TO DECARBONISE AND ADDRESS THE ENERGY TRANSITION

 * 

BEACON’S UNIQUE OPEN ARCHITECTURE UNDERLIES ITS STRONG PERFORMANCE

 * 

PRICE SENSITIVE: MAXIMISING VALUE FROM IPV DATA AND VALUATION CONTROL

 * 

THE EVOLUTION OF PORTFOLIO STRATEGIES: SPECIAL REPORT 2024

 * 

IN PURSUIT OF PORTFOLIO PERFORMANCE: BUY-SIDE FIRMS ADOPT NEW TECHNOLOGIES AND
STRATEGIES

 * 

VIDA’S ONGOING JOURNEY: INNOVATING PORTFOLIO SOLUTIONS

 * 

FX ALTERNATIVE RISK PREMIA AS A KEY DIVERSIFIER FOR EQUITY BOND PORTFOLIOS

 * 

PRICE CHECK: IS YOUR FIRM KEEPING PACE WITH IPV?

 * 

CAN FINANCIAL FIRMS GRASP THE AI OPPORTUNITY?

 * 

 * 
 * 

MOST READ

 1. Regulators urged to back non-cash variation margin
 2. Drilling for default: dry run gives CCPs a Lehman-like lesson
 3. Breaking with Behnam: inside the dysfunction at the CFTC

 1. Loss of diversification benefits ‘will drive higher FRTB charges’
 2. New CDS index delayed by regulatory capital concerns
 3. Calls grow for dealers to unbundle US Treasury clearing

 1. Banks, vendors mine AI for corporate FX hedging
 2. Record number of US banks turned to riskless assets in Q1
 3. RBC’s CVA capital charge up 22% since FRTB adoption



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