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 * Highlights
 * Putting the AI into QIS
 * New OCC margin rule
 * BofA gobbles USTs
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 * 



LATEST

 * Regulation


MODEL TEAMS FEAR BUDGET CUTS AS FRTB WIPEOUT LOOMS


SENIOR MODELLERS THINK SUPERVISORY INTERVENTION IS NEEDED TO PREVENT FUNDING
DROUGHT

 * By Samuel Wilkes

REVEALED: THE THREE EU BANKS APPLYING FOR IMA APPROVAL

 * By Samuel Wilkes

BANKS FIND NEW USES FOR DISCARDED FRTB MODELS

 * By Samuel Wilkes

US CREDIT RISK MODELLERS PREPARE FOR LIFE AFTER IRB

 * By Philip Alexander

 * Investing

CAPITAL RULES EXPLAIN LEVERAGE CRAVING IN US BANK RISK TRANSFERS

Tougher requirements have led to conservative structuring and lower coupons

 * By Celeste Tamers

 * Comment

DECODING THE DECOUPLING IN US AND EUROZONE INFLATION

ECB rates cut and Fed’s refusal to follow suit point to differing fundamentals
in stateside and EU economies

 * By Marcello Minenna

RISK DATA

288% OF VAR

Trading loss Credit Suisse USA suffered in the first quarter

C$15.7 BILLION

RBC’s CVA capital charge at end-April, 22% up since FRTB adoption

57%

Lower credit and CCR charges at MUFG under Basel III

 * Risk Quantum

LIQUIDITY RISK HITS FIVE-YEAR HIGH AT LCH

Higher settlement obligations at Paris-based RepoClear blamed for €9bn spike

 * By Joshua Walker

 * Markets

NON-DELIVERABLE CNY SWAPS DEFY DOUBTERS

Swap Connect’s launch has helped rather than hindered the instrument, say
dealers

 * By Jiefei Liu

 * Markets


AI REVOLUTION COMES TO QIS


THE FIRST MACHINE LEARNING-BASED EQUITY INDEXES LAUNCHED IN 2019. THEY ARE
FINALLY GAINING TRACTION WITH INVESTORS

 * By Helen Bartholomew

BASEL III ENDGAME


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



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

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

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

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


LIQUIDITY RISK HITS FIVE-YEAR HIGH AT LCH


HIGHER SETTLEMENT OBLIGATIONS AT PARIS-BASED REPOCLEAR BLAMED FOR €9BN SPIKE

 * By Joshua Walker

TD BANK, CIBC LEAD CANADA’S BIG FIVE IN LCR DIP

 * By Joshua Walker

BOFA, JPM HOOVER UP $104BN OF US TREASURIES IN Q1

 * By Lorenzo Migliorato

Read more


COUNTERPARTY RADAR

MATCHMAKING AND BENCHMARKING FOR OTC DERIVATIVES

i

Counterparty Radar is based on position data from around 20,000 US mutual funds
and ETFs, rolled up to the manager level – it shows the OTC derivatives they
have on their books, and who they traded them with, providing unique insights
into an important market segment. More info

 * Markets


MASSMUTUAL ADDS TO MAMMOTH INTEREST RATE SWAPS BOOK


COUNTERPARTY RADAR: FIRM WAS RESPONSIBLE FOR 28% OF US LIFE INSURERS’ NOTIONAL
AGGREGATE IN Q4 2023

 * By Bernard Goyder

 * Markets

ALLIANZ LIFE DROPS SINGLE-NAME CDS POSITIONS IN Q4

 * By Ben St. Clair

 * Markets

CITI HALVES SWAPTIONS BOOK WITH US RETAIL FUNDS

 * By Bernard Goyder

Read more


CREDIT RISK


NEW CDS INDEX DELAYED BY REGULATORY CAPITAL CONCERNS


DEALER WORRIES ABOUT IMPACT OF SELF-REFERENCING TRADES DERAIL CDX FINANCIALS
LAUNCH AT LAST MINUTE

 * By Ben St. Clair



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

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


DEALER RANKINGS 2024


RISK.NET’S DEALER RANKINGS DESCRIBE THE SELL-SIDE HIERARCHY IN 10 OTC
DERIVATIVES MARKETS USING DATA FROM QUARTERLY US MUTUAL FUND, ETF AND LIFE
INSURER DISCLOSURES – SEE WHICH BANKS ARE ACTIVE IN EACH INSTRUMENT, THE SIZE OF
THEIR BOOKS AND WHETHER THEY ARE GROWING.


Click here

CLEARING


OCC READIES NEW INTRADAY MARGIN REQUIREMENT


DRAFT MEASURE WOULD COVER ALL OPTIONS POSITIONS INCLUDING 0DTES

 * By Faye Kilburn



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

DRILLING FOR DEFAULT: DRY RUN GIVES CCPS A LEHMAN-LIKE LESSON

Member default simulation finds standardisation and porting could help in a
crisis, and moots unscheduled repeat drill

 * By Luke Clancy

REGULATORS URGED TO BACK NON-CASH VARIATION MARGIN

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

 * By Paulina Pielichata

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

TRENDLINES

INTEREST RATE SWAPS

NON-DELIVERABLE CNY SWAPS DEFY DOUBTERS

CONTINUED DECLINE OF THE ONE-STOP SHOP

OFTEN FLUID. NOT ALWAYS LIQUID

FOREIGN EXCHANGE

FX AUTOMATION PLANS FOCUS ON PREDICTIVE ANALYTICS – PANEL

BANKS, VENDORS MINE AI FOR CORPORATE FX HEDGING

BLOOMBERG TO LAUNCH T+1 FX FIXING

HEDGE FUNDS

HEDGE FUND’S BOTS HUNT FOR ‘NON-LINEAR’ TRADE SIGNALS

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

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

COMMENT

DECODING THE DECOUPLING IN US AND EUROZONE INFLATION

 * By Marcello Minenna

OP RISK DATA: JAPAN’S GIANT BITCOIN BREAK-IN MAKES A MONSTER LOSS

 * By ORX News

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

 * By Marcello Minenna

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

FED STRENGTHENS STRESS TESTS WITH FOCUS ON COUNTERPARTY DEFAULTS

 * 

MARKET DISRUPTIONS CAUSE ENERGY FIRMS TO SEEK ADVANCED ANALYTICS, MODELLING AND
RISK MANAGEMENT CAPABILITIES

 * 

ENERGY50/ENERGY PRICING SYSTEMS 2024: HITACHI ENERGY

 * 

GRC BUYER’S GUIDE 2024

 * 

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

 * 

 * 
 * 

MOST READ

 1. People: Barclays’ macro trade reshuffle, UBS board moves, and more
 2. Citi halves swaptions book with US retail funds
 3. Shocks to the system: how Basel IRRBB update affects new EU test

 1. OCC readies new intraday margin requirement
 2. The coming AI revolution in QIS
 3. Loss of diversification benefits ‘will drive higher FRTB charges’

 1. Model teams fear budget cuts as FRTB wipeout looms
 2. Record number of US banks turned to riskless assets in Q1
 3. Capital rules explain leverage craving in US bank risk transfers



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