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If you already have an account please use the link below to sign in. If you have any problems with your access or would like to request an individual access account please contact our customer service team. Phone: 1+44 (0)870 240 8859 Email: csqueries@infopro-digital.com * Sign in * Welcome * You are currently accessing Risk.net via your institutional login. If you already have an account please use the link below to sign in. If you have any problems with your access, contact our customer services team. Phone: +44 20 7316 9685 Email: csqueries@infopro-digital.com * Sign in * * Latest articles Topics * Home * Risk management * Markets * Regulation * Investing * Cutting Edge * Quantum * Counterparty Radar * Insight * Books * Journals * Learning * Events * Awards * * Highlights * Putting the AI into QIS * New OCC margin rule * BofA gobbles USTs * IRRBB shock for EU banks * CDS index delay * 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 Support * About us * Contact us * Help Centre Services * Advertising * Media pack Legal & Privacy * Privacy notice * Terms and conditions * California Residents – Do not sell my personal information * Consent preferences Useful links * Follow topics * Twitter * Linkedin * Newsletters * Facebook * Apps * Social hub * RSS © Infopro Digital 2024 © Infopro Digital Risk (IP) Limited (2024). All rights reserved. Published by Infopro Digital Services Limited, 133 Houndsditch, London, EC3A 7BX. Companies are registered in England and Wales with company registration numbers 09232733 & 04699701. You need to sign in to use this feature. 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