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Fed green lights more capital relief trades
Five US banks authorised to issue repeat credit-linked notes backed by financial guarantees
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
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
Risk data
Lloyds’ standardised market risk charges tripled in Q2
Hedging-related setback pushes market RWAs to an all-time high
Op risk data: TD Bank takes US reg pill in purported drug-related AML fails
Also: SCB fraud bill rising fast; Postbank pain for Deutsche Bank. Data by ORX News
Breaking out of the cells: banks’ long goodbye to spreadsheets
Dealers are cutting back on Excel amid tighter regulation and risk concerns
Credit risk
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
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
How Man Group’s private credit arm keeps risk in check
Mid-market lending no place for weak covenants, flexible addbacks or payments in kind, says Varagon CEO
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
Risk Quantum
Data insights, delivered daily
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.
Lloyds’ standardised market risk charges tripled in Q2
Hedging-related setback pushes market RWAs to an all-time high
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
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
MassMutual adds to mammoth interest rate swaps book
Counterparty Radar: Firm was responsible for 28% of US life insurers’ notional aggregate in Q4 2023
Generative AI
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
Execs can game sentiment engines, but can they fool LLMs?
Quants are firing up large language models to cut through corporate blather
The bank quant who wants to stop GenAI hallucinating
Wells Fargo model risk chief thinks he has found a way to validate large language models
Digging deeper into deep hedging
Dynamic techniques and GenAI simulated data can push the limits of deep hedging even further, as derivatives guru John Hull and colleagues explain
SG trader dismissals shine spotlight on intraday limit controls
Risk experts say many banks rely on daily reports and can’t effectively monitor intraday limits in real time
Basel III endgame
One year on, regulators still want a cure for bank runs
Broad support for higher outflow assumptions on uninsured deposits, but that won’t save insolvent banks
Basel Committee reviewing design of liquidity ratios
Focus on LCR and NSFR after Silicon Valley Bank and Credit Suisse, but assumptions may not change
Revealed: the three EU banks applying for IMA approval
BNP Paribas, Deutsche Bank and Intesa Sanpaolo ask ECB to use internal models for FRTB
Industry calls for major rethink of Basel III rules
Isda AGM: Divergence on implementation suggests rules could be flawed, bankers say
Top 10 op risks for 2024
The biggest op risks for the year ahead, as chosen by senior industry practitioners
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