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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
Buy side would welcome more guidance on managing margin calls
FSB report calls for regulators to review existing standards for non-bank liquidity management
Ice Europe’s liquidity risk at record high in Q4
Estimated largest payment obligation in euros more than double previous quarter’s figure
Risk data
Citi halves swaptions book with US retail funds
Counterparty Radar: Mutual funds and ETFs cut exposures by 22% in Q4
Japanese megabanks shun internal models as FRTB bites
Isda AGM: All in-scope banks opt for standardised approach to market risk; Nomura eyes IMA in 2025
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
Volatility
As dispersion hikes in price, equity traders slice and dice
Banks tout alternative versions of relative value vol strategy, including reverse dispersion
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
Options market still searching for cause of the Vix plunge
BIS paper blames yield-enhancing structured products, but market participants are unconvinced
RMB vol returns as hedge funds take barrier trade profits
Unwinds of exotic positions saw vol jump 72% after surprise PBoC move last week
Risk Quantum
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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.
Ice Europe’s liquidity risk at record high in Q4
Estimated largest payment obligation in euros more than double previous quarter’s figure
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
Citi halves swaptions book with US retail funds
Counterparty Radar: Mutual funds and ETFs cut exposures by 22% in Q4
Information security
Top 10 op risks: AI fears drive cyber risk to record high
External fraud re-enters top 10; change management now a top five concern
Too soon to say good riddance to banks’ public enemy number one
As LockBit plans its comeback, experts say banks need a clear ransomware negotiating playbook
Beating the drum on cyber risk: the battle for boardroom attention
Delays patching financial sector vulnerabilities highlight the need for more internal clout for cyber chiefs
Iosco gears up for ‘intensive work’ on AI regulation
Watchdogs risk ‘falling behind the curve’, secretary-general warns; FSB also working on guidance
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
Clearing
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
As FCMs dwindle, regulators fear systemic risk
Panellists highlight dangers of clearing membership becoming more concentrated
Industry pushes to extend review for Emir active accounts rule
Fears that compressed timeframe leaves less than a year to test if controversial policy is working
Vanguard begins clearing NDFs on LCH
Addition of mutual fund giant gives big boost to client-cleared activity on ForexClear
Top 10 op risks for 2024
The biggest op risks for the year ahead, as chosen by senior industry practitioners
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