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OCC readies new intraday margin requirement
Draft measure would cover all options positions including 0DTEs
Hedge fund’s bots hunt for ‘non-linear’ trade signals
Boutique investment firm Goose Hollow uses LLMs to scrape thousands of news sources, searching for links that others miss
LCH suffered nearly 13 hours of op failures in Q1
Longest downtime since 2019 in breach of CCP’s two-hour recovery objective
Risk data
Hong Kong looks for digital response to trade reporting burden
New swaps reporting framework will include more fields than requirements in US or Singapore
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
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
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
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
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
FRTB start dates must align globally, says European Commission
Lawmaker could trigger delay to market risk rules in Europe if US implementation drags on
Dealer rankings
The squeezing middle: data shows Europeans taking on US foes
Dealer Rankings 2024: Barclays, BNP Paribas and Deutsche grab bigger share of the pie
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LCH suffered nearly 13 hours of op failures in Q1
Longest downtime since 2019 in breach of CCP’s two-hour recovery objective
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
Fed green lights more capital relief trades
Five US banks authorised to issue repeat credit-linked notes backed by financial guarantees
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
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
Hedge funds spur quant products to new heights
Rise of multi-strategy vehicles triggers demand for indexes once seen as competitors
Clearing
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
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
Regulators urged to back non-cash variation margin
Market participants warn FSB on cash demands if banks curb collateral upgrade trades
OCC introduces new intraday risk charge covering zero-day options
Revised measures “a nightmare” to implement, says one broker-dealer
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