Risk.net

Risk.net is a platform dedicated to news and insights about the financial sector, emphasizing areas like regulation, derivatives, risk management, asset management, and commodities. The site offers fresh perspectives on popular news stories and features comprehensive analytical pieces that delve deeply into various topics.

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Limited-loss hedges help US firms dodge costly FX moves

2 days ago | risk.net | Cole Lipsky

Foreign exchange structurers are seeing increased demand from US corporates for options-based hedges that can limit losses on their net investment hedges caused by the US dollar's selloff. While the economic value of derivatives hedges offsets changes in foreign assets, when those positions hit maturity companies can face hefty mark-to-market payments.
NSCC logs record $9.2bn daily VM call in Q1

2 days ago | risk.net | Joshua Walker

The National Securities Clearing Corporation (NSCC) collected $9.2 billion in variation margin (VM) on a single day in the first quarter - the highest such demand on record.
Investment firms ready plans for US autocallable ETFs

3 days ago | risk.net | Helen Bartholomew

Three investment firms have triggered a race to repackage popular US yield-enhancement products into exchange-traded funds. First Trust, Calamos Investments and Innovator ETFs registered autocall-based ETFs for approval with the Securities and Exchange Commission in recent weeks. First Trust filed its FT Vest laddered autocallable barrier and income ETF on April 7.
Canada Big Five set aside C$1.7bn amid tariff uncertainty

3 days ago | risk.net | Joshua Walker

Canada's five largest lenders collectively set aside C$1.7 billion ($1.3 billion) in provisions for performing loans in the three months ending April 30, reflecting a deteriorating macroeconomic outlook influenced by escalating trade tensions and geopolitical risk. The figure represents the largest aggregate provision for this type of loan in a single quarter since the onset of the Covid-19 pandemic, and was almost four times the C$441 million the banks allocated in the previous quarter.
Deutsche Bank takes AutobahnFX on the open road

4 days ago | risk.net | Joe Parsons

Deutsche Bank is shifting gears on its proprietary foreign exchange trading platform, offering access to certain workflow elements via third-party platforms - as clients continue to migrate towards these venues. For years, banks have tried to divert FX traffic from the multi-dealer platforms by offering value-added services.
Volatile funding flows add $21bn to US G-Sib liquidity buffers

4 days ago | risk.net | Joshua Walker

The aggregate maturity mismatch add-on at the eight US global systemically important banks (G-Sibs) surged 24.3% to $107.2 billion in the first quarter - the largest quarterly rise since at least 2017. The $20.9 billion increase reflects heightened variability in cashflows during stress periods. The add-on measures the gap between a bank's cumulative net cash outflow (NCO) at the end of the 30-day stress window and the highest single-day net cash outflow during that time.
Australia Big Four face A$37bn capital revamp

1 week ago | risk.net | Joshua Walker

Australia's four largest banks held A$36.7 billion ($23.6 billion) in Additional Tier 1 (AT1) capital as of March 31, in the first public disclosure since the Australian Prudential Regulation Authority (Apra) confirmed on December 9 that AT1 instruments would be phased out under new rules. The revised capital framework is set to come into effect on January 1, 2027.
A mix of Gaussian distributions can beat GenAI at its own game

1 week ago | risk.net | Mauro Cesa

The generation of synthetic market data is widely seen as one of the most promising applications of sophisticated artificial intelligence models, such as generative adversarial networks (GANs) and autoencoders. A new paper from Jörg Kienitz, director of quantitative methods at consultancy m|rig, suggests these new models still have some way to go to beat the old ways.
Emir rule delay leaves Simm paperwork gathering dust

1 week ago | risk.net | Helen Bartholomew

The first mid-year recalibration of the standard initial margin model under a new semi-annual regime will trigger a requirement for European firms to submit model validation applications to their regulators - but the rules governing the validation process itself have yet to be written.
Tariff rout lifts required IM by $51bn

1 week ago | risk.net | Joshua Walker

Required initial margin for cleared interest rate swaps (IRSs), futures and credit default swaps (CDSs) surged by $51.4 billion in April - the biggest monthly increase since March 2022 - amid heightened volatility triggered by triggered by the slate of tariffs unveiled on April 2. The spike brought total required margin across major clearing houses to a record $766.1 billion, according to data from the Commodity Futures Trading Commission (CFTC).