Fixed income
US insurance regulators move to kill CLO arbitrage
Capital charges on collateralised loan obligations will be model-based after 2024
Smarter data: steering a course in volatile markets
Fixed income markets are entering a new era of turbulence. This paper outlines the challenges facing asset managers in this macro environment and how to overcome them through high-quality data and cutting-edge analytical tools that uncover alpha and…
Derivatives house of the year: BNP Paribas
Risk Awards 2023: Betting on an equities expansion and rates re-org delivers early win for global markets
OTC trading platform of the year: Tradeweb
Risk Awards 2023: Traders prized the platform’s convenience and flexibility during last year’s market turbulence
ANZ defies ‘white label’ trend with algo expansion
Instead of relying on large LPs, Australian bank aims to offer six new FX algos of its own by February
Impactful short duration: green bonds and yield curve strategies
In the search for impact and yield, how does a green bond investment strategy compare with the performance of the wider European credit market?
Marginal gains: buy side gets set for cross-product margining
Faced with higher margin and funding costs, more buy-side firms are looking to optimise margin requirements across their fixed income portfolios. Here Lee Bartholomew, global head of FIC product design at Eurex, and Per Haga, global head of prime…
LCH’s fixed income and IRS units hit by record margin breaches
Peak breaches in Q3 were £924 million and £698 million in size, respectively
Fed hike behind $682m and $460m breaches at FICC
Clearing units for MBS and government securities hit by backtesting deficiencies on September 21
New risk indicator ensnares BofA, benefits Chinese banks
Overhaul in substitutability category pushed US bank's capital surcharge to 2%
Relative value trades face Treasury clearing squeeze
SEC’s clearing proposals may hurt levered basis trades and worsen illiquidity in off-the-run bonds
Navigating the complex world of equity options data
In an exclusive Risk.net webinar, convened in collaboration with Cboe Global Markets, experts discussed the expanding world of equity options data, the rise of retail investment within it, and the technological challenges and opportunities associated…
$899m margin breach at FICC’s mortgage unit
Three-day move in TBA prices on June 9 triggered second-highest backtesting deficiency to date
Derivatives house of the year, Asia ex-Japan: Societe Generale
Asia Risk Awards 2022
FICC’s government securities unit hit by $995m breach
Large moves in US Treasury yields in June to blame for largest backtesting exception on record
Shifting rates throw bond investors off balance
Dearth of bond liquidity forces some traders to offload positions – but, as ever, others are waiting to pounce
Eurex liquidity pool jumps 39% as required IM rises
Members of the IRS clearing unit saw the largest increase of required margin in Q2
IM at three LCH clearing units rose in Q2
Increase in clearing volumes pushed collateral up at EquityClear, RepoClear and SwapClear
Crédit Agricole’s VAR jumps 88% on fixed income blow-up
Trading risk gauge reached the highest since Q2 2020
Eurex’s fixed income and IRS units hit by almost 700 breaches
Peak breaches in Q1 were €706 million and €214 million in size, respectively
Turbulent markets put focus on evaluated pricing
Jayme Fagas, global head of valuations and transparency services at Refinitiv, explores why, in such an environment, firms need to have the right evaluated pricing to ensure they are pricing their portfolios at fair value levels and complying with…
Trumid, SGX Asia bonds JV faces uncertain future
Costly delays to launch of exchange sees backers slash headcount
Peak IM calls at FICC leapt 13% in Q4
Number of margin breaches at the central counterparty’s GSD also edged higher, as some members increase exposures after margin calculations
EU trading venue definition could crush innovation, fear bank execs
Widening scope of regulated firms could undo progress in fixed income electronification and increase costs