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Duck! Buy side plan to dodge IM rules could backfire
Three-quarters of phase five firms do not expect to exchange margin for at least six months
JP Morgan’s internal VAR hit 10-year high in March
CVA’s credit risk component split from VAR measure following credit spreads widening at some counterparties
No soft landings in flight to safety from Russia
Impact of Ukraine invasion hit bank balance sheets hard; its effects look set to continue
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Risk Data
Risk Quantum
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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
JP Morgan’s internal VAR hit 10-year high in March
CVA’s credit risk component split from VAR measure following credit spreads widening at some counterparties
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
Pimco triples book as IR swaptions market nearly doubles
Counterparty Radar: Goldman Sachs nets almost all of bond giant’s Q4 growth
Editors' choice
Rate-linked notes trigger ‘pain trade’ for dealers
Negative 2y30y US swap spread sees hedging costs for range accruals soar, fuelling more flattening
Big Figure
Thrice more unto the breach
BNP Paribas notched three value-at-risk backtesting exceptions in the first quarter, leaving it on the cusp of higher capital charges for trading activities. The latest overshoots, recorded in February and March against hypothetical profit and loss, followed a single breach in November, bringing the one-year rolling total to four, the maximum allowed under European Union rules before capital requirements are hiked.
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Investing
From ‘cottage industry’ to quant-ready: prop data at JP Morgan
Unique information now “table stakes” for brokers as they compete for new clients
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