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Going it alone: Lombard Odier steers clear of investing crowd
Research head Tabachnik says strategies like intraday momentum are victims of their own popularity
Op risk data: Sberbank suffers $108m supermarket clean-out
Also: Copper trader buys $36m of worthless bricks; big lenders hurt in $400m mortgage fraud. Data by ORX News
UK funds fall out of love with sterling swaps
Lower yields, Libor transition and margin rules help make gilt repo the desired hedging tool for LDI funds
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Risk Quantum
Data insights, delivered daily
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.
Editors' choice
US markets fret over ‘unrepresentative’ fallbacks
Two-year gap between spread fixing and cessation leaves fallback signatories tied to outdated basis
Big Figure
A breach too far
Eurex Clearing disclosed 3,227 initial margin breaches for 2020, up from just 781 in 2019 and the highest calendar-year total since public disclosure began. The rolling 12-month tally of margin breaches was highest for the equity derivatives service as of end-December, at 1,782. This compares with just 324 in 2019. Breaches at the fixed-income derivatives service totalled 869, up from 316 the prior year, and those linked to the over-the-counter interest rate swaps service 250, compared with 26.
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Regulation
Esma weighs delay to review of repo reporting rules
Expectations grow that a review of SFTR scheduled for April will be postponed due to Covid
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Comment
Op risk data: Sberbank suffers $108m supermarket clean-out
Clear, concise, consistent, doable – rules for a risk policy
Op risk data: Pandemic paradox of low, low losses
As machines disrupt investing, people still have a role to play
Our Take
Games of hazard: NSCC’s margin waiver sets bad precedent
What good are risk disclosures anyway?
Rough volatility’s steampunk vision of future finance
A look at future exposures, through a 19th century lens