News
Banks struggle to assess climate impact on op risk
Supervisors have provided less stress-testing guidance for op risk than for credit risk
UK pensions may struggle to capitalise on fully funded status
Bond yield spike reduced liabilities, but schemes need to sell illiquids at markdown to offload risk
Basel crypto capital plan threatens banks’ DLT projects
Proposed infrastructure add-on could make blockchain settlement and payment systems non-viable
Pensions with other LDI investments quicker to make margin calls
Columbia Threadneedle says funds invested in internal strategies moved collateral immediately, but outside transfers took time
Fed governor questions Barr’s regulatory agenda
Republican governor Bowman delivers “shot across the bow” to new vice-chair
PGIM grows sovereign-referencing CDS book in falling market
Counterparty Radar: US mutual funds cut $2bn in single-name swaps in Q2, making largest reductions in SSA trades
Esma renews Mifid pursuit of energy firms amid crisis
Utility companies worry about high and volatile capital requirements if they are caught under IFR
CVA exposures to UK corporates jump ‘hundreds of millions’
Dash for credit protection triggered a doom loop in the CDSs of cross-currency swap counterparties
BoJ action to strengthen yen spurs FX options traders
Traders turn bearish on USD/JPY FX vol over further central bank intervention
FX market weighs viability of spot clearing
Supporters believe it could remove credit risks, but others say it would be unnecessary and add costs
BoE intervention whipsaws pension funds that dumped hedges
Unhedged funds saw liabilities rise by up to 20% when rates pulled back
Raiffeisen to rejoin Euribor panel, reversing exodus
Austrian bank’s return as benchmark contributor could be “turning point” for interbank rate, says administrator
LSEG to launch clearing for equity swaps
Turquoise, LCH tie-up comes as equity swaps attract regulatory scrutiny in wake of Archegos
Podcast: the right way to wrong-way risk and climate risk in XVA
MUFG quant thinks outside the box on risk management
Pimco dumps credit options as US funds slim holdings
Counterparty Radar: Space shrinks 30% in Q2 following three consecutive quarters of growth
UK pensions hit with £100m margin calls as gilts and sterling slide
At least three LDI managers request emergency capital as others consider unwinds to avoid default
Virtus, FT boosted sold single-stock calls amid Q2 contraction
Counterparty Radar: US mutual fund managers cut $4.3 billion in individual equity options
Sluggish SOFR lending keeps CLO basis contained
Slow credit markets keep risk in check for CLO equity holders
Ice to accept EUAs as collateral
Emissions certificates accepted to offset short EUA futures positions, subject to 14-day comment period
Duffie: SEC plan heralds all-to-all Treasuries trading
Former Fed adviser welcomes long-advocated Treasuries clearing mandate
Esma’s €4bn clearing limit sparks ire from energy firms – again
European watchdog backs rise in commodity clearing threshold from €3bn in new letter, but energy traders say it’s not enough
More trading venues face extra supervision under FCA plan
“Woolly” rules fuel concern that bulletin boards and tech providers could be swept in
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
PGIM increases credit hedges as funds add bought index CDSs
Counterparty Radar: Morgan Stanley added market share, but Goldman stayed top among dealers