Risk magazine - Jan 2023
In this issue: How crypto derivatives were legally sold to EU customers; how ASX’s equity settlement system failed; Review of the year; and much more.
Cover detail: Cornish Glow by Martyn Dempsey
www.anne-mariebainbridge.co.uk
am.b@btopenworld.com
Articles in this issue
How did EU regulators miss the FTX horror story?
Gruesome accounting practices and a questionable cast: plenty of grounds to reject Mifid licence
LCH explores crypto derivatives clearing
CCP mulls partnership with GFO-X for clearing of crypto index futures and options
SOFR remains elusive in US dollar collateral agreements
Derivatives users slow to amend CSAs amid market volatility and looming Libor deadline
FCA’s synthetic Libor plan could trigger US legal disputes
Tough legacy solution threatens to override existing fallbacks in some US law contracts
BoJ policy shift sends traders to hedge downside yen moves
Hedge funds and corporates rush to FX options following central bank move
Ukraine war exposes risks in ‘naive’ ESG investing
Quants say funds have underperformed and will not aid transition to net zero
‘Holes’ in new UK regulatory net worry trading venues
Regulated venues say rival firms might unfairly escape oversight in activities such as blocking trades and price aggregation
People: LME chair quits, Goldman and BlackRock lay-offs, and more
Latest job changes across the industry
FTX’s Mifid licence exposes Europe’s regulatory gaps
Could Cyprus have spotted the warning signs before handing FTX the keys to European customers?
Broken chains: how DLT code switch compounded ASX fail
Vendors deemed to suffer most in fallout from “paused” blockchain settlement project
Bot’s job? Quants question AI’s model validation powers
But supervisors cautiously welcome next-gen model risk management
Does ESG investing have a problem with fiduciary duty?
Q&A: Fiduciaries must be able to show returns are driving investment thinking, says fund law professor
Can algos collude? Quants are finding out
Oxford-Man Institute is among those asking: could algorithms gang up and squeeze customers?
Review of 2022: Fighting on all fronts
Macro headlines unleashed micro-horrors, as margins soared, correlations cracked and crypto markets imploded
FX primary venues seek reversal of fortunes
EBS and Refinitiv fight to restore market share – but bilateral trading may be too entrenched, dealers say
How UBS AM is stress-testing for liquidity risk
Policy shifts in Japan, China among scenarios under review at Swiss asset manager
Repo clearing: trends, developments and outlook
Recent volatility in the UK gilt market has highlighted the repo market’s need for CCP stability, predictability and resilience. LCH RepoClear unpacks the trends and key developments of 2022, and shares an outlook for 2023
When markets offer lemons, Lynx makes lemonade
Swedish asset manager has had bumper year with trend-following platform tailored for troubled times
A crypto CCP is still a CCP
For crypto infrastructure rules, regulators need speed before perfection, says former BoE adviser
Client margin for swaps drops to virtually zero at Credit Suisse
Required funds posted to the bank’s US clearing unit totalled $12 at end-2022
ECB ratchets up Pillar 2 charges across top lenders
UniCredit, BNP Paribas, SEB and Swedbank worst-hit in latest SREP round
Japan dealers’ derivatives exposures keep inflating
MUFG, SMFG and SMTH added almost ¥6 trillion to their balance sheets in the three months to end-September
F-IRB captured more of EU banks’ credit risk in H1
Gains mostly accrued from bank-modelled A-IRB portfolios
Ice Europe made $7.8bn VM call in Q3
Highest cash call on record triggered by higher commodity prices as Europe energy crisis persists
CME revises estimated worst-case payment obligation
IRS and F&O clearing units both subject to revision in Q3
Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
Trading the vol-of-vol risk premium
Applications of the vol-of-vol parameter for cross-asset derivatives are presented
Why Shenwan Hongyuan welcomes foreign banks to China
Securities firm sees opportunities to work together, but says it has the edge with local clients
