Risk magazine - May 2021
Articles in this issue
How Credit Suisse fell victim to its own success
Roots of Archegos loss can be traced to business strategy the bank embraced back in 2006
Credit Suisse held just 10% margin against Archegos book
Swiss bank gave family office 10 times leverage, compared with four or five times at Goldman
Simm template to be expanded for SA-CCR and FRTB
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
Would margin rules have checked Archegos? Perhaps not
Regulator-prescribed margin methodology permits six-times leverage on equity swaps
Isda preps swaps blueprint for new Bloomberg rates benchmark
Credit-sensitive SOFR add-on could be included in Isda’s interest rate definitions by mid-April
Botched fallbacks leave CLOs facing early Libor switch
Nearly two-thirds of CRE securitisations issued since 2019 have already triggered fallback clauses
CME unveils term SOFR in face of ARRC doubts
Exchange group says benchmark aligns with ARRC principles – but committee has pushed back endorsement plans
People moves: senior swaps at HSBC, new CEO for Nomura, and more
Latest job changes across the industry
Credit Suisse and the Wild West of synthetic prime brokerage
Industry insiders describe a frontier business with few rules – and plenty of questionable practices
Euro swaps clearing showdown pits banks against Brussels
Forcing swaps clearing to Frankfurt would play into hands of US rivals, say European dealers
ESG derivatives – From equity to fixed income and beyond
In a Risk.net webinar convened in association with Eurex, panellists discuss the rising demand for and their own experiences of using and developing ESG derivatives, their views on future developments and the challenges of growing the market
Inelastic markets: how index funds fuelled the meme stock frenzy
Retail traders can dictate prices in markets dominated by passive investors
Energy Risk Commodity Rankings: firms provide a lifeline in choppy waters
Winners of the 2021 Energy Risk Commodity Rankings supported clients in unprecedented times to be voted counterparties of choice
Energy Risk Software Rankings: testing times for technology
Commodities software users vote for the technologies that steered them through the recent chaos
Strange new world of Covid economics upends loan-loss models
Models wrong-footed by government support, slumps in whole sectors and differences within industries
The US Treasury’s great market makeover
Changes to regulation will need to take account of evolving market structure
Who wants to buy US Treasuries?
Federal Reserve’s journey to tapering will be paved with volatility and weaker demand
Net losers? Benefits of clearing US Treasuries are cloudy
Practical obstacles and questionable netting benefits muddy the path to a clearing mandate, argues economist
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
Esma plan ‘won’t help’ fix Mifid swaps data problem
Dealers say proposal to force disclosure of all big-bank OTC derivatives trades won’t improve data
Warren Buffett becomes litmus test for ESG investors
Asset managers plan to vote against boards of companies that lack a climate strategy
Government bond swaptions and how they might work
Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs
Risk management is not a job for compliance
Credit Suisse losses show why boards require real risk management expertise, says ex-BoE supervisor
Traders say BoE green bond purchase scheme could sap liquidity
Updated plan could spike market volatility – harming not only brown bonds, say dealers
Swipe left: repo reporting no match for Brexit, or collateral
A happier start than Emir, but SFTR honeymoon is over now that trades report separately in UK and EU
For EU banks, there can be no ‘back to normal’
The ECB’s recent review of risk models shows lenders got it all wrong pre-pandemic
The Fundamental Review of the Trading Book and fat tails
Conservative capital buffers may not be enough to protect against tail events
An end to replication
Convexity adjustments can be valued with an analytical formula, avoiding replication arguments
What is the volatility of an Asian option?
An adjustment for the volatility smile in Asian options is proposed
Drax commits to ESG-linked FX derivative targets with UK banks
Renewable energy supplier applies long-term ESG KPIs to short-term FX trades with Barclays and NatWest