Risk magazine - Nov 2021
Articles in this issue
Blame to spare in UK energy supplier debacle
Price cap was part of the problem, but lack of hedging and oversight also contributed
Regulatory attacks deal BSBY swaps a crippling blow
Libor successor “dead in the water” but CME sticks with cleared swap plan
Inflation swap stampede stirs fears of lopsided market
Soaring demand for inflation hedges leaves dealers struggling to balance exposure
Fed repo backstop won’t help intraday liquidity stress
Banks say lack of guidance on resolution plans means SRF may not halt liquidity hoarding behaviour
Buy side divided on euro swap clearing move
With eurocrats dithering on extension of LCH waiver, asset managers mull when – or if – to jump ship to Eurex
Expansion of ‘SOFR First’ to Eurodollars faces resistance
Non-banks may prove immune to regulatory arm-twisting in fourth wave of transition for listed markets
People moves: Quarles quits Fed, CS credit team exodus continues, and more
Latest job changes across the industry
Losing their hedge: why so many UK energy suppliers went bust
Hedging strategies were powerless to protect firms from runaway energy price rises
Inflation scenarios: tail risks loom for US equities
Portfolios could lose more than one-third of their value if inflation stays high, suggests crowdsourced scenario exercise
‘Signatures’ promise quants a tool for all jobs
Little-known mathematical technique could find applications from pricing options to sniffing out alpha signals
Term SOFR loans unite on spread amid ‘fair’ price debate
First use cases price below fallback spreads, but above market levels; illiquid derivatives may hike hedging costs
Last look: who is axing hold times, who isn’t – and who won’t say
Liquidity providers rush to review trading policies as GFXC pushes for zero hold times
Some hedge funds are financing trades for other hedge funds
After the Archegos collapse, hedge funds are competing to borrow money from a dwindling number of banks
Weather, or not: is climate risk just part of credit risk?
Practitioners divided on whether climate risk can fit into existing credit risk weights
No fair: buy side takes on pricing problem in FX forwards
Interest in TCA is growing as new data sources offer glimpse into murky swaps and forwards market
How ‘open’ became ‘random’ in Mifir open access CCP rule
EU clearing monopolies endure as share trades are rarely cleared at end-users’ chosen CCP
Stable mates: the interoperability of cryptocurrencies
Why central bank reserves could be a better option for backing stablecoins than Treasuries
Legg Mason, Western AM jump into surging inflation market
Counterparty Radar: AB, Lord Abbett, PGIM also report larger books in Q2, as swap activity ramps up
US funds pile into LatAm interest rate swaps
Counterparty Radar: Managers still enamoured of non-G10 pairs in Q2, with BRL volumes now up 104% year-to-date
US funds regain their nerve in index CDS market
Counterparty Radar: Pimco, Western AM push protection selling to new high, as buying dips
PGIM chops CDS book as others bulk up
Counterparty Radar: The firm’s shrinking single-name book pushed Bank of America and Citi down the rankings
Morgan Stanley bests Citi as top forwards shop for US funds
Counterparty Radar: A $30bn boost from Vanguard sends MS to top of Q2 charts
BNP Paribas leads EU banks on repo exposures
French bank increased securities financing transactions by €66bn in the first half of the year, the most among the bloc’s top lenders
EU’s Basel III delay invites all to play for time
The message not to dilute reforms got lost on the way from Frankfurt to Brussels
Liquidity valuation adjustment costs JPM $235m
Tweak to derivatives book weighs on the bank’s fixed income revenues
Credit Suisse’s US clearing unit cuts client margin by 37%
Required segregated customer funds down more than a third since Archegos blowup
Regulatory feedback adds $23bn to Goldman’s RWAs
The revision to the bank's standardised RWAs brought it closer to hit the so-called Collins floor
China, Turkey lead regulatory laggards on Basel III framework
Argentina, Australia, Brazil, Japan and Korea made no progress at all since May 2020
Early SA-CCR adoption to lop 120bp off Morgan Stanley’s CET1 ratio
The planned switch is set to increase the bank’s RWAs by between $35bn and $45bn
EU banks’ derivatives exposures jumped 36% in H1
Top banks added €235bn since December, amid switch to SA-CCR and a new leverage ratio template
Estimating loan loss provisions may have just got easier
Commerzbank quant proposes shortcut to calculate lifetime loan loss reserves
Approximating lifetime expected credit loss
Credit rating and collateral value's changes have a measurable impact on creditworthiness
Black basket analytics for mid-curves and spread options
A new solution to calibrate derivatives with multiple strikes is proposed
NatWest’s PB chief on not changing course after Archegos
Marcus Butt believes diversity of clients, both in size and type, is the best way to manage risk