European alternative investment funds (AIF) are heavily dependent on reverse repo to fund their business activities, exposing the industry to liquidity transformation and rollover risk, a report by the European Securities and Markets Authority (Esma) shows.
Almost 60% of total borrowings among these funds are through reverse repo, while a further 18% is funding secured by other means. Only 10% of funding is made up of unsecured borrowings.
Hedge funds, a subset of AIF, rely strongly on short
- People moves: SocGen adds in prime services, Deutsche fills new rates hole, HSBC makes model move, and more
- Credit risk quants are hitting the tech gap
- Princeton tops inaugural Risk.net quant master’s ranking
- Does credit risk need an expected shortfall-style revamp?
- Teach history to avoid mistakes of yesterday’s quants