Hedge funds
Credit Suisse and the Wild West of synthetic prime brokerage
Industry insiders describe a frontier business with few rules – and plenty of questionable practices
Who wants to buy US Treasuries?
Federal Reserve’s journey to tapering will be paved with volatility and weaker demand
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
After Archegos, Credit Suisse clients tap rivals for clearing
Swiss bank is said to have lost clearing business amid uncertainty over its future
EU funds levered up over 2019
Gross hedge fund leverage came to 6,450% of NAV
The price of liquidity in the reinsurance of fund returns
The authors consider a new type of contract for insuring the returns of hedge funds and aim to extend downside protection to an investment portfolio beyond the first tranche of losses insured by first-loss fee structures, which have become increasingly…
What good are risk disclosures anyway?
Regulatory filings and shareholder reports offered no heads-up of Archegos’ troubles
No short answer: hedge funds hesitate on Europe’s ESG rules
SFDR sustainability calculations leave firms uncertain how short positions should be disclosed
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
CDS trading remains stubbornly human
Buy-siders sceptical of benefits of algo execution for credit derivatives
Dealers warn of trouble ahead as Treasury issuance swells
Repeat of February’s ‘Black Thursday’ likely if Fed ends leverage ratio exemptions, banks say
Cracks start to show in US reflation bets craze
Some hedge funds believe popular bets on rise in US inflation have run out of steam
Buy-side physical FX clearing at LCH faces scepticism
Lack of clearing mandate and settlement wrangles mean demand for putative service remains weak
Hedge fund of the year: Saba Capital Management
Risk Awards 2021: credit specialist proved its worth in the Covid crisis
Funds steering clear of bets on Libor timeline after losses
Despite FCA assurances, most actively traded swap bases have not yet widened back to November levels
Review of 2020: chaos on a roll
Vanishing liquidity, the Ronin collapse, XVAs – the pandemic wreaked havoc in risk transfer markets
Diginex chief on taming the Wild East of cryptocurrencies
Asia Risk 25: Singapore-based digital exchange wants to bring respectability – and regulation – to the sector
Esma warns of UK-sized hole in Europe’s fund leverage radar
Executive at hedge fund AQR also urges reform of EU leverage measures to better assess risk
Model misfires raise questions over training data
Quants wrestle with how far into the past their machine learning models should peer
UBS gears up for another tilt at clearing
Swiss bank makes senior hires and upgrades tech platform ahead of Brexit and leverage offset
Basis trades: a test case for regulating risky activities
FSOC is right to focus on dangerous behaviour, but Treasury meltdown reveals a complex chain of actors
Bailed-out basis traders face regulatory backlash
The cash/futures basis trade could be a test case for regulating systemically risky activities
CME asks clients about changing implied UST futures coupon
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
Rent-a-fund managers rebuff ‘misguided’ Esma criticism
Europe regulator warns of conflicts of interest between risk and portfolio managers in AIFMD delegation model