Hedge funds
UBS incurred two VAR breaches in Q2
Risk Quantum understands the VAR backtesting exceptions stemmed from the Archegos blowout
JP Morgan warns hedge funds to expect intraday margin calls
US bank may demand variation margin ‘up to seven’ times a day after Archegos default
EC drafting proposal for derivatives consolidated tape
Commission official says beta version ready for testing in 2023 will also include equities, bonds and ETFs
Margin matters – A smarter approach to margin risk
Michael Hollingsworth, head of financial risk analytics in the Data and Access Solutions division at Cboe Global Markets, reveals how trading firms are calculating margin in real time to manage pre- and post-trade risk and end-of-day clearing-house…
Hedge funds and the rebound in collateral velocity
Reuse rate of collateral points to growing fragility and interconnectedness in financial markets
Trouble in the family: regulators’ options after Archegos
What rule changes are needed in response to the messy collapse of Bill Hwang’s firm?
Could an Archegos blindside banks in Europe? Not really
Archegos’ banks were burnt by its hidden US swaps – in much of Europe, they would have to be public
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