Leverage
Dealer views mixed over future of profitable EM FX carry trade
Emerging market FX carry trades have generated 7.5% returns since April, but dealers question longevity
SFT exposures surge at EU banks
Jump in repo and securities lending activity across 31 European dealers elevated total exposures to €802bn in H1
During a health crisis should you invest in gold or oil?
Employing advanced econometric models, this paper analyzes the volatility behavior of gold and oil prices during the Covid-19 pandemic.
Asia investors turn to inverse ETFs for hedging
US-based Direxion eyes Asia listings, while CSOP expands product range to single names
Regulators urged to keep specials out of repo haircut debate
Industry experts say negative haircuts on scarcer collateral shouldn’t be seen as alarming
Fed’s new leverage ratio: the horse that never left the gate
Most of the biggest dealers aren’t leverage constrained now, and experts are sceptical that banks will use the extra capacity for Treasuries
LBBW breaches leverage floor in EBA stress test
Adverse scenario would erode €229bn in CET1 capital across 64 banks
Is the Netherlands the EU’s main source of counterparty risk?
Experts surprised by results of exploratory scenario in 2025 ECB stress-test
PNC’s Demchak – SLR reform all about hedge fund capacity
Chief executive says proposals mainly designed to allow hedge funds to buy growing US Treasuries stockpile
Collateral cushions swell as US hedge fund borrowing tops $5.6trn
Top 10 funds’ borrowing becomes 3.7% over-collateralised amid record Q1 leverage
Barr slams weakening of bank supervisory tests
Fed governor warns deregulation during boom times ushers in crises
Morgan Stanley, Goldman to benefit most from TLAC and LTD reform
Fed’s eSLR overhaul slashes requirements for large US banks, ushering in lighter capital demands
US G-Sibs set to reclaim $6.6trn in leverage room under eSLR reform
Replacement of fixed 2% buffer with variable add-on could cut requirements by up to 150bp
High leverage in US REITs raises red flags, says FSB
Non-bank CRE investors at risk from falling prices and refinancing crunch
ABN Amro trading equity volume doubled to €31trn in 2024
Dutch bank outpaces all European peers on key systemic risk metric and trails only three US firms
BoE takes subtle leverage snipe at CCP cross-margining
Margin offsets might increase risk, but could also encourage more central clearing
Podcast: Fabrizio Anfuso on computing for Archegos-like event exposures
BoE quant discusses top-down counterparty risk framework using Gaussian distributions and copulae
Citadel exec questions regulatory findings on repo haircuts
Isda AGM: OFR analysis didn’t account for excess collateral held against cleared positions in related trades
FSB exec says reduction of NBFI leverage not a target
Isda AGM: Martin Moloney says the body isn’t seeking wholesale cut in leverage across markets
Dodging a steamroller: how the basis trade survived the tariff tantrum
Higher margins, rising yields and stable repo funding helped avert another disruptive blow-up
The WWR in the tail: a Monte Carlo framework for CCR stress testing
A methodology to compute stressed exposures based on a Gaussian copula and mixture distributions is introduced