Valuation
How corporates are tooling up for FX risk
Unstable markets have forced corporate treasurers to adopt whizzier methods for managing currency exposures
Be careful what you’re paid for
Pinning down the illiquidity premium in private credit is no easy task
Pension funds weigh corporate bonds as margin for gilt repo
Stung by disastrous losses during last year’s LDI squeeze, funds consider greater range of collateral on gilt repo
Like your CSA dirty? It’ll cost more
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
Legacy legal costs could stretch state support for UBS
Downside protection of Sfr9 billion must cover numerous outstanding claims against Credit Suisse
US banks vulnerable to losses if HTM securities need to be sold
Overall mark-to-market value $300bn lower than amortised cost across 30 banks
At US banks, less than 50% of liquid assets classified as AFS
Goldman Sachs reported smallest proportion relative to HQLAs across US banks subject to LCR
Is low vol crowded? That depends who you ask
Equity drawdowns have pushed more investors into low volatility strategies, raising fears of a build-up of risk
EU G-Sibs outpace non-systemic peers on Level 3 asset growth
Increase in mark-to-model holdings threatens to inflate too-big-to-fail lenders’ systemic profile
Illiquid assets throw UK pensions off balance
Collapse in equity and bond prices leaves some funds with outsized exposure to private holdings
Margining solution of the year: S&P Global Market Intelligence
Asia Risk Awards 2022
Bailed-out Uniper suffered €14bn derivatives markdown in H1
Company cut value of gas forwards contracts due to risk of reduced deliveries from Russia
Natixis fined for mismarking US rates and equities positions
Former rates trader overstated P&L by $25m, while equities traders smoothed profits after 2018 windfall
Growth to value, and back via quality
Inflation-fuelled stock rotations are full of complexity
How Citi is handling topsy-turvy rates markets
Talking Heads 2022: Rate hikes and inflation have forced a rethink of the US bank’s hedging strategies
The contractual dividend bleed
Models for dividend protected options need to compensate for valuation mismatches
Mutual funds struggle to value Russian bonds
Filings show just how challenging pricing securities has been during crisis
Fair value gains give JP Morgan DFAST edge
Bank was only one to record bigger capital lift from AOCI by end of test’s horizon
From ‘cottage industry’ to quant-ready: prop data at JP Morgan
Unique information now “table stakes” for brokers as they compete for new clients
Turbulent markets put focus on evaluated pricing
Jayme Fagas, global head of valuations and transparency services at Refinitiv, explores why, in such an environment, firms need to have the right evaluated pricing to ensure they are pricing their portfolios at fair value levels and complying with…
Avoid the rush: don’t let UMR implementation for phase six catch you off–guard
With firms soon to be subjected to phase six of the uncleared margin rules (UMR), the implementation of phase five has taught a series of valuable lessons. Firms must grasp the complexity of the processes and ensure they are prepared in time for…
Machine learning models: the new standard in capital markets
Zoi Fletcher speaks to Alexander Sokol, founder and executive chairman at CompatibL, about why he believes machine learning technology will be used to calculate risk measures across the industry going forward
Legacy Libor swaptions face day of reckoning
Holders of physically settled swaptions in sterling and yen must switch to new risk-free rates, but it’s not simple
For OTC derivatives, the pricing (still) isn’t right
Financial instrument expert Dirk Schubert on how post-GFC rules have caused prices and valuations to diverge