Archegos
Risk management overhauls juggle speed and independence
Some banks say the 1.5 line of defence responds faster to risk, but supervisors are still divided
Counterparty risk model links defaults to portfolio values
Fed’s Michael Pykhtin proposes using copula models to capture effects of margin calls on default risk
Hwang trial exposes flaws in verbal information handling
Court shown discrepancies in audio and email records; Credit Suisse insider says “fair amount” of intel slipped through cracks
Basel triggers new tussle on anti-Archegos rules
Critics argue new guidelines on counterparty credit risk are either unworkable, or don’t go far enough to tackle concentration and wrong-way risk
Buy side would welcome more guidance on managing margin calls
FSB report calls for regulators to review existing standards for non-bank liquidity management
Should the ECB stress-test counterparty default risks?
The US Fed already does, but it is notable that EU banks were less exposed to Archegos
Fed unveils hyper-Archegos test to reveal bank blow-up risks
CCAR for 2024 includes analysis of simultaneous defaults of five largest hedge fund clients
People: Estrada, Horne out in Credit Suisse rout, Belsher to Barclays, and more
Latest job changes across the industry
Roll up for the BoE’s counterparty mystery tour
Letter warns of cross-currency repo risks, but they didn’t feature in Archegos or LDI blow-ups
Op risk data: UBS lands $380m Archegos loss
Also: BofA billed for bilking customers; red faces over Deutsche greenwashing. Data by ORX News
ECB zeroes in on wrong-way risk as a key lesson of Archegos
Counterparty risk experts agree with focus on “long-neglected” topic after family office default
SEC plans ‘pose reverse-engineering threat to quant funds’
Managers say proposed disclosure rules would lead to less efficient markets
SEC reporting rule threatens CDS liquidity, say traders
Market participants say proposals for identifiable position reporting will hamper bank lending
Was Archegos default a one-in-a-million event?
BoE quant says neglecting high leverage and WWR may create conditions for similar blow-ups
People: LME chair quits, Goldman and BlackRock lay-offs, and more
Latest job changes across the industry
Equity swap clearing: LSEG aims to sway naysayers
Initial margin, SA-CCR and Archegos fuel comeback of total return swap clearing, but scepticism remains
Chill winds blow for Capitolis’s equity swap platform
Fintech’s effort to revive off-balance-sheet funding runs into market and regulatory turbulence
Op risk data: Banks slapped for lax WhatsApp oversight
Also: Wintermute suffers crypto hack; CS settles over Archegos and Greensill. Data by ORX News
Client margin at Credit Suisse shrinks to just $25m
Required funds for swaps meet same fate as F&O trades, as exit from prime services continues
Top Fed watchdog supports non-bank Sifi designation
Vice-chair Barr complains regulators lack “even basic data” on some areas of shadow banking
Archegos revives Lehman-era trade booking controversy
Experts debate whether defaulted TRS positions should have become house exposures immediately