Buy side
Almost half of top LPs yet to publish GFXC disclosures
FX market disclosure remains patchy, fuelling buy-side concerns over transparency
Mutual funds struggle to value Russian bonds
Filings show just how challenging pricing securities has been during crisis
Japan’s GPIF divests $1.5bn in Russia-linked assets
Pension fund cut exposure to country by 95% in the 12 months to March
European banks can’t escape SA-CCR hit, warns FX exec
Although not yet directly affected, EU dealers may feel regulation’s impact, says Goldman’s Wilkins
‘Corrective’ algo tells quant firm when it’s wrong
QTS has built a machine to show whether a strategy is likely to succeed or flop
Commodities threaten pain for initial margins
Market volatility and spot-based Simm approach may drive large margin spikes in little-tested asset class
Pimco loses $400m on failed Russia CDS bets
Revised markdowns suggest bond giant has already crystallised losses on sold credit default swaps
State Street flies high in FX forwards as Goldman, Citi dive
Counterparty Radar: Goldman loses half of market share, drops out of dealer top 10
Ukrainian debt holders brace for restructure
Investors could see a 40% haircut on the bonds, but it’s never that simple
In the age of bitcoin, buy side braces for 24/7 risk management
Investors forced to rethink “nine to five” mentality, as crypto exchange FTX proposes auto-liquidation model
SA-CCR could spur move to FX futures
Impact of new capital rules on swaps pricing could see shift to the exchange-traded product, say panellists
Eurex wants regulators to do more to kick-start EU clearing
Around half the end-user accounts opened at the CCP after Brexit remain dormant
From ‘cottage industry’ to quant-ready: prop data at JP Morgan
Unique information now “table stakes” for brokers as they compete for new clients
Is Citi’s SA-CCR hit a sign of things to come?
Higher capital costs for dealing in uncollateralised FX swaps and forwards could impact banks and clients alike
Banks turn to analytics playbook to take on FX platforms
Dealers aim to lure clients from high-fee multi-dealer platforms with improved investment analytics
Single climate risk metric ‘not realistic’, says Bank of England
Senior official argues banks and investors must weigh up multiple factors when assessing climate risk
SA-CCR hits Citi’s FX forwards pricing
Four clients say US bank has quoted “less competitive” spreads as a result of new capital regime
Stocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter
Earnings call analysis 2.0 goes beyond good and bad words
Quants develop new ways to extract signals from media-savvy chief executives and their financial statements
USD pay-fixed swaps grew in Q4 ahead of rate hike
Counterparty Radar: Pimco and Capital Group bucked the trend, leaning toward receive-fixed exposures
Ucits’ clash with IM rules could cause collateral damage
Strict collateral reuse guidelines may restrict popular investment vehicles’ hedging capabilities
Morgan Stanley bests Goldman as top US fund single-name CDS dealer
Counterparty Radar: Single-name corporate volume hits record high as Pimco increases positions
EC looks to force market’s hand in euro clearing battle
Industry exasperated as commission proposes new mandates and capital penalties for banks clearing in London
Franklin Templeton affiliates make inflation play
Counterparty Radar: Western AM, Legg Mason lead way as US funds regain interest in inflation swaps