Portfolio
US banks seize chance to transfer securities from HTM to AFS
Wells Fargo, JP Morgan and Citi reclassify $34bn following new hedge accounting treatment
How Man Numeric found SVB red flags in credit data
Network analysis helps quant shop spot concentration and contagion risks
A model for small basket equities financing
A haircut model for equity baskets based on credit and equity indexes is introduced
ING’s Russia loans sour five times faster than UniCredit’s
Risk density of Dutch bank’s Russia portfolio soars from 54% to 229% during 2022
HTM securities hit $2.5trn at US banks in 2022
BofA, First Foundation and Wells Fargo reported largest share of HTM to total securities behind SVB
At regional US banks, BTFP-eligible securities top $300bn
Assets classified as held-to-maturity made up less than 19% of aggregate securities portfolios in 2022
Momentum transformer: an interpretable deep learning trading model
An attention-based deep learning model for trading is presented
‘Globalisation rewired’: what does it mean for investors?
After half a century of outsourcing production to developing nations, companies are changing tack – with long-term implications for investors
Allocating and forecasting changes in risk
This paper considers time-dependent portfolios and discuss the allocation of changes in the risk of a portfolio to changes in the portfolio’s components.
FX Smart Clearing at LCH ForexClear: solving SA-CCR capital challenges
LCH ForexClear explores how, with the standardised approach to counterparty credit risk increasing the capital requirements of banks’ FX portfolios, its FX Smart Clearing solution can reduce capital burden and achieve additional savings for members
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
MMFs’ reverse repos with Fed surged 35% last year
Fidelity-run funds drove 29% of the $601 billion in new trades
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
JP Morgan nets $1.9 billion bond book gain in swift turnaround
Q4 reversal in fair-value securities powers record quarterly increase in CET1 capital
Pricing options using expected profit and loss measures
The authors investigate the pricing of options using an EP-EL approach, finding that this methodology generates large amounts of useful information for option traders.
UBS cuts liquidity valuation adjustments to record low
Bank lowered bid-offer fair value discount to reflect current levels of market liquidity
Barclays, Deutsche, Credit Suisse take $437m hit on leveraged loans
Higher interest rates eroded value of facilities stuck in pre-syndication during Q3
HSBC’s quarterly UK provisions rose 111% in Q3
Uncertainty around interest rates and political stability reflected in model overlays
BNY, State Street took $6.5bn fair-value hit to bonds in Q3
Eroding prices of RMBSs and govies keep widening unrealised losses
EU banks add overlays as crises evade modelling
Lenders buttress provisions against unpredictable fallout from Russia's invasion of Ukraine
Rabobank’s shaky loans up 35% on emissions cut plans
Bank says Dutch government proposal to reduce pollution from livestock farming risks making loans unviable
Allianz, Generali post €52bn in fair value losses in H1
Bond portfolio values crash as equities tailwinds fades
Commerz’s VAR multiplier ratchets up after H1 breaches
Bank dodged increase in market RWAs by rebalancing to a lower-risk trading portfolio
Exploring the equity–bond relationship in a low-rate environment with unsupervised learning
The authors apply k-means clustering to low interest rate periods in order to analyze the equity hedging property of government bonds.