This week’s BoE intervention in the gilts market was not a shock. It was exactly what pension funds had warned would happen if their long-dated liability hedges were subject to cash margin requirements. Way back when, https://t.co/Qxvd48UOYu wrote about this stuff a LOT. Thread!
If you haven't read this from @TunsteadRebekah and @LukasBeckerRisk (published the day before BoE announcement), it's still free to view. As are all @RiskDotNet articles for our Open Day today. https://t.co/yJAX1VVmWZ
It’s Open Day on @RiskDotNet. All content is free to read until the end of today. Here’s our latest on those pesky products that tripped up Archegos’s banks. https://t.co/0hFOhZ0N4m
@ChristophSpink @ifrtweets @IFR_Owen @JosieCox_London TBF, I'd probably have swiped an extra lemon tart or two if @ChristophSpink hadn't kept such a beady eye on them.
Whales have become synonymous with outsize risk at banks. UBS hopes to change that as it unleashes Orca - its machine learning algo - for rates clients (though technically an orca is a dolphin...) https://t.co/1GeSr9whZF
The comment period on Isda's CDS fix closes today. There's broad support, but some want more clarity around rules whose main aim is to create uncertainty. https://t.co/OrJT4yYDgG
Autocallable bonds: The retail investment success story of the last dacade has laden issuers with complex exotic risk. Now at full capacity, structured products dealers are eager to diversify https://t.co/QlKxTN1NOz
BCBS/Iosco's margin relief will lift hundreds of buyside from a documentation burden, but they may still have to calculate IM and seek regulatory approval to use the industry's preferred models. https://t.co/Ryxy3ykZEn
RPI reform is back on the agenda but traders are being cautious after calling it wrong last time. This time round, investor losses stemming from reforms could be even greater, making a fix all the more difficult. https://t.co/tVf2k7zMXe