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Long shadow of Apollo looms over turmoil at Athora
A Risk.net investigation reveals a troubling picture of the US asset manager’s European insurance project, which has been roiled by high management turnover and sizable losses on derivatives and funds used for asset-liability management.
Former Athora employees place the blame squarely on Apollo – the insurer’s main shareholder and asset manager – which they say has more control over its affiliate than governance rules envisage.
“The grief in the organisation is dramatic,” says one former employee.
AFS securities sale costs Truist $6.8bn
Purge of investment securities marks largest single-quarter loss by a US bank in 10 years
Hedge funds pile into euro systematic gamma selling
Range-bound rates markets in Europe entice hedge funds to sell short-dated straddle positions
Risk data
IDB to expand contingent swap scheme in Latin America
New mechanism gives regional development banks cheaper FX rates with hedges linked to credit events
American Express set to become category III bank
Payment card lender to be subject to stricter capital, liquidity and prudential requirements from next quarter
Rates markets rattled as CrowdStrike error hits broker pricing feeds
Dealers widened spreads and pulled live curves after TP Icap’s pricing feeds went offline
BASEL III ENDGAME
Study finds just 10 banks plan to apply for FRTB models
Research provides extra insight on reasons for decline in internal models
Banks cry foul over shock decision from Basel Committee
Asset and liability management professionals question severity of criteria in revised IRRBB tests
Discord deepens over fund-linked trades in FRTB
More banks use punitive approach to capital treatment under new trading book regime, irking regulators
Vendors lack silver bullet for FRTB’s fund-linked issue
EU and UK legislators tried to ease capital charge by leaning on vendors, but problems persist
Risk Quantum
Data insights, delivered daily
Risk Quantum tracks thousands of data points across hundreds of metrics from organisations that represent a cross-section of the financial system. Published daily, articles are short and broken into chunks – the facts, the context and a brief commentary – and use data visualisations to get each story across.
AFS securities sale costs Truist $6.8bn
Purge of investment securities marks largest single-quarter loss by a US bank in 10 years
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
Counterparty Radar is based on position data from around 20,000 US mutual funds and ETFs, rolled up to the manager level – it shows the OTC derivatives they have on their books, and who they traded them with, providing unique insights into an important market segment. More info
Capital Group grows interest rates swaps book by 62%
Counterparty Radar: Aggregate notional of US mutual fund and ETF positions hit $957 billion in Q1
CREDIT RISK
House of cards? The $3 trillion (non-systemic) real estate risk
Regional banks share the bulk of US commercial real estate exposure, but the sector’s downturn doesn’t faze them
More data urged for effective counterparty credit risk management
Disclosure of client positions may not be commercially realistic, expert warns
Banks look to offload ‘orphan’ hedge risk
Bespoke CDSs shift private credit borrowers’ derivatives default exposures back to the buy side
Capital rules explain leverage craving in US bank risk transfers
Tougher requirements have led to conservative structuring and lower coupons
Op risk benchmarking
Our new research service compares op risk practices at financial institutions – from staffing to AI safeguards, key controls to board reporting packs.
Equity derivatives
Taming of the skew sparks new debate over 0DTEs
Some pin lower put premium on short-dated market-maker hedging; others cite fundamentals
Gamma jitters from defined outcome funds
Tumbling equity markets could flip dealers’ exposure to gamma from long to short, leading to hedging losses
OCC readies new intraday margin requirement
Draft measure would cover all options positions including 0DTEs
The coming AI revolution in QIS
The first machine learning-based equity indexes launched in 2019. They are finally gaining traction with investors
Dealer rankings 2024
Risk.net’s Dealer Rankings describe the sell-side hierarchy in 10 OTC derivatives markets using data from quarterly US mutual fund, ETF and life insurer disclosures – see which banks are active in each instrument, the size of their books and whether they are growing.
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