I think I have just read the most hilarious piece of regulation ever. It's called "Duration netting rules" for leverage calculation in the AIFM (alternative funds) directive. A quick thread.
This is for funds that primarily do interest rate derivatives. So you take each derivative you have and calculate its "Equivalent underlying asset position". The definition of target duration is pure gold, but that's not my point here.
THEN, you map your derivatives into maturity buckets.
THEN you have to calculate a sophisticated sum of netted values
AND THEN COMES THE MAGIC. WHAT DO YOU DO WITH THAT NUMBER ?
Yes, you've read that right. You multiply it by 0.

BY F*** ZERO.

Seriously, who writes this ???????????
@SMTuffy I think this means a LOT for FinReg, especially sanity wise.

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More from @jeuasommenulle

1 Oct
Global control of your money, in three charts (all from the BIS report on CBDC and financial stability).

Step 1: your deposits go into CBDC Image
Step 2 : Oh but this is very risky, look what happened in Greece and with CBDC we won't even be able to see the bank runs. Image
Step 3: don't worry, I have a solution for you Image
Read 4 tweets
29 Sep
Ok, this is very weird.

The BIS Basel monitoring report is just out, and it has this very boring chart.

Yeah, yeah, we get it, Covid, bla bla bla, governments put so much money on the table that they bailed out the entire economy and there was almost no default.

BUT WAIT. 1/2
That's the same chart for bank exposures, i.e. exposures banks have on other banks.

WTF did happen????
The report has this cryptic footnote

"(25) The marked increase for bank exposures is due to a significant increase for one large bank."

WHICH BIG BANK(S) WENT BUST IN Q4 2020 WITHOUT TELLING ME??????
Read 5 tweets
29 Sep
This is German banking's finest hour.

*FRANKFURT COURT: WESTLB BAD BANK LIABLE FOR ~EU1B CUM-EX TAXES
*WESTLB BAD BANK MUST COVER PORTIGON'S EU1B CUM-EX BILL: COURT
*WESTLB BAD BANK TO APPEAL FRANKFURT COURT RULING
*WESTLB BAD BANK SEES NO LEGAL BASIS FOR PORTIGON CLAIMS
If you haven't followed:

West LB was the worst bank in Europe. They bought all the worst deals you can imagine. Think the other side of "The big short" ^2.

It was wound up in two : a bad bank, Portigon, and a VERY bad bank, ERSTE ABWICKLUNGSANSTALT, which is a public entity
Years later, it turned out West LB had also committed tax fraud in the famous cum-ex case (worth an entire thread, or four).

And now the Frankfurt court has just ordered the very bad bank (public money) to pay 1bn to the bad bank (kind of public money) to make them whole
Read 4 tweets
22 Sep
A bit late about this but I finally had the time to look at the defense arguments in the very important Meng Wanzhou extradition case. In case you have forgotten she is the CFO of Huawei and is detained in Canada on charges brought by the US.
Huawei is accused of defrauding HSBC by not disclosing the fact that Huawei controlled an Iranian subsidiary, Skycom and putting HSBC at risk of breaching US sanctions.
There is no easy way out of this for HSBC. If Meng is extradited HSBC will probably face sanctions in China. But if Meng is not extradited it could mean that HSBC faces a genuine sanction risk. Not sure which is worse.
Read 7 tweets
30 Aug
There’s something really extraordinary going on in the Irish real estate market.

Quick thread.
The @EBA_News banks’ stress test data allows u to look at the books which have the biggest loss on a country by country basis. Using only IRBA data (more risk sensitive) on can see for example that the riskiest corporate books are in Turkey (here S3 losses in adverse scenario) Image
@EBA_News Looking at retail revolving credit, Mexico is by far the riskiest country. Image
Read 8 tweets
26 Aug
You've probably seen the news that SEC & USDA in Brooklyn have launched an investigation against DWS (Deutsche Bank's AM business) for misleading ESG credentials.
On the face of it, it's mostly funny (bit like an ESG^2 story 4 the worst ESG bank of the 2010s) but it's much more.
Why? Because ESG is an unclear, fuzzy, poorly defined field. There are no clear criteria, guidelines, etc.
Anything and everything can be labelled ESG (see my earlier thread.) That's also why it's expanding so much; cheap way of virtue signaling.

BUT (& that's a big change)...
If authorities start prosecuting fake ESG, the whole thing could collapse, precisely because it's fuzzy! If ur not sure what you're doing is OK, but there's only upside, go for it. If you're not sure, but the downside is a criminal investigation, no big institution will do it!
Read 4 tweets

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