News
After coronavirus rout, concerns raised about Simm
Annual recalibration means March volatility will not be reflected in margin until end-2021
Banking regulator: beef up security in Covid-19 remote working era
OCC security controller warns cybercriminals exploiting wider attack surface created by remote working
EU banks seek FRTB delay, citing ‘strain’ of virus
Firms want leeway to fight market mayhem, minus burden of new reporting rules
Covid-19 frazzles AI fraud systems
Seismic changes in customer behaviour see machine learning solutions throw out false positives
Fed action fails to dampen spreads for riskier credits
Borrowing costs for some issuers are still two to three times the historical average
Analysts close to disasters make better calls, study claims
Gloomy forecasts from those traumatised by nearby events give quirky demonstration of behavioural bias
Quants warn on credit risk in stocks
Conventional models may be missing explosion in novel exposure
US banks still fret about cutting liquidity buffers
Fed instructions to banks to run down LCR undermined by governance rules, other liquidity metrics
Money funds turn to Fed facility amid record inflows
MMFs are accepting 0% returns and waiving management fees to avoid ‘breaking the buck’
Dollar funding squeeze eases after March madness
Fed action helps restore equilibrium, leaving fears of quarter-end crunch unfounded
Sluggish back-office systems added to margin pressures
Systems supplied by FIS struggled to handle massive spike in March trading volumes
Debelle: regulation could be ‘helpful’ to FX code
As EU weighs regulation of spot market, GFXC chair dismisses key industry argument
RBS exits listed derivatives trading and clearing
Clients served eviction notices last week as bank moves to downsize NatWest Markets unit
Dividend delays upend pricing of Eurostoxx futures, options
Investors that rolled futures contracts before companies axed AGMs “could have lost a lot of money”
Libor webinars: loans, bonds and derivatives
Listen here to three Risk.net webinars, covering topics from transition timelines to market turmoil
FX swap users hope to avoid month-end crunch
Blowout in spreads prompted SSGA and other managers to limit need for hedges today
Hedge funds see big gains on dividend curve trades
A popular relative value strategy delivered unexpected profits when companies axed payouts
Virus turmoil threatens swaps discounting switch
Clearing houses expect deadlines to be met, but swaps users are not so sure
Asia CCPs forced to hike margins rapidly during equities rout
Margins for Nikkei 225 futures more than doubled at JSCC in a matter of days
Hedge fund Parplus said to be source of ABN’s $200m loss
New York-based volatility fund had close ties to defaulted prop shop Ronin Capital
ABN winds down Ronin books after Vix losses
$200m loss suffered by bank’s clearing business is thought to be mystery second default
Industry calls for suspension of IM compliance dates
Associations warn phase five deadline may no longer be possible for hundreds of buy-side firms amid Covid-19 disruption
Covid-19 disruptions expose Libor loan fallback flaws
Amending legacy loans during a crisis will prove challenging, ARRC member warns
ESG-linked hedges raise interest – and questions
Carrot-and-stick trades pay off if green targets are hit, but setting and monitoring those goals is tricky