Covid
Regulators seek harmony on op resilience rules
Alignment on principles needed “in short order”, says Basel working group chair
Basel’s Rogers: little evidence capital buffers have failed
Top regulator disputes idea banks are unable to run down buffers, urges better communication
Top US dealers’ trading risk indicators varied in Q3
VAR drops sharply at JP Morgan and Goldman, stays steady at Morgan Stanley and rises at BofA
Factoring in Covid turmoil amped Bank of America's VAR in Q3
Value-at-risk averaged $109 million over three months to end-September
Back to school: BlackRock uses quant quake lessons on Covid
Pandemic prompts a switch in approach from strategic to tactical
Pandemic exposes design flaws in bank capital buffers
The banking system’s shock-absorbers did not work as intended during the Covid-19 crisis
Banks warn of rise in ransomware attacks
OpRisk Europe: Banks must improve resilience of remote-working staff, says Wells Fargo financial crime expert
Op risk data: Record $920m fine for JP metals ploy
Also: counting the cost of Covid cons; Citi audio dynamite. Data by ORX News
Citi turns to fintech to boost FCM interest income
Clearing giant is optimising its treasury function to combat low rates and CCP fee hikes
Science friction: some tire of waiting for quantum’s leap
Use cases for new tech are piling up – from CVA to VAR. But so are the obstacles
BoE may update resilience guidance, post-Covid
OpRisk Europe: Granular targets on minimum service provision after outages could be revisited, adviser suggests
Broken backtests leave quant researchers at a loss
As historical data loses relevance, quants must find new ways to validate their theories
EU banks’ capital gauges show mixed recovery from Covid hit
Tier 1 leverage ratios fall for second quarter in a row
FICC default exposure exceeded size of clearing fund in Q2
Mortgage-backed securities division had $887 million of uncovered exposure to collapse of two members
Sovereign bond IM increases at LCH Ltd
Margin held in own sovereign debt up 50% year-on-year
European banks’ liquidity ratios improved over H1
Average ratio across 23 lenders climbed to 151%
Which EU banks hold the most loans subject to Covid relief?
UK lender Lloyds had 13% of its loan book under payment moratoria as of June 30
Fund managers seek to plug holes in ESG data
Social intel proves elusive as virus reawakens sense of corporate virtue
VAR spasms heap market risk charges on EU G-Sibs
VAR-based charges increase 94% on end-2019
Bonds go back to the future as electronic volumes grow
Surge in bond ETFs and portfolio trades accompanies investor return to platforms
Autocalamity: can hit product be reinvented?
Spreads on ‘worst-of’ bonds leap 50% as some dealers retreat and others pile on hedges
US bank systemic risk indicators stay elevated through Q2
Increase in exposures, short-term wholesale funding bump systemic risk scores higher at some firms
Eurozone funds favoured US equities in Q2
Investment funds also bought up eurozone bank stocks
Fed’s second round of stress tests to push banks’ limits
Worst-case scenario sees unemployment peak at 12.5%