Covid
Margin breaches exceed €500m at Eurex in Q1
Eurex disclosed 3,180 margin shortfalls over twelve months to end-March
Discover, Capital One loans ravaged by Fed stress test
Credit card losses especially pronounced among regional US lenders
Funds warm to Esma liquidity rules after Covid crisis
Funds are embracing stress-testing, and swing pricing, after “a real liquidity crisis” in March
Libor switch, US capital problems and operating in lockdown
The week on Risk.net, June 20-26, 2020
Fed’s Covid scenarios far harsher than latest stress tests
Under worst-case, 25% of banks would have post-stress CET1 ratios of less than 4.8%
Goldman faces high stress capital buffer after Fed tests
Bank projects 640bp peak-to-trough capital hit in DFAST
FCMs feared systemic incident during March back-office meltdown
Trade breaks following Covid-19 spike in futures volumes required massive clean-up job, says BofA exec
Bruised, not broken: execs say Libor switch on track despite Covid
Compressed timeline for transition may leave smaller firms struggling to meet end-2021 deadline
Giant US banks outgrew smaller rivals in Q1
Banks over $10 billion in size also saw Tier 1 leverage ratios fall furthest
Higher margins would aid clearing stability – Ice Clear chief
Using volatility floors to aid “higher margins in peacetime” would have to be globally applied policy, warns Serafini
US banks face capital hit from resurgent advanced approaches
Banks pushed onto internal models wrestle with procyclical capital charges
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking
Equity derivatives aided BlackRock funds in March
Flagship Strategic Income Opportunities fund posted $253 million in net derivatives gains at height of Covid crunch
How UBS kept workers plugged in during the pandemic
Swiss bank’s A3 virtual desktop system offers a blueprint for remote working
Capital relief trades make slow comeback from Covid slump
European synthetic credit risk transfer market now more expensive for banks
Covid shock could topple US insurers’ exotic CLOs
Losses on “atypical” tranches could hit $899 million
Banks braced for mystery coronavirus add-on to CCAR
Uncertainty surrounds scenario design and impact on stress capital buffer, dividends
Podcast: Lipton and de Prado on Covid and trading strategies
Top quants discuss collaboration and their worries about the economic recovery
Eurex’s risk chief on the need for boring models
Banks need stability and predictability of VAR-based margin when volatility spikes, says clearing house CRO
BlackRock's muni funds slow to rebound from Covid crunch
Cumulative returns have barely edged up for these funds since end-March
Eurex CRO: market meltdown will mean margins stay higher
Record breaches at global exchanges fuelling pressure to keep rates permanently higher, says risk chief
Sold CDS notionals climbed 16% at top US banks in Q1
Net fair value of credit protection positions vaults to $5.3 billion
Short funds’ moment in the sun is over
DSB funds are in the red year-to-date after a spectacular performance through March
Quant firm deploys new metric for Covid sensitivity
Los Angeles Capital debuts new factor for measuring stocks’ sensitivity to the pandemic