Covid
Capital One oil swaps waiver could haunt CFTC
Oil price collapse raises fresh questions about regulator’s justification for offering relief
Banks reject SOFR in Fed’s Covid lending schemes
Emergency loans to businesses get caught up in Libor transition
US banks’ leverage soared in Q1 before Fed’s reprieve
JP Morgan alone saw leverage exposure climb $112 billion
How regional banks could shape US Libor replacement
Regulators convene working group to address credit sensitivity concerns
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
EU banks diversified sovereign holdings in 2019
Yet banks in peripheral eurozone countries still heavily exposed to home government risk
BoE and ECB weigh calls to follow US lead on capital relief
European regulators face pressure to exempt sovereign exposures from leverage ratio
Amid Covid crisis, top US banks give $32bn away to shareholders
Buybacks exceeded Q1 2019 total, despite voluntary suspension on March 15
CCPs postpone euro discounting switch to July
Five-week extension agreed after working group proposal for September delay fails to find consensus
Managing a derivatives portfolio through turbulent markets
Steering a portfolio of non-linear derivatives, such as options and more exotic products, is challenging at the best of times. Market risks change as markets move and time passes, risks offset in complex ways and proxy hedging is common. In this feature,…
Fed dominated MMF repo trades in March
FICC and BNP Paribas among other top repo counterparties
Quants pitch in to improve pandemic models
The finance industry’s quants are trying their hand at modelling the virus and its economic impact
Goldman Sachs’ VAR hits five-year high
Higher market risk accompanied bumper trading revenues in Q1
El-Erian on Covid-19 policy risks and central bank capture
Former Pimco chief says Fed has gone too far, market function rules needed and chance opens for shared policy load
Eurozone banks fear market risk capital hike due to Covid-19
Hopes that ECB will fix double-counting as VAR breaches rise on market volatility
Virus weakens banks’ defences against internal fraud
Stressed markets and remote working leave firms vulnerable to op risks and cyber attacks
How Goldman’s algos adapted to virus vol
Interview: Ralf Donner explains why algo usage is up while markets are down
Wells Fargo loan book swells $48bn in Q1
San Francisco-based bank clears space on balance sheet for increased lending
Covid-19 tumult is testing AI fund returns
Some ML strategies have coped well, but others began to struggle as panic mounted
How the Fed’s asset cap changed Wells Fargo
Lender has expanded repo book and cut cash since Q4 2017
Swaps data: how the market responded to Covid-19
Swap rates saw massive moves as volumes peaked, writes Amir Khwaja of ClarusFT
Lloyds and Riverside rehitch revolving loan to Sonia
£100m Sonia facility overcame late operational hurdles to be among the first done since the onset of coronavirus
Banks fear time-limit on Fed leverage ratio reprieve
Capital constraints not covered by relief also weigh on balance sheet strategy
Japanese dealers join calls for Libor extension
Local firms struggle to adapt to remote working as coronavirus throws benchmark transition plans off course