Covid
In choppy forex markets, algos buck expectations
Goldman, Nomura and others report increased volumes, although some clients revert to principal quotes
Capital responses, CCP losses and buffer worries
The week on Risk.net, March 14–20, 2020
Countercyclical buffer releases may free €6bn at top EU banks
Banco Santander and BNP Paribas could free €1.1 billion each
EC: No plans to delay IM phase five
EC official says Europe will go ahead with phase five initial margin requirements set to come into effect in September
Swaps benchmark vanishes as traders flee firm price venues
Dollar Ice swap rate fails to publish in March rout; patchy Sonia Clob prices could delay term rates
Covid transparency would soothe markets – Harvey
“Why aren’t our policy-makers sharing their models?” asks Duke University economist
Banks rush to tap new dollar liquidity facilities
ECB saw strongest demand: $75.8 billion out of the new 12-week programme
Exchange shutdowns could trigger derivatives unwinds
Eight-day closure would invoke subjective valuation clauses; hedge disruption could cancel trades
CDX volumes roar upward on coronavirus panic
Notional traded volumes hit multi-year highs in each of the last three weeks
CECL working as intended amid Covid-19 crisis, says FASB
Suspending new standard would be a decision for regulators, not accountants, say observers
Banks think SFTR delay a ‘done deal’ amid virus outbreak
Industry letter urges regulators to postpone first two phases of reporting until October
Coronavirus rout revives attacks on futures margining
FCMs call for permanently higher margins following “unprecedented” number of breaches
Six countries slash countercyclical buffers
Sweden reduces its buffer the most, to zero from 2.5%
Top US banks’ buyback freeze to bolster capital above $30bn
Suspension will save the equivalent of 4% of aggregate CET1
US G-Sibs urged to release surplus liquidity to fight virus sell-off
Top banks have about $378 billion of extra HQLA that could be released
At Numerai, real-world figures need not apply
AI hedge fund CEO sees the light in black-box technology
Systemic banks could free $156bn of capital after Fed plea
Banks asked to use management buffers to support economy in combating coronavirus
Autocalls hit peak vega, where hedging costs mount
Eurostoxx and Nikkei losses flip structured product dealers into painful short vol territory
Coronavirus, smart contracts and public bailouts for CCPs
The week on Risk.net, March 7–13, 2020
iTraxx volumes spike amid market panic
Volumes of Ice-cleared index contracts more than four times higher than average
Pandemic threatens Libor transition plans
Resources diverted to Covid-19 response, as RFR-Libor basis spikes on stress
Vanishing hedges hurt HK warrants issuers
Traders suspect big losses after Hang Seng gapped down at start of wild week
ECB cuts top banks’ required capital by over €350bn
Capital conservation requirement and Pillar 2 guidance amounts relaxed, countercyclical capital buffers encouraged to fall
Swaps liquidity slumps as Treasury stress spreads
Big buy-side participants report “worst day” for market depth in 10 years, as spreads widen and prices gap