Covid
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
Banks push for capital changes as CECL provisions soar
Spike in set-asides exposes fault lines between new accounting standards and Basel rules
CVA capital charges jumped 50% at systemic US banks in Q1
Goldman Sachs’ charge climbs 76% quarter-on-quarter
EU urged to pass permanent market risk capital relief
Council agrees temporary changes, but ECB’s Enria wants legislators to trust supervisors
Clearing banks feel pinch as rates turn negative
Negative returns on dollar deposits at Eurex, Ice and LCH spur talk of business model change
Corporate loan default risk spiked at US G-Sibs in Q1
Median probability of default increases 17bp to 1.39% on the quarter
Covid scenarios: finding the worst worst-case
As pandemic trashes historical data, a Risk.net tie-up with Ron Dembo’s new outfit tests promise of polling
Mental health: the new frontline for risk management
Rise in stress and anxiety among locked-down staff could open up banks to range of risks
Risk density of top US banks edged down in Q1
Banks piled up assets with low risk-weightings in the first quarter
In downturns, vol travels down the supply chain – study
Customer VAR breaches strike at stressed suppliers, research shows
EU Parliament ‘likely’ to allow market risk capital relief
MEPs propose allowing supervisors to temporarily exclude Covid-related backtesting exceptions
Climate charges, CCP contagion and the post-Libor world
The week on Risk.net, May 23-29, 2020
‘Big Five’ Canadian banks’ loan-loss charges quadruple
Reserves for performing loans increase 32-fold quarter-on-quarter
Crisis exposes flaws in US financial stability regime
Former Fed chair Yellen calls for reform after failure to curb corporate leverage ahead of Covid-19
R-nought is the wrong number for markets, academics say
New research suggests volatility of transmission matters more for asset prices
At systemic US banks, CLO holdings dip
Wells Fargo sees 15% sliced off the value of its portfolio
ECB’s Enria unsure banks will dip into capital buffers
Anxiety over investor and rating agency reaction may limit banks’ use of Covid relief measures
EU banks’ liquidity buffers weathered Covid turmoil
Central bank cash reserves edge up across EU lenders
BLTs and glitchy Wi-Fi: lockdown life for FX execs
With traders transacting trillions from their living rooms, currency markets are adapting to new normal
At height of Covid crisis, eurozone MMFs scrambled for cash
MMFs hold the bulk of eurozone banks’ commercial paper