Covid
Andreas König’s crisis playbook meets Covid-19
Interview: Trading from home may be odd, but Amundi’s FX head was ready for other stresses
Generali’s solvency ratio savaged by Covid-19 turmoil
Italian sovereign exposures could force capital gauge even lower
Rewards for failure: the ECB’s topsy-turvy market risk relief
Eurozone banks with better models are least able to offset Covid-driven rise in backtesting multiplier
Covid tumult pushed VAR capital charges up 72% at US G-Sibs
JP Morgan’s charge increases 148% quarter-on-quarter
US bank liquidity ratios eroded in Q1
Net cash outflows and HQLA spike to record levels
Credit data: coronavirus takes toll on corporates
Financials weathered the first phase of the lockdowns, but most other sectors were hit hard
Now is not the time to change the rules on CCP resolution
FSB overstepping brief by putting CCP operators’ equity on the hook in resolution, writes former CFTC chair
EU banks predict OTC trading terms will tighten – ECB
Almost one-quarter of surveyed lenders say conditions will deteriorate
CCPs failing to set effective margin limits – study
Clearers must strike balance between countercyclicality and sensitivity to risk
Swaps books of top US dealers bulged in Q1
Citi increased derivatives exposures by $25.5 billion quarter-on-quarter
Experts find holes in funds’ argument for higher US VAR caps
Ex-SEC official says he would be “shocked” if agency raised proposed leverage limits on derivatives users
Though Covid crisis rages, US banks’ op RWAs fall
Wells Fargo sees op RWAs fall $2.9 billion
Inside March madness with Citi’s Tuchman
Interview: Trading rooms went virtual, central banks stepped up – but some platforms flopped
Capital buffers, settlement fails and crowd modelling
The week on Risk.net, May 9–15, 2020
JP Morgan had sharpest trading edge of top dealers in Q1
G-Sibs racked up 295 profit-making days in first quarter
Japan Post marks down CLOs by ¥122bn
Lender has increased holdings of CLOs 76% since Q4 2018
Q&A: Ron Dembo on crowd-spotting black swans
Veteran quant argues large groups are better at gauging extreme uncertainty than small teams of experts
Trading losses at US units of Deutsche, RBC exceed VAR by 1,000%
Wild markets overwhelmed foreign banks’ value-at-risk estimates
Systemic US banks incurred 42 VAR breaches in Q1
Leading dealers saw actual losses over four times greater than their VAR estimates on some days
Eurozone bank capital buffers swell on Covid relief measures
Average buffer increases to 393bp across 14 eurozone lenders
CSDR buy-ins – next on the regulatory chopping block?
A big jump in trade fails is adding to doubts about the EU’s settlement discipline regime
Investors trade the drama out of the crisis
How LGIM, Axa IM, Manulife and other buy-siders tackled the toughest markets since 2008
A zombie US capital ratio comes back to life
SLR rollback could mark the return of 1990s Tier 1 leverage ratio as a binding constraint
Systemic eurozone banks take €10bn in loan-loss provisions
Santander takes a whopping €3.9 billion out of income