Covid
Real-time scenario analysis to prepare for the unknown
In today’s trading environment, fast, risk-enabled decision-making is increasingly considered a key competitive advantage. In this audiocast, Cboe Data and Access Solutions’ Jerry Hanweck explains how developments in real-time scenario analysis are…
Notionals for rates ETDs rise 26% in Q1
Confidence in rate hikes is on the rise, but the jury’s out on how fast
Time for BoE to rethink the leverage ratio
The disparity of treatment keeps UK banks on an unlevel playing field
EU bail-in debt sales plummeted 47% in H2 2020
Effects of pandemic continue as MREL-compliant liabilities drop, SRB figures show
Singapore banks step up their game against internal fraud
Firms respond to MAS warnings about dangers of remote working spurred by Covid
Deutsche leads eurozone banks on exempted exposures
German bank increased central bank reserves currently excluded from leverage ratio the most in Q1
CME rebuts accusations of procyclical margining
Merc issues white paper touting strong portfolio-level coverage during pandemic, rebuffs calls for higher MPOR
From one extreme to another: Covid upsets loan models once more
Unusual economic slumps tripped up models in 2020. Now, they are struggling with fast recoveries
BoE relief waives record £718bn off UK banks’ leverage exposures
On average, the UK leverage ratio of the top five lenders stood 80bp points higher than the CCR iteration in Q1
Goldman’s market RWAs grew $14.9 billion in Q1
The increase was largely due to higher VAR and SVAR measures
RWA density rises at Citi, BNY Mellon and State Street
The eight US G-Sibs reported total assets of $14.2 trillion, up 5% quarter on quarter
Basel would readjust leverage ratio if reserves exempted
Basel’s Rogers says permanent relief for central bank reserves should lead to higher minimum ratio
OTC derivatives values surge 36% in 2020
Foreign exchange derivatives were largely responsible for the overall increase in fair values in the second half of last year
Insider fraud – Getting security and controls right
Even prior to the Covid-19 pandemic, insider threats were reported to be increasing with 48% of firms indicating that incidents were on the rise within their organisations. Where are so many firms going astray?
Is short vol taking the long count?
Short volatility players try to box clever after strategy’s Covid rout
Quant grad conveyor belt stalls as banks retrench
Jobs market is long quant graduates, short vacancies – but hiring freeze shows signs of thawing
Jarrow and co find a better way to spot stock market bubbles
Quant team’s options-based approach avoids pitfalls of historical data dependence
For EU banks, there can be no ‘back to normal’
The ECB’s recent review of risk models shows lenders got it all wrong pre-pandemic
UK banks released £671m of loan-loss provisions in Q1
HSBC, Lloyds and NatWest all released surplus credit reserves
Santander added to its pile of shaky loans in Q1
‘Stage two’ assets made up 7% of its total at end-March
Systemic EU banks had €213bn of loans under moratoria at end-2020
Exposures covered by payment holidays dropped by €115bn in H2
Flexi forwards see rise in corporate interest post-Covid
Treasurers seek flexibility in cashflow hedging as pandemic-related supply chain disruptions bite