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How adaptive models got AlphaSimplex through the Covid crisis
System sped up moves out of stocks into commodities and bonds
Citi’s default fund contributions climbed $2bn in Q1
US bank sees requirement hike 27% quarter-on-quarter
EU’s Brexit clearing grab slow to lift off
Clearing members say clients aren’t transferring material volumes from LCH to Eurex rapidly
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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
Editors' choice
How the Fed’s Covid stress test got stuck in the middle
Experts fear CCAR add-on has neither informed investors nor guided capital management
Big Figure
Into the breach
Turbulent markets caused one client at LCH’s SwapClear to rack up an uncovered exposure of $558 million in the first quarter. The clearing house said that some of the shortfall would have been covered by margin add-ons for concentration and liquidity risk – but around $329 million of exposure had to be offset through additional margin top-ups. SwapClear disclosed 1,769 initial margin breaches over a rolling 18-month period ending March 31. The average breach size over this period was $3 million, compared to $626,000 in the period ending December 31, 2019.
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7 days in 60 seconds
Covid capital, SA-CCR and problems with post-Libor protocol
The week on Risk.net, July 4-10, 2020
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Swaps data: initial margin soars in Q1 2020
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