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EU still undecided on how to implement minimum repo haircuts
Concerns over non-bank leverage may derail push to include haircuts in bank capital rules
Would margin rules have checked Archegos? Perhaps not
Regulator-prescribed margin methodology permits six-times leverage on equity swaps
US federal legislation ‘eliminates’ need for synthetic Libor
‘Tough legacy’ proposal will be discussed at a House Financial Services subcommittee meeting on April 15
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Fed economist sounds alert over op risk capital arbitrage
Insurance payouts could allow banks to pare back capital without equivalent reduction in risk, says paper
Big Figure
Swiss miss
Credit Suisse’s Sfr4.4 billion ($4.7 billion) loss from the implosion of Archegos Capital Management may shave up to 90 basis points from its Common Equity Tier 1 (CET1) capital ratio. In a trading update posted on April 6, the Swiss lender said it anticipated a first-quarter loss of Sfr900 million, which reflects the hit from the Archegos default and charges incurred from the collapse of Greensill Capital, both of which occurred in March. The bank said it expected its end-March CET1 ratio, using Basel Committee definitions, to be “at least” 12%. As of end-2020, it was 12.9%.
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Regulation
EU still undecided on how to implement minimum repo haircuts
Concerns over non-bank leverage may derail push to include haircuts in bank capital rules
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