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Euro swaps clearing showdown pits banks against Brussels
Forcing swaps clearing to Frankfurt would play into hands of US rivals, say European dealers
UBS Apac structuring exec to join Morgan Stanley
Bilal Al-Ali to head Apac structured sales at the US bank
What is the volatility of an Asian option?
An adjustment for the volatility smile in Asian options is proposed
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Risk Quantum
Data insights, delivered daily
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
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 banks fret over mismatches on ESG disclosure rules
Different timelines for banks and their clients could stymie comparisons between banks
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Comment
Government bond swaptions and how they might work
Op risk data: Sberbank suffers $108m supermarket clean-out
Clear, concise, consistent, doable – rules for a risk policy
Op risk data: Pandemic paradox of low, low losses
Our Take
Games of hazard: NSCC’s margin waiver sets bad precedent
What good are risk disclosures anyway?
Rough volatility’s steampunk vision of future finance
A look at future exposures, through a 19th century lens