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FCA could get legal with USD Libor laggards
Incoming powers permit regulator to ban use of benchmarks with known cessation dates – but only for UK-supervised firms
Would margin rules have checked Archegos? Perhaps not
Regulator-prescribed margin methodology permits six-times leverage on equity swaps
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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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
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
As machines disrupt investing, people still have a role to play
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