Switzerland
Cross-currency swaps set to ditch Libor in ‘RFR first’ drive
A plan to oust Libor in September is expected to spur voluntary RFR adoption for euro legs
Credit Suisse’s op risk up $6.5bn on subprime-era litigation
Increase offsets the removal of Archegos-related capital add-on by Finma
UBS incurred two VAR breaches in Q2
Risk Quantum understands the VAR backtesting exceptions stemmed from the Archegos blowout
UBS revises credit and counterparty risk estimate
Changes to the bank’s models and methodology expected to add $6bn in second half of the year
Could global regulators miss another Archegos whale?
Spotting systemic risk from OTC swaps requires cross-border access to derivatives data
Finma add-on inflates Credit Suisse’s credit RWAs
The Sfr5.8 billion additional capital buffer accounts for two-fifths of bank’s quarterly increase
Risk management is not a job for compliance
Credit Suisse losses show why boards require real risk management expertise, says ex-BoE supervisor
Trading VAR at UBS peaked after Archegos blow-up
Swiss bank still posted a fall in market RWAs quarter on quarter
Archegos debacle prompts Credit Suisse to slash prime services
Executives pledged $35 billion of cuts to investment bank leverage exposure
Traders see easy switch off Libor in Swiss market at year-end
Saron swaps trading still slow but traders say liquidity is rising and see no hurdles to transition
Going it alone: Lombard Odier steers clear of investing crowd
Research head Tabachnik says strategies like intraday momentum are victims of their own popularity
Archegos fiasco clips Credit Suisse’s capital ratio
CET1 ratio will be “at least” 12% for Q1
SA-CCR more a burden to Credit Suisse than UBS in 2020
At Credit Suisse, SA-CCR RWAs increased 134%
A bitcoin ETF could threaten the world’s biggest crypto fund
Regulated funds may suck away demand for Grayscale’s off-exchange investment trusts
The world’s largest bitcoin fund has a tracking error problem
Grayscale Bitcoin Trust moved from trading at an average premium of 36.5% to an 11.6% discount
State Street to look after bitcoin, just don’t call it custody
The second-biggest custodian will provide “record-keeping services” for the unregulated asset
Credit Suisse updates VAR disclosure to cover banking book
Non-trading positions accounted for 31% of market risk exposure in Q3
UBS factors in Covid shock to stressed VAR, causing RWA surge
Market RWAs increased 11% quarter on quarter
Credit Suisse, UBS slowed accrual of liquid assets in Q3
Credit Suisse’s LCR drops six percentage points quarter-on-quarter
Model tweaks, asset cull helped Credit Suisse cut RWAs in Q3
Model updates took Sfr 2.5 billion off its credit RWA total
UBS market RWAs dropped 25% in Q3 as VAR cooled
High value-at-risk outputs dropped out of averaging window in Q3
Systemic banks’ leverage exposures gyrated over H1
Temporary relief measures held down growth of exposures at US, Swiss lenders
Custodian of the year: BNP Paribas
Asia Risk Awards 2020
Credit Suisse, UBS counterparty exposures ballooned in Q2
Risk-weighted assets lagged surge in EAD