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EU still undecided on how to implement minimum repo haircuts
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Would margin rules have checked Archegos? Perhaps not
Regulator-prescribed margin methodology permits six-times leverage on equity swaps
Op risk data: Sberbank suffers $108m supermarket clean-out
Also: Copper trader buys $36m of worthless bricks; big lenders hurt in $400m mortgage fraud. Data by ORX News
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The futures allocation workflow leaves a lot to be desired. It’s a little shocking to me the way the process works, still to this day. You execute, and you stick all the trades in a temporary account. And then you have until the end of the day to allocate the trades. I do think this is a weak spot in the futures market.
The head of trading at a large US buy-side firm on the consequences 2020's Covid-induced futures market meltdown.
Our planning wasn't good enough. I’ll be candid: we never thought about the global non-availability of staff to anything like this degree. We talked about it – we even looked at pandemic modelling based on WHO data – but we said ‘this couldn’t happen’.
A senior executive at one large bank discusses why his firm tore up it's pandemic planning scenarios in 2019. Click here for this year's Top 10 Op Risks
This is a clearing house. They shouldn’t have the option to waive a few billion dollars [from a risk charge]. These are like government structures, in the sense that there is no alternative: they’re the CCP for the equity market. I think it’s very wrong. It shouldn’t be that easy for them to waive a few billion of what is an agreed rule.
The chief risk officer at one of NSCC’s largest members on Robinhood and moral hazard.
Editor's Choice
Hero or villain? NSCC draws fire for Robinhood margin waiver
Fears of moral hazard after CCP waives billions in margin demands following meme-stock volatility
Big Figure
‘Sheriff’ tussles with Robinhood
What stopped the WallStreetBets short squeeze on surging meme stocks? Risk.net has been delving through clearing house NSCC’s rule book to find out why it hit Robinhood – broker of choice to many of the retail punters betting heavily on the shares – with a $2.2 billion special margin charge just after 5am on January 28. According to the clearing house’s rule book, a broker’s excess net capital premium charge starts building when a substantial amount of its deposit requirements is higher than its total net capital. On January 28, Robinhood’s total value-at-risk deposit was around $1.4 billion – far higher than its net capital of roughly $486 million.
Read the full articleRegulation
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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Clear, concise, consistent, doable – rules for a risk policy
If stablecoins are money, they should be backed by reserves
Our Take
Games of hazard: NSCC’s margin waiver sets bad precedent
What good are risk disclosures anyway?