Covid
Banks think SFTR delay a ‘done deal’ amid virus outbreak
Industry letter urges regulators to postpone first two phases of reporting until October
Coronavirus rout revives attacks on futures margining
FCMs call for permanently higher margins following “unprecedented” number of breaches
Six countries slash countercyclical buffers
Sweden reduces its buffer the most, to zero from 2.5%
Top US banks’ buyback freeze to bolster capital above $30bn
Suspension will save the equivalent of 4% of aggregate CET1
US G-Sibs urged to release surplus liquidity to fight virus sell-off
Top banks have about $378 billion of extra HQLA that could be released
At Numerai, real-world figures need not apply
AI hedge fund CEO sees the light in black-box technology
Systemic banks could free $156bn of capital after Fed plea
Banks asked to use management buffers to support economy in combating coronavirus
Autocalls hit peak vega, where hedging costs mount
Eurostoxx and Nikkei losses flip structured product dealers into painful short vol territory
Coronavirus, smart contracts and public bailouts for CCPs
The week on Risk.net, March 7–13, 2020
iTraxx volumes spike amid market panic
Volumes of Ice-cleared index contracts more than four times higher than average
Pandemic threatens Libor transition plans
Resources diverted to Covid-19 response, as RFR-Libor basis spikes on stress
Vanishing hedges hurt HK warrants issuers
Traders suspect big losses after Hang Seng gapped down at start of wild week
ECB cuts top banks’ required capital by over €350bn
Capital conservation requirement and Pillar 2 guidance amounts relaxed, countercyclical capital buffers encouraged to fall
Swaps liquidity slumps as Treasury stress spreads
Big buy-side participants report “worst day” for market depth in 10 years, as spreads widen and prices gap
Countercyclical buffer relief to save top UK banks £7bn in capital
BoE expects £190 billion of lending to be supported by CCyB cut
Bonds and swaps struggled in virus volatility
Low liquidity and wider spreads amplified by remote working, traders claim
‘Huge role’ for quants in Covid-19 response – MIT’s Lo
Policy-maker actions or missteps will drive markets, academic says
Op risk data: BNP faces €150m bill from mortgage loan sales
Also: Maybank, ING and MUFG hit by $300m commodities trading fraud. Data by ORX News
For FX dealers, virus brings volumes
Mixed feelings for sell-side traders as Covid-19 spurs wave of speculation and hedging
Dispersion trades suffer in coronavirus selloff
Losses put at roughly $150m – even before markets tanked on March 9
SOFR drought, CB accounts for CCPs, and the Top 10 Op Risks
The week on Risk.net, February 29–March 6, 2020
A peek inside op risk managers’ coronavirus response
Op risk managers steel their firms for looming pandemic amid an expected rise in cyber attacks
Alt data lends a different light to coronavirus impact
Smog, traffic data – even movie rentals – help analysts track economic effects of virus
Factor strategies seesaw in coronavirus-hit markets
Quants struggle to second-guess ongoing effect of virus on investments