Covid
Banks worldwide have built up liquidity buffers post-Covid
Lenders in Japan have the highest LCRs of global banks surveyed
FCMs fret over S&P 500 options settlement changes
Dealers say CME, Cboe settlement time shift for S&P 500-linked options causes risk management headache
Banks in outer EU grew loan reserves most through Covid – EBA
Substantial differences found at country level on degree of coverage ratio build
Parallel lines: EU begins fight over Basel output floor
Leaked plan to exclude buffers from floor would please EU banks, could anger Basel and US
CVA charges for Canadian dealers edge off Covid highs
At CIBC, CVA charges fell 12% quarter on quarter
Never mind the buffers: Covid reveals deeper flaws in Basel III
Tweaking discretionary capital buffers won’t address all the prudential issues raised in 2020
MMFs lengthen portfolio maturity post-Covid – BIS
Average holdings had maturity of 41 days in November
Canada’s ‘Big Five’ see loan-loss provisions halve in Q4
BMO alone recorded a 59% quarter-on-quarter reduction
Impaired loans drop 17% at RBC
Repayments on bad credits up 47% quarter on quarter
ECB certificates: a ready-made euro safe asset
The CMU must be backed by a stock of safe assets. The ECB can supply them, writes Daniel Hardy
Many US banks want to curb Fed balances
Of those wanting to shrink excess reserves, a large percentage cite fears over net interest margins
Buffer stops? Why banks haven’t used Covid capital relief
Amid weak credit demand, banks haven’t availed themselves of capital buffers, but they still might
Capital cliff effect awaits EU banks as Covid support wanes
CET1 ratios have benefited from state intervention, but could drop sharply as measures expire
Esma warns of UK-sized hole in Europe’s fund leverage radar
Executive at hedge fund AQR also urges reform of EU leverage measures to better assess risk
European banks want clarity on post-Covid capital rebuild
Supervisors urged to explain what will happen when pandemic relief on capital buffers expires
EU Covid policies resurrect sovereign doom loop fears
Italian banks could see holdings of home country debt increase to 17% of their total assets
Model misfires raise questions over training data
Quants wrestle with how far into the past their machine learning models should peer
State-backed Covid loans have light capital impact – EBA
Average risk density of guaranteed loans was 18% at end-June
The value rally that never was
Many value stocks stayed flat on November 9 vaccine news, says factor investing expert
Fallbacks, Libor and the cultural risks of lockdown
The week on Risk.net, November 14-20, 2020
EU loans under Covid moratoria have high credit risk – EBA
Banks in Austria, Iceland, Romania and Slovakia especially vulnerable, data shows
Regulators’ margin model rules too lax – BlackRock exec
Risk USA: EU anti-procyclicality rules like “putting a curtain over a draughty window”
Asia edging towards integrated capital markets – SGX’s Loh
Asia Risk 25: full regional co-operation could still be 10 to 15 years away, says Singapore exchange head
Aussie bank loan-loss provisions top A$11bn
Westpac absorbed the largest charge of the ‘Big Four’