Covid
‘Big Five’ Canadian banks’ loan-loss charges quadruple
Reserves for performing loans increase 32-fold quarter-on-quarter
Crisis exposes flaws in US financial stability regime
Former Fed chair Yellen calls for reform after failure to curb corporate leverage ahead of Covid-19
R-nought is the wrong number for markets, academics say
New research suggests volatility of transmission matters more for asset prices
At systemic US banks, CLO holdings dip
Wells Fargo sees 15% sliced off the value of its portfolio
ECB’s Enria unsure banks will dip into capital buffers
Anxiety over investor and rating agency reaction may limit banks’ use of Covid relief measures
EU banks’ liquidity buffers weathered Covid turmoil
Central bank cash reserves edge up across EU lenders
BLTs and glitchy Wi-Fi: lockdown life for FX execs
With traders transacting trillions from their living rooms, currency markets are adapting to new normal
At height of Covid crisis, eurozone MMFs scrambled for cash
MMFs hold the bulk of eurozone banks’ commercial paper
Andreas König’s crisis playbook meets Covid-19
Interview: Trading from home may be odd, but Amundi’s FX head was ready for other stresses
Generali’s solvency ratio savaged by Covid-19 turmoil
Italian sovereign exposures could force capital gauge even lower
Rewards for failure: the ECB’s topsy-turvy market risk relief
Eurozone banks with better models are least able to offset Covid-driven rise in backtesting multiplier
Covid tumult pushed VAR capital charges up 72% at US G-Sibs
JP Morgan’s charge increases 148% quarter-on-quarter
US bank liquidity ratios eroded in Q1
Net cash outflows and HQLA spike to record levels
Credit data: coronavirus takes toll on corporates
Financials weathered the first phase of the lockdowns, but most other sectors were hit hard
Now is not the time to change the rules on CCP resolution
FSB overstepping brief by putting CCP operators’ equity on the hook in resolution, writes former CFTC chair
EU banks predict OTC trading terms will tighten – ECB
Almost one-quarter of surveyed lenders say conditions will deteriorate
CCPs failing to set effective margin limits – study
Clearers must strike balance between countercyclicality and sensitivity to risk
Swaps books of top US dealers bulged in Q1
Citi increased derivatives exposures by $25.5 billion quarter-on-quarter
Experts find holes in funds’ argument for higher US VAR caps
Ex-SEC official says he would be “shocked” if agency raised proposed leverage limits on derivatives users
Though Covid crisis rages, US banks’ op RWAs fall
Wells Fargo sees op RWAs fall $2.9 billion
Inside March madness with Citi’s Tuchman
Interview: Trading rooms went virtual, central banks stepped up – but some platforms flopped
Capital buffers, settlement fails and crowd modelling
The week on Risk.net, May 9–15, 2020
JP Morgan had sharpest trading edge of top dealers in Q1
G-Sibs racked up 295 profit-making days in first quarter
Japan Post marks down CLOs by ¥122bn
Lender has increased holdings of CLOs 76% since Q4 2018