Covid
Regulatory lenience over Covid-19 must be carefully judged
Former ECB supervisory board member says unwinding regulatory relief later will take courage
EU banks seek FRTB delay, citing ‘strain’ of virus
Firms want leeway to fight market mayhem, minus burden of new reporting rules
Investors abandoned junk bond ETFs in March
Forced sale of ‘fallen angels’ could exacerbate outflows at end-April
Covid-19 frazzles AI fraud systems
Seismic changes in customer behaviour see machine learning solutions throw out false positives
Op risk data: Outsourcing losses loom in lockdown
Also: Swedbank hit with huge AML fine; record Russia fine for StanChart. Data by ORX News
Fed action fails to dampen spreads for riskier credits
Borrowing costs for some issuers are still two to three times the historical average
US banks still fret about cutting liquidity buffers
Fed instructions to banks to run down LCR undermined by governance rules, other liquidity metrics
What quants can learn from the Covid crisis
More nowcasting, less backtesting, and strategies that adapt to new regimes: a manifesto from Lipton and López de Prado
Sluggish back-office systems added to margin pressures
Systems supplied by FIS struggled to handle massive spike in March trading volumes
PRA relief to save banks up to 33% on VAR-based charges
HSBC may benefit most from easing of capital rules
‘Ostrich approach’ to financial stability is a mistake
Denmark’s top supervisor says scaling back IFRS 9 would be a costly error
Repo rules caught in Covid’s concertina effect
Pandemic jeopardises phased rollout of Europe’s SFTR regime, raising fears of chaotic ‘big bang’ start
Dividend freeze could save top UK banks £6.5bn
HSBC will no longer distribute a cash dividend worth $3.1bn
CECL delay grants mid-sized US banks a capital windfall
Synchrony, Huntingdon and Citizens among those to reap most CET1 relief
Climate risk – Special report 2020
As governments worldwide focus on the coronavirus (Covid‑19) pandemic amid plummeting demand for fossil fuels, it may seem climate change has dropped down the global agenda. Firms that don’t assess the climate risk in their portfolios, or hedge or divest…
Dividend delays upend pricing of Eurostoxx futures, options
Investors that rolled futures contracts before companies axed AGMs “could have lost a lot of money”
Uncharted waters
How pension plans can better equip themselves for a period of economic upheaval. By Matthew Seymour, RiskFirst, a Moody’s Analytics Company
Hedge funds see big gains on dividend curve trades
A popular relative value strategy delivered unexpected profits when companies axed payouts
Libor webinar playback: spotlight on derivatives
Panellists from Deutsche Bank, LCH, Numerix and Tradeweb on transition timelines, volatility and discounting
Virus turmoil threatens swaps discounting switch
Clearing houses expect deadlines to be met, but swaps users are not so sure
FX vol revived by Covid-19 – but for how long?
Traders split on whether virus impact, or central bank responses, will prove most powerful
Pandemic disruption, alt data and Argentinian rates problems
The week on Risk.net, March 21–27, 2020
Traders flee Vix futures
Short interest of asset managers down 80% on 12-month peak
Asia CCPs forced to hike margins rapidly during equities rout
Margins for Nikkei 225 futures more than doubled at JSCC in a matter of days