Covid
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
To handle Covid-19 we need better data
Winton’s David Harding says unconscious bias in test data means epidemic is poorly understood
Local banks’ CDSs chase Italy’s sovereign risk higher
MPS and Banco BPM creditworthiness lags Italy’s
ABN winds down Ronin books after Vix losses
$200m loss suffered by bank’s clearing business is thought to be mystery second default
Libor webinar playback: spotlight on bonds
Panellists from Lloyds, RBC Capital Markets and TD Securities discuss efforts to switch to new lending benchmarks
Industry calls for suspension of IM compliance dates
Associations warn phase five deadline may no longer be possible for hundreds of buy-side firms amid Covid-19 disruption
As Covid snaps credit models, lenders turn to stress-testing
Banks enlist scenario analysis to bolster creaking default models
Covid-19 disruptions expose Libor loan fallback flaws
Amending legacy loans during a crisis will prove challenging, ARRC member warns
Libor webinar playback: spotlight on loans
Panellists from McKinsey, the LSTA and UBS discuss efforts to switch lending to new benchmarks
Energy Risk Software Rankings: A different world
Energy Risk’s Software Rankings reveal the industry’s technology preferences in a changing world
Japan banks seize on US dollar funding
Daily facilities drawn upon extensively this week
UK bank ECL scenarios may lowball coronavirus impact
BoE offers IFRS 9 relief on virus-hit loans
Fed defies coronavirus to push ahead with stress test
US diverges from Europe and forces banks to juggle CCAR with real-life operational burden
Corporates sprint to lock in low rates
Dealers are seeing increased demand for interest rate hedges despite higher execution costs