Covid
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
EU banks eye bad loan relief from state guarantees
ECB move should prevent rickety loans counting as NPLs
Three strategic priorities to meet the new FFIEC regulations
This webinar analyses the key challenges and strategic priorities for firms to meet the evolving requirements for operational resilience
OIS volumes collapse after rates plummet
USD OIS weekly traded notional falls to $502 billion from recent $3.3 trillion peak
Cleared sovereign CDS volumes build as pandemic spreads
South Korea and Italy CDS vols dominate Ice Clear Credit and Ice Clear Europe, respectively
Libor-SOFR blowout raises questions for fallback rate
Implied three-month SOFR v Libor basis gapped to 108bp on March 19
Coronavirus is testing op risk managers to the limit
No amount of stress testing can prepare firms for the risks they’re facing, says Ariane Chapelle
Bankers say discount window is imperfect fix for UST woes
Further changes advocated to ensure Treasuries are used in US bank liquidity buffers
In choppy forex markets, algos buck expectations
Goldman, Nomura and others report increased volumes, although some clients revert to principal quotes
Capital responses, CCP losses and buffer worries
The week on Risk.net, March 14–20, 2020