Covid
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
Countercyclical buffer releases may free €6bn at top EU banks
Banco Santander and BNP Paribas could free €1.1 billion each
EC: No plans to delay IM phase five
EC official says Europe will go ahead with phase five initial margin requirements set to come into effect in September
Swaps benchmark vanishes as traders flee firm price venues
Dollar Ice swap rate fails to publish in March rout; patchy Sonia Clob prices could delay term rates
Covid transparency would soothe markets – Harvey
“Why aren’t our policy-makers sharing their models?” asks Duke University economist
Banks rush to tap new dollar liquidity facilities
ECB saw strongest demand: $75.8 billion out of the new 12-week programme
Exchange shutdowns could trigger derivatives unwinds
Eight-day closure would invoke subjective valuation clauses; hedge disruption could cancel trades
CDX volumes roar upward on coronavirus panic
Notional traded volumes hit multi-year highs in each of the last three weeks
CECL working as intended amid Covid-19 crisis, says FASB
Suspending new standard would be a decision for regulators, not accountants, say observers
Banks think SFTR delay a ‘done deal’ amid virus outbreak
Industry letter urges regulators to postpone first two phases of reporting until October
Coronavirus rout revives attacks on futures margining
FCMs call for permanently higher margins following “unprecedented” number of breaches
Six countries slash countercyclical buffers
Sweden reduces its buffer the most, to zero from 2.5%
Top US banks’ buyback freeze to bolster capital above $30bn
Suspension will save the equivalent of 4% of aggregate CET1
US G-Sibs urged to release surplus liquidity to fight virus sell-off
Top banks have about $378 billion of extra HQLA that could be released
At Numerai, real-world figures need not apply
AI hedge fund CEO sees the light in black-box technology
Systemic banks could free $156bn of capital after Fed plea
Banks asked to use management buffers to support economy in combating coronavirus