Covid
RWA density rises at Citi, BNY Mellon and State Street
The eight US G-Sibs reported total assets of $14.2 trillion, up 5% quarter on quarter
Basel would readjust leverage ratio if reserves exempted
Basel’s Rogers says permanent relief for central bank reserves should lead to higher minimum ratio
OTC derivatives values surge 36% in 2020
Foreign exchange derivatives were largely responsible for the overall increase in fair values in the second half of last year
Insider fraud – Getting security and controls right
Even prior to the Covid-19 pandemic, insider threats were reported to be increasing with 48% of firms indicating that incidents were on the rise within their organisations. Where are so many firms going astray?
Is short vol taking the long count?
Short volatility players try to box clever after strategy’s Covid rout
Quant grad conveyor belt stalls as banks retrench
Jobs market is long quant graduates, short vacancies – but hiring freeze shows signs of thawing
Jarrow and co find a better way to spot stock market bubbles
Quant team’s options-based approach avoids pitfalls of historical data dependence
For EU banks, there can be no ‘back to normal’
The ECB’s recent review of risk models shows lenders got it all wrong pre-pandemic
UK banks released £671m of loan-loss provisions in Q1
HSBC, Lloyds and NatWest all released surplus credit reserves
Santander added to its pile of shaky loans in Q1
‘Stage two’ assets made up 7% of its total at end-March
Systemic EU banks had €213bn of loans under moratoria at end-2020
Exposures covered by payment holidays dropped by €115bn in H2
Flexi forwards see rise in corporate interest post-Covid
Treasurers seek flexibility in cashflow hedging as pandemic-related supply chain disruptions bite
Systemic US banks released $9.4bn of credit reserves in Q1
JP Morgan reversed $4.2 billion of provisions alone
Strange new world of Covid economics upends loan-loss models
Models wrong-footed by government support, slumps in whole sectors and differences within industries
Modifying market risk management – A year into the Covid‑19 pandemic
This webinar explores how capital markets participants revised their market risk management practices during the height of Covid-19 pandemic-induced market volatility and what this means for the future
EU still undecided on how to implement minimum repo haircuts
Concerns over non-bank leverage may derail push to include haircuts in bank capital rules
JP Morgan’s SLR falls as Fed relief ends
Bank says raising capital against deposits are “unnatural actions for banks”
One FICC member paid record $102bn to cover dues in Q4
Previous highest payment obligation of a single participant was $77 billion in size
Share of small EU bank assets under standardised approach grew in 2020
At small banks, SA covered 88% of credit exposures
EU banks’ credit risk estimates stabilised at year-end
Weighted average corporate borrower PD across countries climbed to 2.15%
UK funds fall out of love with sterling swaps
Lower yields, Libor transition and margin rules help make gilt repo the desired hedging tool for LDI funds
Initial margin at the OCC topped $100bn in Q4
Exchange-traded derivatives hub cleared 7.5 billion contracts in 2020
Margin breaches quadrupled at Eurex in 2020
Equity derivatives service witnessed 1,782 breaches last year alone