Covid
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
Own-country risk makes up 51% of EU bank sovereign portfolios
Home government exposures up seven percentage points in 2020
Esma weighs delay to review of repo reporting rules
Expectations grow that a review of SFTR scheduled for April will be postponed due to Covid
How sovereigns learned to live with two-way CSAs
Some say new collateral terms ensured access to markets during last year’s meltdown
Top US banks to lose out from end of SLR relief
Average G-Sib will see SLR decline 90 basis points using Q4 2020 figures
Solving the domino effect of delayed trade allocations
One year on from the pandemic-driven volatility of March 2020, Joanna Davies of Traiana looks at how buy-side firms can gain greater visibility and efficiency in exchange-traded derivatives (ETD) markets
BNP Paribas’s LCR hit record high in 2020 in wake of deposit glut
HQLA jumped 10% in Q4