Federal Reserve
Quarles calls for SLR ‘recalibration’ to support Treasuries
Former vice-chair says leverage ratio gold plate was based on flawed projections of Fed reserves
US Treasury market preps for reporting showdown
Sifma expected to attack transparency plans; prop traders brand objections “crazy”
Quiet man: is Michael Barr the Clark Kent of regulation?
A decade after crafting Dodd-Frank, Fed’s new vice-chair must tame DC's warring regulatory factions
JP Morgan’s VAR multiplier increases following Q2 breach
Citi also reported one backtesting exception but kept VAR-based market risk capital requirement flat
PNC, Truist most reliant on tailored LCR requirements
Liquidity ratios would be below regulatory minimum without Fed's cap for regional US banks
‘Very little support’ for a US Treasury clearing mandate – Isda
Dealers and clients prefer carrot to stick in efforts to improve Treasury market liquidity
Using correlation to model op risk losses may be unsafe – study
Techniques for linking economic factors and bank losses produce varying – and sometimes contradictory – results
‘Nightmare’ of uncertainty plagues FRTB model applications
Shifting timetable and rule tweaks that could alter incentives dampen appetite for internal models
Citi, BNY Mellon escape Collins floor
Both banks return above the threshold after just two quarters
Covid chaos spurs on search for model risk aggregation
Many models failed in pandemic, but analysing them in clusters easier than whole-bank view
Fed ‘tailoring’ led to larger, less capitalised regional US banks
Lenders freed from toughest requirements in 2018 grew balance sheets but saw capital ratios slip
DFAST 2022 leverage results widest in four years
Distribution of post-stress leverage ratios sees expanding gap between top and bottom performers
‘Strong case’ for US synthetic Libor in bond markets
Temporary publication under SOFR-based methodology could mop up 40% of dollar bond issues
ARRC reconvenes task force to evaluate term SOFR curbs
Concerns over one-sided market for term SOFR swaps prompts review of ‘scope of use’ guidelines
Foreign banks outperform US peers on DFAST
Intermediate holding companies reported higher post-stress capital and leverage ratios under the Fed’s severely adverse scenario
Fair value gains give JP Morgan DFAST edge
Bank was only one to record bigger capital lift from AOCI by end of test’s horizon
Geithner stresses need for SLR reform to restore UST liquidity
Returning leverage ratio to backstop role is “not rocket science”, says former Treasury secretary
DRW calls for regulation of fiat-backed stablecoins
Regulatory intervention would shore up confidence in flagging market, says major market-maker
BofA, Citi among hardest hit in latest Fed buffer review
Five out of eight US systemic banks face higher stress capital buffer add-ons
US banks underestimate loan losses in Fed stress test
Systemic lenders predict 34% lower hit to their loan books in latest DFAST exercise
HSBC exhausts leverage headroom in Fed stress tests
Goldman Sachs worst performer among US banks
Euro, dollar-denominated ETDs boomed in Q1
But diverging demand for futures and options points to uncertainty on Fed and ECB timings
Capital-protected notes surge after US rate hikes
Higher cost of borrowing and equity selloffs revive old favourite of Asia’s structured products market
Correlation ‘is not causation’ for rates and value stocks
Some quants remain unconvinced by the ‘great rotation’ away from growth