Federal Reserve
Congress readies surprise ‘tough legacy’ Libor fix
Federal legislation to ensure legacy Libor contracts can move to SOFR is in the works
Op risk data: Firm-wide control fails cost Citi $400m
Also: Deutsche draws fire and AML fine over Danske trades. Data by ORX News
Joe Biden’s slow road to remaking US financial regulation
Moves on climate risk could come early; other changes may have to wait until end of 2021, or later
Basis trades: a test case for regulating risky activities
FSOC is right to focus on dangerous behaviour, but Treasury meltdown reveals a complex chain of actors
Banks fold climate, pandemic and cyber risks into CCAR
OpRisk North America: anchoring idiosyncratic risks to macro scenarios a challenge, say experts
Jerome Kemp on the skewed economics of clearing
Only Fed intervention prevented “a really big market disaster” during Covid, says derivatives veteran
US election scenarios: meltdown fears if poll contested
Crowdsourced election scenarios show sharp falls and correlation breaks if Trump challenges results
Bailed-out basis traders face regulatory backlash
The cash/futures basis trade could be a test case for regulating systemically risky activities
BNP Paribas grew share of MMF Treasury repo over Q3
French bank accounted for 13% of traded volume as of end-September
Fed set to unveil operational resilience proposals
OpRisk North America: banks expected to design idiosyncratic stress scenarios to test resilience
CME asks clients about changing implied UST futures coupon
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
Covid policy risk hangs over bank stress tests
Banks and regulators are second-guessing the policy response to new outbreaks
Regulators seek harmony on op resilience rules
Alignment on principles needed “in short order”, says Basel working group chair
Basel’s Rogers: little evidence capital buffers have failed
Top regulator disputes idea banks are unable to run down buffers, urges better communication
Wells Fargo eyes escape from Collins floor
Advanced and standardised RWAs are just 1% apart
JP Morgan braces for 4% G-Sib surcharge
Fifty-basis point increase to capital ratio looms
Seeking capital savings, JP Morgan shifts assets to holding pen
Transfer of assets to HTM portfolio could reduce stress capital buffer in future
Level 3 assets fell at top US banks in Q2
Mark-to-model instruments disclosed by banks over $100 billion in size contracted 4%
Prime fund exodus threatens SOFR credit add-on
Falling commercial paper and certificate of deposit issuance could leave new benchmarks with data gaps
Deposits grow share of US G-Sibs’ short-term funding
Unsecured funding from within the financial sector also edged higher
Banks warn of rise in ransomware attacks
OpRisk Europe: Banks must improve resilience of remote-working staff, says Wells Fargo financial crime expert
Science friction: some tire of waiting for quantum’s leap
Use cases for new tech are piling up – from CVA to VAR. But so are the obstacles
Dutch banks seek quantum edge for stress tests
ABN, ING and Rabobank working together; US quantum developer seeks patent for CCAR
Banks welcome US overhaul of AML rules
Proposals signal shift to risk-based approach to financial crime detection