Federal Reserve
Systemic riskiness of top US banks increased in Q1
JP Morgan’s systemic risk score increased enough to attract a 4% capital surcharge
Data error inflated Wells Fargo’s op risk capital by $5 billion
Sharp fall in Q1 RWAs followed removal of duplicate data
EU banks’ liquidity buffers weathered Covid turmoil
Central bank cash reserves edge up across EU lenders
Covid tumult pushed VAR capital charges up 72% at US G-Sibs
JP Morgan’s charge increases 148% quarter-on-quarter
A zombie US capital ratio comes back to life
SLR rollback could mark the return of 1990s Tier 1 leverage ratio as a binding constraint
Blurred lines in bank capital standards
Boundaries between capital buffers and capital requirements are looking worryingly unclear
Leverage ratio squeeze hits options trades
With clearing banks constrained by leverage limits, prop traders fear options market lockdown
Fed does U-turn on SOFR loans
Libor rates to be used instead for four-year emergency lending schemes
Bond managers relaxed ahead of bumper index rebalance
Fed’s credit facilities boost confidence as downgrades hit corporate bond indexes
Leaked EU document casts doubt on leverage ratio relief
Several MEPs oppose leverage exemption for sovereign bonds, but some want SA-CCR fast-tracked
Foreign banks await guidance on Fed’s SME lending facility
Term sheet for $600 billion scheme silent on whether foreign banks in US can participate
Banks reject SOFR in Fed’s Covid lending schemes
Emergency loans to businesses get caught up in Libor transition
US banks’ leverage soared in Q1 before Fed’s reprieve
JP Morgan alone saw leverage exposure climb $112 billion
How regional banks could shape US Libor replacement
Regulators convene working group to address credit sensitivity concerns
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Covid loan losses exceed 2019 CCAR projections
CECL accounting likely responsible for discrepancy
BoE and ECB weigh calls to follow US lead on capital relief
European regulators face pressure to exempt sovereign exposures from leverage ratio
Managing a derivatives portfolio through turbulent markets
Steering a portfolio of non-linear derivatives, such as options and more exotic products, is challenging at the best of times. Market risks change as markets move and time passes, risks offset in complex ways and proxy hedging is common. In this feature,…
Lawyers pick holes in Libor statutory fix
US ‘tough legacy’ contracts open to legal challenge even if proposed New York law is passed
Fed dominated MMF repo trades in March
FICC and BNP Paribas among other top repo counterparties
Eurozone banks fear market risk capital hike due to Covid-19
Hopes that ECB will fix double-counting as VAR breaches rise on market volatility
Wells Fargo loan book swells $48bn in Q1
San Francisco-based bank clears space on balance sheet for increased lending
Fed missed chance to curb dividends, say ex-supervisors
Instead, changes to stress capital buffer and TLAC rules would allow larger payouts
How the Fed’s asset cap changed Wells Fargo
Lender has expanded repo book and cut cash since Q4 2017