Federal Reserve
Fed Funds Futures in a Post-ZIRP World
As the FOMC returns to more active management of its key target rate, Federal Funds futures have experienced dramatic growth.
How banks game stress tests: the ‘shocking’ truth
Leaked memo exposes effort to swap out risky assets despite Fed’s push to end “window dressing”
DTCC’s total liquidity pool shrank in Q2
Aggregate liquidity resources fall to $260 billion
Short-term interest rate ETD notionals leap $14trn in Q2
Open interest in exchange-traded options with maturities of a year or less rise 19%
Floating start date for 2020 stress test alarms EU banks
Regulator proposal could lead to less reliable market risk data, critics warn
Fed fund and repo borrowings top $1trn at big banks in Q2
JP Morgan had 16.8% of total outstanding borrowings of the largest banks at end-June
Earnings fuel capital build at systemic US banks
Aggregate CET1 capital hits $1.1 trillion in Q2 2019, of which 86% is retained earnings
Industry expects US FRTB proposals by year-end
Fed likely to co-ordinate progress with EU, which may also accelerate its timetable
US G-Sibs shun unsecured short-term funding
Trend towards borrowings secured by high-quality collateral accelerates
How collateral scarcity reshaped the US yield curve
QE and demand for high-quality liquid assets have suppressed short-term rates, argue IMF economists
Time for a (proper) G-Sib speeding ticket
Fed’s systemic risk assessment has become box-ticking exercise, and US banks are getting away with it
Wells Fargo, BNY Mellon, State Street build repo exposures in Q2
Wells Fargo increases gross repo assets by 12.4% in three months to end-June
Big US banks hold more Treasuries as swaps collateral
Government securities made up 8.2% of all initial and variation margin at G-Sibs in Q2
Six US banks grow systemic footprints
BAML and Citi climb into higher G-Sib surcharge buckets
Issues of unsecured debt, CDs pick up steam at US G-Sibs
Senior unsecured debt amounts outstanding climb 31% on Q4 2014; CDs 45.5%
First-half trading revenues at US G-Sibs increase by a third year-on-year
Income from interest rate exposures more than tripled on H1 2018, while equity revenues increased 17%
CME-LCH basis collapses amid rates downturn
Brexit and recent LCH initial margin raise could also be factors
Uniform? Op risk capital rules go their own ways
Europe and Canada set to include historical losses in new standardised approach; Australia probably not
To be resolved: inside banks’ ‘living wills’
Non-bank units and service providers make up large share of groups’ critical functions
Banks queasy over idea of building cyber trust
They agree that sharing intel on cyber threats is a good thing. But that doesn’t mean they want to
‘Living wills’ show some G-Sibs will be simpler to resolve
Four big banks reported fewer wind-up entities in 2019 resolution plans compared with 2017
Basis swaps spike amid US rates chatter
Budgetary wrangling and talk of Fed cuts spark Libor-OIS basis shift
PNC drains Fed account for buying spree
Future cut to LCR could lead to further withdrawals
Fed stress test AOCI wallop softens in 2019
Fourteen participants see projected capital drain due to unrealised losses drop 63% year-on-year