Federal Reserve
Modelling interrelated shocks will improve stress tests – research
Call for regulators to ditch standard scenarios for more sensitive approach
Fed stress tests tougher in 2019
Severely adverse scenario projects US economy to shrink 9.4%
Libor, G-Sib charges and Metro Bank’s risk errors
The week on Risk.net, January 26–February 1, 2019
Unmoved, Fed stands by G-Sib surcharge
Facing down frenetic lobbying and even US Treasury, central bank doesn’t blink on surcharge
Fed to persist with insurance capital proposals
Quarles indicates Fed will follow through on building block approach designed by previous board
Fed shackles weigh on Wells Fargo
Total assets and risk-weighted assets down 3% on end-2017
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
Regulators rethink Volcker overhaul to solve accounting glitch
Bankers urge cancellation of new definition of prop trades that could capture liquidity buffers
FICC takes firm grip of US repo market
Central counterparty wrangled more money market repo cash than banks did by end-2018
For US banks, billions in regulatory manna
The unwind should help mid-tier banks, but the G-Sib impact is a complex balancing act
Fed’s CECL relief falls short – regional banks
Banks won’t need to factor loan-loss estimates into DFAST through 2021; no word yet on CCAR
FBOs get smaller, simpler and easier to resolve
Foreign bank IHCs have shrunk between 16% and 41% since Q3 2016
Repo rate hits 7.25% on year-end volatility
US Treasury issuance on December 31 said to have fuelled last-minute dash for cash
US banks pare reliance on unsecured funding
Average share of unsecured wholesale funding falls to 42% in a year
US life insurers switch to FHLB loans from Fabs
Borrowings from government-backed banks triple in 10 years
FX swaps to avoid year-end basis blowout, banks say
Earlier rollovers likely to ensure no repeat of previous cross-currency volatility
When bonds struggle, so does alt premia – research
Ties between alternative risk premia and fixed income closer than appreciated
US banks bolster quality of short-term funding
Eight US G-Sibs increase share of total borrowings made up of well-collateralised repo
FDIC suspends resolution plans for deposit takers
Requirement for opcos of bank holding companies could be tailored or scrapped entirely
Basel and Fed G-Sib methods pose dual test to US banks
Different emphasis of rival frameworks could frustrate bank efforts to reduce systemic risk
BNPP, Credit Suisse, State Street incur VAR breaches
BNP Paribas capital multiplier increases on seventh breach in nine months
The disputed terrain of model risk scoring
There is no concord on how banks should police their model risk. But two Fed economists have an idea
Fed’s Brainard wary of black box AI models in consumer credit
Speech raises explainability issue; says existing model risk guidelines are “a good place to start” in regulating AI
US G-Sibs cut $36bn of HQLA
Wells Fargo clears out $27 billion of HQLA in first nine months of 2017 alone