Federal Reserve
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
Fed finds more risk failings at FBOs than at US firms
FBOs attract hundreds more matters requiring attention than domestic banks
Four in 10 big banks fail Fed’s supervisory expectations
42.5% of largest banks branded less-than-satisfactory by RFI ratings
Fed could soften CECL impact on stress tests, banks say
Risk USA: Firms may be allowed to spread impact of projected losses across CCAR cycle
Banks scent margin offset in US SA-CCR proposal
US agencies seek comment on whether IM should be recognised in leverage ratio calculations
HQLA savings may hit $52bn for big three US regionals
US Bancorp could slash HQLAs by $24 billion if ratio is set at 70% for Category IIIs
US regionals may get $8bn capital break in Fed proposal
Under tailored framework, mid- and small banks would also get $77bn liquidity relief
Basel to propose IM offset in leverage ratio
Four sources say draft will make concession; it could also revive EU-US segregation drama
Brexit OTC mutation, chaperones and SA-CCR
The week on Risk.net, October 6–12, 2018
Wells Fargo cuts $24 billion of RWAs
Optimisation efforts preserve capital ratio despite $14.5 billion of cash returns to shareholders
SA-CCR proposal imminent, Fed adviser says
NSFR could also be finalised before year-end; final stress capital buffer rule expected in early 2019
FDIC may rethink Camels scoring for smaller banks, says chair
Community banks want end to public shaming of those who fail key supervisory test