Federal Reserve
The Fed doesn’t like narrow banks, but asset managers do
Narrow banks would funnel cash to the Fed to get its rate – money managers are intrigued
ABA scenario analysis project could aid CCAR comparability
Scheme to agree on common risk drivers could help Fed benchmark risk exposures, says JP op risk expert
Deutsche’s stress-testing models are surprisingly accurate
DB USA's projections precisely matched the Fed’s estimates for the second year in a row
ETF investing – Building better portfolios
At the Asia ETF Forum 2019, Hong Kong Exchanges and Clearing (HKEX) welcomed industry experts from around the region to six key Asian exchange-traded fund (ETF) cities, offering attendees an updated view on the growing ETF market in Asia. This article…
US banks improve stress test projections
Gap between internal projections and the Fed's model outputs shrinks to 118 basis points
Banks hurdle Fed stress tests with ease
Aggregate post-stress CET1 capital ratio of 18 participants well above regulatory minimum at 9.2%
Systemic US banks’ overseas loans top $3trn
Citi leads large US dealers with almost $1trn of foreign claims
Basel set to update op risk and resilience principles
Op risk working group to issue core ‘indicators of resilience’ proposal as update to 2011 principles
Non-systemic US banks shy away from short-term funding
Mid-sized non-G-Sibs have average STWF score of just 17.1%
Goldman Sachs leads US firms on non-bank assets
Non-bank assets of G-Sibs equivalent to 32% of total consolidated assets
US mid-sized banks pile into intra-financial system assets
Non-G-Sibs over $100 billion in size hold 85% more of other banks’ assets than in 2014
Fed study says CCAR has not toughened over time
Higher planned dividends and buybacks to blame for increased capital depletion under stress tests
Default fund costs dominate US G-Sibs’ cleared swaps charges
Default fund contributions accounted for 62% of the eight banks’ RWAs
New tools needed for bespoke SOFR trades – Wells Fargo
US bank’s Libor transition head wants ‘simple’ way to calculate compound rates for any given period
Fed pushes big banks to calculate CVA for CCPs
Banks including JP Morgan and Credit Suisse told to quantify exposure to CCPs for annual stress tests
Over four years, US non-cleared swaps books get riskier
Risk density of non-cleared trades has increased under standardised approach
JP Morgan cleared swaps balloon $8trn in Q1
Total G-Sib cleared notionals climb 23% in three months to end-March
US banks demand high rates for overnight loans
Most banks demand 25bp-plus spread over IOER to lend unsecured
Systemic risk scores surge at six US G-Sibs
JP Morgan and Goldman Sachs bump up against higher-risk surcharge thresholds
US mid-sized banks may bulk up. (Is that safe?)
The crisis over a decade gone, the Fed’s ‘tailoring’ proposal will greatly relax rules on the mid-tier
Most US G-Sib assets attract low risk weightings
Of total assets, 53% have a standardised risk weighting of 50% or lower
Most Basel members have yet to adopt TLAC
Many countries also behind on implementing SA-CCR, NSFR, securitisation framework
A Chinese megabank and its CRO in the US
Frank Morisano has put together a risk team, his unit funds itself, and he’s banned cloud technology