Federal Reserve
Traders flipped long yen vol ahead of market rout
Hedge funds and real money bought long yen volatility in the run-up to Monday’s turmoil
Why was Archegos worse than the Fed’s five-fund stress test?
Some believe Credit Suisse was an outlier, but others say the CCAR results underestimated risks
Between the lines: why banks are rethinking risk management
Lloyds is not the only bank wanting to reshuffle the three lines of defence as tech risks grow
American Express set to become category III bank
Payment card lender to be subject to stricter capital, liquidity and prudential requirements from next quarter
US banks’ stress test accuracy worsens in DFAST 2024
Gap between Fed’s and large dealers’ projections widens to six-year high
Fed urged to introduce annual high-rate stress tests
Results of debut scenario were reassuring, but regulators cannot lower their guard
For the Fed discount window, destigmatisation starts at home
US supervisors must change tack to encourage central bank liquidity utilisation, writes Bill Nelson
US banks’ performance in latest DFAST worst in six years
Fed blames higher credit card delinquencies, riskier corporate lending and lower revenue
DB USA’s stress test estimate deviates from Fed’s by record amount
US unit of German bank underestimated capital and leverage hit in latest DFAST
Can Citi’s XVA desk help solve risk data failings?
Resolution plan reviews exposed material limitations in banks’ ability to unwind derivatives
Four US MMF managers return to Fed repos in May
Fidelity and American Funds among managers opting to increase investments in RRP
Trading losses cancel out Goldman’s revenue in 2024 stress test
Bank hit hardest among those tested for market shock and counterparty default
DFAST 2024: IHCs outperform US banks despite steeper CET1 ratio decline
US subsidiaries of Deutsche Bank, UBS and RBC lead intermediate holding companies in biggest capital requirement drops
JP Morgan sails through DFAST with 200% AOCI reversal
Only major dealer to turn mark-to-market losses into gain in simulated recession
HSBC North America breached leverage ratio minimum in latest DFAST
Ratio of UK bank’s US subsidiary ended stress test 20 basis points below regulatory threshold
Capital One, Discover loan portfolios hardest hit in Fed stress test
Simulated losses wipe out more than 1/6th of respective exposures
Eleven banks fall below buffer requirements in latest DFAST
Goldman Sachs worst performer among 31 participating banks, with 450bp gap between stressed CET1 ratio and all-in capital requirements
More data urged for effective counterparty credit risk management
Disclosure of client positions may not be commercially realistic, expert warns
US Fed reveals its five use cases for generative AI
Internal sandbox used to assess viability and risks; coding and content generation on the agenda
How steepener trades burned hedge funds, and what happened next
Delays to central bank rate cuts torpedo popular trade, causing funds to pull capital – to the chagrin of sell-side desks
House of cards? The $3 trillion (non-systemic) real estate risk
Regional banks share the bulk of US commercial real estate exposure, but the sector’s downturn doesn’t faze them
US Treasury official calls for SLR relief during market stress
Under Secretary Liang also urges scrutiny of “artificial incentives” for Treasury futures in 40-Act rules
US banks seek to open vendors’ black box on green data
Inaugural Fed climate scenario analysis flags lack of transparency around third-party models
Reframing the Fed’s discount window
Funding window incentives and collateralised credit lines could transform bank liquidity in a crisis, argues Bill Nelson