Federal Reserve
Five regional banks predict lower income from higher rates
IRRBB simulations show lending revenue shrinking as Fed policy gets tighter
SVB opens floodgates on liquidity buffers debate
European regulator says HQLAs should be booked at fair value, but not everyone agrees
First Citizens closer to tighter rules after SVB deal
With assets more than doubling to $219bn, acquisitive bank flirts with category III designation
Bank ALM crisis leaves FX hedgers with steeper roll costs
Spreads on EUR/USD forwards jumped more than fourfold in past two weeks
Investors zero in on short-dated options to trade US inflation prints
But critics say 0DTE products are increasing volatility around CPI announcements
At regional US banks, BTFP-eligible securities top $300bn
Assets classified as held-to-maturity made up less than 19% of aggregate securities portfolios in 2022
Fed’s climate stress test whips up storm for banks
Long-awaited US climate risk exercise puts tough pressure on banks’ data and models
First Republic had just $11bn eligible for Fed’s new facility
The bank held nearly $20bn of municipal bonds, representing over 60% of its securities portfolio
Missing Basel metric could have revealed SVB risks
US regulators did not implement economic value of equity test that SVB failed badly in 2021
Ahead of collapse, SVB’s interest expense climbed 1,700%
Lending income failed to keep pace with higher deposit costs as Fed reshaped rates environment
Strict term SOFR trading rules ‘permanent’, says Fed’s Bowman
Official says restrictions on use of term SOFR swaps “should not be expected to change”
Term SOFR trading ban remains as easing talks collapse
Fed working group resolute on interdealer trading restrictions despite looming capacity crunch
US credit risk modellers prepare for life after IRB
Stress tests and economic capital calculations may not carry the same weight as Basel ratio
G-Sib rules can’t assess regional mergers – UST official
Steele calls for domestic framework to weigh risks from large second tier banks
Grim repo warning spotlights BNP Paribas booking model
Federal regulators may be targeting French bank’s Paris-based book of US Treasuries
Alameda’s mystery bank stake reignites Fed deposit debate
Crypto challenger Custodia accuses regulator of unlevel playing field over master accounts
Exchange of the year: CME Group
Risk Awards 2023: Group puts US Libor transition back on track with tens of millions in fee waivers
MMFs’ reverse repos with Fed surged 35% last year
Fidelity-run funds drove 29% of the $601 billion in new trades
Libor Act leaves door open for synthetic rate in US contracts
Absence of proposed limit protects borrowers from sky-high prime rate but may irk some investors
Shadow banks grew net repo claims to record $2.1trn in 2021 – FSB
Non-bank intermediaries, led by money market funds, tapped Fed’s reverse repo window as rates began their ascent
Savers and funds grabbed MBSs as banks and Fed retreated
Central banks and commercial lenders became net sellers of bundled mortgages as rates rose, says BIS
China bond futures to be relaunched in Hong Kong
Products expected to be back on HKSE next year – six years after being suspended
FCA’s synthetic Libor plan could trigger US legal disputes
Tough legacy solution threatens to override existing fallbacks in some US law contracts
Bot’s job? Quants question AI’s model validation powers
But supervisors cautiously welcome next-gen model risk management