United States (US)
CRE books at Goldman, Morgan Stanley most laden with provisions
Duo increased allowance coverage fastest among top US banks since September 2022
Repo price spike concentrated in FICC DVP market
Soaring demand for cleared repo blamed for largest SOFR spike in four years
CFTC sounds the alarm on clearing capacity
US regulator warns porting cannot be guaranteed in the event of a large member default
G-Sibs’ risk score heatmap shows signs of shakeup
Most systemic lenders’ scores remain driven by cross-jurisdictional activity, but other categories increase in heft
Resolution liquidity rules set to squeeze US regional banks
Pressure to hold more high-quality liquid assets will eat into net interest margins
NSCC had top margin breach of $1.2bn in Q3
Margin shortfall is largest on record for the CCP and bucks wider trend across global clearing houses
BNP takes top forwards spot with US mutuals
Counterparty Radar: French bank ousts Bank of America to lead the table for the first time
Can CRE credit risk models cope with hybrid working?
As US office use changes, modellers deploy judgement overlays and alternative data to keep up
Fed methodology adds as much as 2% to US G-Sib surcharges
Morgan Stanley’s binding add-on is three times as high as under Basel framework
HSBC leads global uptick in OTC derivatives clearing
Systemic banks cleared record €250 trillion in notionals in 2022
FDIC scrutinised over move to cover all SVB deposits
Advisory panel questions whether guaranteeing uninsured deposits was necessary to prevent contagion
Hedge funds rev up short-vol trade in zero-day options
Firms are capping exposures to avoid a rerun of 2018’s ‘Volmageddon’ unwind
Citi propels G-Sibs’ OTC derivatives notionals to nine-year high
Bank leapfrogged Goldman as fourth-largest derivatives dealer after 20% jump over 2022
Substitutability cap spares JPM, Citi higher Basel G-Sib surcharges
Stalled framework review by Basel Committee benefits world’s largest bank for 10th consecutive year
UBS, three Chinese banks face higher capital surcharges
Credit Suisse and UniCredit dropped from G-Sib list in latest systemic risk assessment
Bank QIS teams take zero-day options plunge
JP Morgan sees better risk/reward profile for 0DTE-based trend strategies
HQLAs slide to multi-year lows at largest US regionals
Drops make US Bancorp, PNC and Truist ever more dependent on reduced LCR
Margin failings raise concern over Treasury basis trade
Opaque models at clearing houses cast doubt on calculations for concentration add-on
FX HedgePool launches all-to-all FX swaps matching
P2P platform starts daily matching and opens up to banks, hedge funds and ECNs
SEC expected to protect CRT in conflicts of interest rule
Decision could come as early as today; high hopes for credit risk transfer exemption
VAR breaches trip up Citi, CS USA and two others in Q3
Comerica’s VAR multiplier ratchets up while Huntington’s remains at record high
At US banks, paper losses on HTM securities hit new high
Bank of America leads way as mortgage-backed securities drive aggregate rise in Q3
US life insurers piled into index options in Q2
Counterparty Radar: Lincoln Financial, Global Atlantic lead expansion; Goldman claims top dealer spot
How corporates are tooling up for FX risk
Unstable markets have forced corporate treasurers to adopt whizzier methods for managing currency exposures