United States (US)
As PNC bleeds non-interest deposits, US Bancorp picks up more
Divergence in savings mix follows March’s deposit flight
FX options hint at potential for euro shock
Months-long rally powered by ongoing hikes, but euro-bears fear economy will crack
Goldman’s sale of Marcus drives record PCL release
Partial disposal of retail arm costs bank $470 million, but nets first release into income since Q2 2021
BMR grows bought single-name CDS book as market slumps
Counterparty Radar: US retail funds cut $1.5 billion in sold swap positions in Q4
Initial margin requirements for IR swaps hit record $325bn
CME, Eurex and LCH report aggregate 10% rise in month marred by most severe crisis since 2008
Schwab turns to costly FHLB advances as deposits drop
Bank draws $45.6 billion in facilities carrying four times the interest rate paid on deposits
Capital Group, BMR double down on bought index CDSs
Counterparty Radar: Market for US mutual funds contracts in Q4 for the first time in eight quarters
US banks seize chance to transfer securities from HTM to AFS
Wells Fargo, JP Morgan and Citi reclassify $34bn following new hedge accounting treatment
Crypto custody faces regulatory death-roll
New measures to safeguard digital assets threaten to squeeze the life out of custody business, insiders fear
Fed preps new white paper on cyber incident reporting
New proposals due on data capture after Fed dumps bid to use DFAST submissions
US life insurers retained inflation hedges despite CPI drop
Counterparty Radar: John Hancock is biggest user of inflation swaps among US insurers, BNPP the largest dealer
As rates rose, KeyBank unwound 94% of pay-fixed swaps
Sale of AFS hedges left book exposed throughout late 2022, much as at ill-fated SVB
For 11 US regionals, capital adequacy hinges on AOCI waiver
A repeal of the 2019 provision would hit KeyCorp and Charles Schwab the most
Banks look back in anger as FRTB revives 1990s risk test
Institutions bemoan need for parallel framework to measure portfolios’ sensitivities to market moves
Tradeweb lodges MAT application for SOFR and Sonia swaps
If accepted by the CFTC, trades referencing the benchmarks must be traded on-Sef from June 1
Lending via Fed’s BTFP overtakes discount window
Emergency facility extended $79bn last week, $10bn more than central bank’s traditional credit lending tool
How Man Numeric found SVB red flags in credit data
Network analysis helps quant shop spot concentration and contagion risks
First CAD, yen inflation swaps appear in mutual fund filings
Counterparty Radar: Western Asset slashed inflation bets in Q4 as Empower probes new frontiers
First Republic burned through short-term investments in 2022
Cash and securities maturing within a year went from over- to undermatching short-term funding liabilities
US falls behind in race to match Europe’s FRTB launch date
Recent US bank failures could jeopardise planned January 2025 start date for Basel III
Brains beat backtests in a tough year for FIA indexes
Four of the top 10 benchmarks in 2022 were based on the economic theories of prominent academics
SEC securitisation rule could hamper interest rate hedging
ABS participants say breadth of resurrected 2011 proposal creates compliance minefield
The Catch-22 of US banks’ liquidity buffers
US banks are using held-to-maturity bonds to underpin liquidity adequacy, grating against accounting guidance. What happens if they’re forced to sell?
BofA claims top swaptions dealer spot for US life insurers
Counterparty Radar: Sector-wide exposures grew 35% in Q4 2022 on the back of large MetLife trades