United States (US)
Top US banks set aside $6bn for credit losses in Q3
Quarterly provisions highest in two years
US Bank cautions on regulators’ TLAC proposal
Risk USA: CRO also says bank is readying credit risk models and business plans for recession
BNY, State Street took $6.5bn fair-value hit to bonds in Q3
Eroding prices of RMBSs and govies keep widening unrealised losses
Modelled RWAs diverge from standardised at Wells Fargo
Gap between the two methodologies hits $152bn – its widest ever
Brokers slam CME over ‘conflict of interest’ in FCM plan
Clearing members question how CME could be quasi-regulator as well as direct competitor
Morgan Stanley’s VAR averaged $61m in Q3
Trading risk indicator surged 33%, second-hottest reading since 2013
Cantor to offer equity swap hedges to prime brokers
Provider to enter race with Capitolis and Nearwater as it preps early 2023 launch for ABCP service
Regulator warns on fragmentation of climate risk supervision
International standards needed to support growing preference for Basel Pillar 2 approach
Chill winds blow for Capitolis’s equity swap platform
Fintech’s effort to revive off-balance-sheet funding runs into market and regulatory turbulence
Hong Kong, India, Turkey lag behind on Basel III framework
Only Canada, Japan and Saudi Arabia ready for full implementation as January deadline approaches
HSBC hits up rivals to strengthen US risk team
Bank hires from BNPP for US CRO and BofA for head of model risk management
Citi poaches BofA capital veteran for treasury CRO role
Cenk Kamis leaves for rival US bank after 20-year stint at Bank of America
BlackRock slashes book as IR swap market volume rises
Counterparty Radar: Pimco’s book surpassed $40 billion in Q2, growing to half of mutual fund space
SA-CCR’s sacrifice: who stands to lose from new capital rules
Risk.net research shows the potential for dealers to be left at a disadvantage to their foreign rivals
Low pricing of inflation swaps takes buy side by surprise
Dealers expect inflation to peak sooner, but investors remain sceptical
US mutual funds pulled back from repo market in Q2
Counterparty Radar: Cash borrowing fell to lowest level since 2020; JP Morgan remains top dealer
Fed governor questions Barr’s regulatory agenda
Republican governor Bowman delivers “shot across the bow” to new vice-chair
Interest rate scenarios: skinny-dipping with the Fed
As US rates march upwards, Risk.net readers offer deeply diverging forecasts on the impact for markets through to 2024
PGIM grows sovereign-referencing CDS book in falling market
Counterparty Radar: US mutual funds cut $2bn in single-name swaps in Q2, making largest reductions in SSA trades
European banks set for 17.5% capital hike under Basel III
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028
Client margin at Credit Suisse shrinks to just $25m
Required funds for swaps meet same fate as F&O trades, as exit from prime services continues
$899m margin breach at FICC’s mortgage unit
Three-day move in TBA prices on June 9 triggered second-highest backtesting deficiency to date
Pimco dumps credit options as US funds slim holdings
Counterparty Radar: Space shrinks 30% in Q2 following three consecutive quarters of growth
Talking Heads 2022: Rates market ruckus
Inaugural interview series looks at how sell-side traders are adapting to a world of surging inflation and rates