United States
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
Initial margin at OCC declined over Q4
Calmer markets triggered downward revision as requirements drop $30bn
Why US bank regulation needs a system upgrade
SVB collapse shows supervisory framework is not fit for a changing industry and new systemic risks
US life insurers’ IR swaps usage hits $1.2trn in Q4 2022
Counterparty Radar: MassMutual is largest user of the instrument, finds our new analysis of industry filings
Did US hedge accounting rules contribute to SVB’s recklessness?
Hedging and directional risk-taking was a problem, but FASB regime may have complicated matters
Five regional banks predict lower income from higher rates
IRRBB simulations show lending revenue shrinking as Fed policy gets tighter
US banks vulnerable to losses if HTM securities need to be sold
Overall mark-to-market value $300bn lower than amortised cost across 30 banks
Pricing in volatile markets and potential regulatory impact
A combination of volatile and turbulent prices, challenges for valuation and the introduction of the US Securities and Exchange Commission (SEC) Rule 2a-5 means data specialists are more essential than ever for investment firms
SEC reporting rule threatens CDS liquidity, say traders
Market participants say proposals for identifiable position reporting will hamper bank lending
Morgan Stanley scores big with swaption trades
Counterparty Radar: Mutual funds increase pace of transition from USD Libor to SOFR in Q4 2022
First Citizens closer to tighter rules after SVB deal
With assets more than doubling to $219bn, acquisitive bank flirts with category III designation
SEC cyber rules risk creating web of confusion and costs
Proposals would require breach notifications, public disclosures and annual cyber assessments