United States
Top 10 operational risks for 2023
The biggest op risks for the year ahead, as chosen by senior industry practitioners
BMO, TD and US Bancorp hit by out-of-the-money goodwill hedges
Derivatives meant to offset dilution of capital in acquisitions turned loss-making as yields temporarily slumped
US banks’ risk-free exposures keep falling
Assets with 0% risk-weighting lowest proportionally since Q1 2020, replaced by riskier exposures
Term SOFR trading ban remains as easing talks collapse
Fed working group resolute on interdealer trading restrictions despite looming capacity crunch
VAR tail grew fatter at Bank of America in 2022
Gap between 95% and 99% confidence levels widens to 10-year record
Swaps market braces for $60 trillion Libor conversion
Staggered timeline should smooth transition, but scale of the switch still presents challenges
US banks’ VAR breaches up 2.5x in 2022
‘Hypothetical’ one-day losses exceeded VAR on 55 occasions, as losing trading days prevail
Contrarian Goldman grew fair-value bond book in 2022
Held-to-maturity securities balloon, but bank also adds mark-to-market Treasuries as others curtail them
US insurance regulators move to kill CLO arbitrage
Capital charges on collateralised loan obligations will be model-based after 2024
CCP ‘skin in the game’ still dwarfed by member contributions
Even as markets churned in 2022, clearing houses coughed up only 2% of funds at end-September – the same as the previous year
An uphill climb to T+1 settlement
The SEC is pushing an aggressive schedule for faster settlement of equities and corporate bonds
Industry fears burden of SEC’s giant equity market makeover
Even buy-side representatives warn the impact of retail order auctions is unpredictable
Commercial bank cash grows more popular for initial margin
Shift driven by Ice Europe as CCPs diverge on preferred type of collateral
Penny stock case may hold key to SEC dealer definitions push
Court ruling could set precedent for legal battles over controversial proposal
Op risk data: Cerberus fight bites $850m off CIBC
Also: SEC targets dodgy disclosures; Commerzbank’s Wirecard hit. Data by ORX News
US credit risk modellers prepare for life after IRB
Stress tests and economic capital calculations may not carry the same weight as Basel ratio
‘Globalisation rewired’: what does it mean for investors?
After half a century of outsourcing production to developing nations, companies are changing tack – with long-term implications for investors
G-Sib rules can’t assess regional mergers – UST official
Steele calls for domestic framework to weigh risks from large second tier banks
NY Fed paper warns of systemic risks from SOFR credit lines
Stress tests need to account for credit facilities being “drawn to the limit”, says Stanford’s Duffie
Lawmakers join pushback over SEC dealer rule
Bipartisan letter to Treasury says proposal would damage market liquidity
RBC, JP Morgan become top MMF repo dealers
BNP Paribas slips to third place after 10 months in top spot
Stablecoins: good as the buck, or breaking the buck?
Collateral concerns and iffy auditing have raised fears of a ‘de-pegging’ event – and possible contagion across crypto and beyond
EU and UK CCPs dominated by foreign members
Non-domestic clearing members accounted for over 70% of LCH’s and Eurex’s pool in Q3
Grim repo warning spotlights BNP Paribas booking model
Federal regulators may be targeting French bank’s Paris-based book of US Treasuries