United States (US)
Top US banks’ market risk charges surged in 2020
Citi ended year with highest charge of the G-Sibs, at almost $9 billion
CFTC urged to take lead on CCP margin models
Advisory committee unable to agree steps on margin period of risk, model transparency
Buy-side physical FX clearing at LCH faces scepticism
Lack of clearing mandate and settlement wrangles mean demand for putative service remains weak
XVAs ate $401m of JP Morgan’s revenues in 2020
Credit valuation adjustment on derivatives cost $337 million alone
Repo exposures fell at BofA, surged at JP Morgan in Q4
Bank of America’s SLR improved to 7.2% by end-December
SOFR adoption stalls after US Libor delay
Stay of execution, RFR illiquidity and fallback reliance slow SOFR adoption
Profit-making trading days at systemic US banks soared in 2020
Citi had the most winning days of the G-Sibs in 2020, with 170
Swaps users shun cash compensation in LCH Libor switch
Members push for spread adjustment to maintain risk profiles, ignoring warnings of market bifurcation
After Texas storm, CFTC’s Behnam renews carbon trading push
Smaller banks imperilled by economic shocks from freak weather, says acting CFTC chair
Softer US NSFR could skew global repo pricing
US banks benefit from Treasury repo exemption, while EU banks report only end-quarter ratios
BlackRock: fix commercial paper before MMF meddling
Iosco official agrees that CP market needs to be considered alongside MMF reform
In light of Covid recession, Fed eases stress test scenario
Real GDP projected to fall 4%. In 2020, the simulated drop was 8.5%
Vix vulnerable to retail short squeeze, analysts warn
Volatility products could see more wild swings as dearth of vol sellers exacerbates spikes
Ending leverage ratio relief could force US banks to downsize
Biggest lenders may have to limit repo activity to manage leverage capital, observers say
Acadiasoft brings IM standards in-house with Quaternion buy
Deal will help data standardisation efforts and cut outsourcing risk in Simm calculation service
Expected European loan losses push up Santander’s Q4 credit reserves
Full-year LLP came to €12.2 billion, contributing to an overall loss in 2020
Options pricing framework buckles under GameStop frenzy
Wild retail trading sees calls sink below intrinsic value ahead of expiry as puts break spot correlation
Funds steering clear of bets on Libor timeline after losses
Despite FCA assurances, most actively traded swap bases have not yet widened back to November levels
Flow market-maker of the year: Citadel Securities
Risk Awards 2021: Palm Beach bubble allowed the firm to maintain crucial roles during March panic
Innovation in execution: Credit Suisse
Risk Awards 2021: Swiss bank’s AES platform excelled in US Treasury market during March turmoil
Mid-sized US banks set aside less for credit losses in Q4
Aggregate provision for credit losses at Truist, Capital One, PNC and US Bancorp more than doubled in 2020
Ex-SunGard chief Cris Conde’s random walk to fintech and beyond
Technologist talks artificial intelligence, angel investing and accidentally contributing to the Basel framework
Risk Awards 2021: the winners
Final winners announced: Citi wins derivatives house, lifetime award for Ken Griffin
Final NSFR rule unlocks subsidiary funding for US banks
Technical clarification allows subsidiary capital to be assigned as funding for consolidated group