United States (US)
Top US banks saw liquid assets grow over $500bn in 2020
JP Morgan saw HQLAs increase 28% year on year
State Street to look after bitcoin, just don’t call it custody
The second-biggest custodian will provide “record-keeping services” for the unregulated asset
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
Non-US banks cut back on MMF dollar funding post-Covid – BIS
Non-bank dollar deposits offered alternative supply of greenbacks
High-earning banks set aside more Covid provisions – BIS
Provisions across 70 banks in H1 2020 were almost quadruple those taken in H2 2019
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