United States (US)
Systemic US banks crushed cleared OTC notionals in Q2
Outstanding amounts fall 12% quarter-on-quarter
Non-EU corporates thwarted on Emir reporting relief
Esma suggests foreign-headquartered firms can’t benefit from intra-group exemption
US bank systemic risk indicators stay elevated through Q2
Increase in exposures, short-term wholesale funding bump systemic risk scores higher at some firms
Fed’s second round of stress tests to push banks’ limits
Worst-case scenario sees unemployment peak at 12.5%
SOFR basis tightens on ‘big bang’ auction disclosure
Indicative auction portfolio unveiled by LCH shows discount risk heavily skewed to liquid end of curve
Credit Suisse traded most with top Pimco funds in 2019
Bank’s US securities arm conducted trades worth $639 billion over 12 months to end-March 2020
Accounting rules snare insurers in SOFR discounting switch
Re-couponing swaps to reduce discount risk could have adverse accounting consequences for insurers
SOFR discounting: CCPs prepare for make or break auctions
Deluge of one-way risk and kinks in basis swap auctions could derail Libor transition milestone
Reg AT withdrawal could delay a Biden agenda for the CFTC
Democrats and some lawyers say Tarbert’s new principles don’t achieve same goals as Reg AT
JP Morgan shook up market risk stress tests in Q2
Bank switched stressed VAR historical periods 60 times
US regulator may bend on margin rule for segregated accounts
CFTC open to extending September 15 deadline
Tri-party repo trades backed by GSE debt gain popularity
Agency bond trades made up 37% of total tri-party transactions on September 4
BofA becomes first US bank to adopt SA-CCR
Move cut leverage exposure by $66bn, but other banks wary of trade-offs
NYU’s Epstein on fear and complacency in the age of Covid
Pioneer of agent-based models warns of virus resurgence akin to 1918 Spanish flu
Fix to Fed stress test snafu lowers two banks’ capital charges
Goldman, Morgan Stanley see stress capital buffer cuts
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
Dealers vie with Markit to electronify bond issuance
Competing platforms could split the market for new issuance in Europe and the US
Eurozone insurers dived back into bonds in Q2
Net purchases of debt securities amounted to €15.1 billion over Q2
Covid recession makes US insurers’ junk bond piles riskier
About $227.5 billion of firms’ debt holdings are BB+ rated or lower
Top US banks’ counterparties’ credit quality deteriorated in Q2
At Citi, exposures with a PD of 10% to 100% increased 73% quarter on quarter
Rival SOFR conventions splinter loan market
Diverging approaches to calculating interest payments sow uncertainty and hedging concerns
After Covid, CCPs face calls for revamped disclosures
Banks and buy-side firms working with clearers to provide more granular info on margin shortfalls
Fed dollar swap operations slow as funding strains ease
Seven-day swap utilisation has dropped off since May
OTC swaps exposures of systemic US banks fell back in Q2
Aggregate current credit exposures to hedge funds falls 42% quarter on quarter