United States (US)
Deposit flows shape systemic US banks’ liquidity risk
Non-operational deposits accounted for over 25% of cash outflows in Q2
For a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
US banks’ corporate default indicators worsened in Q2
Median probability of default increases 38bp to 1.7% on the quarter
Systemic US banks’ liquidity ratios rebounded in Q2
Aggregate liquid assets increased 15% quarter on quarter
Inside the Fed’s secret liquidity stress tests
Lobbyists and Quarles train sights on horizontal exams that can shape bank risk appetite
Systemic US banks’ leverage exposures shrank $1.4tn in Q2
On-balance sheet exposures fall on Fed relief
FCM client margin ebbed from record highs over Q2
Goldman Sachs was the only FCM to increase swaps margin significantly
Quant finance courses tested by Covid’s echoing classrooms
Universities fret over drop in international students and demands of online learning
Citi, Goldman, had most winning trading days of top banks in Q2
In aggregate, US G-Sibs racked up 314 profit-making days over the quarter
New Tradeweb/IBA benchmark tipped as ‘competitor’ to SOFR
Forward-looking risk-free rate aimed at US mortgage market could have broader applications
Goldman’s op RWAs climb $13bn on 1MDB settlement
Bank settled with Malaysian government for $2.5 billion in July
Goldman breached VAR limit 16 times in H1
US dealer also racked up 40 days on which trading profits exceeded $100 million
Moonshots shelved: banks spend on home-working tech
Dealers made success of remote working switch – now they’re investing in its future, and pausing grander ambitions
Berkshire Hathaway’s put option liabilities climb
Fair value liability climbed to $1.6 billion at end-June
Non-cleared euro swaps market wrestles with discount rate switch
Buy-siders prepare for valuation change from move to €STR
Fed’s approach to stressing op risk frustrates banks
Regulator’s stress test results overshoot banks’ numbers, threatening capital plans
SOFR basis blows out amid CCP discounting changes
Rate cuts may have exacerbated discount risk as basis swap opt-outs move deeply in-the-money
IFRS 9 and the loan loss lottery
As reserves for bad loans balloon, banks grapple with measuring Covid-era credit risk
Stanford’s Duffie shakes up SOFR credit race with AXI index
Academics propose new credit index that ditches Libor tenors for a single funding spread
CFTC block trade plan gets cold shoulder
Industry divided over swaps reform proposal, and advisory committee casts doubt on need for it
Cross-currency confusion stalks FCA announcements
Possibility of RFR fallbacks setting on different dates creating valuation issues, say banks
CCPs added cash to their liquidity buffers in Q1
CME increased cash reserves at central banks by 271% quarter-on-quarter
Term SOFR rate still possible this year, benchmark firms say
Administrators target year-end benchmark trials despite low swaps liquidity
Top US banks reined in RWAs in Q2
Credit exposures fall after a wild first quarter