United States (US)
DCOs show resilience beyond key default thresholds – CFTC
Reverse stress test reveals clearing houses remain resilient under low to moderate market shocks
Capital Group grows interest rates swaps book by 62%
Counterparty Radar: Aggregate notional of US mutual fund and ETF positions hit $957 billion in Q1
Can Citi’s XVA desk help solve risk data failings?
Resolution plan reviews exposed material limitations in banks’ ability to unwind derivatives
Shifting tack, Goldman bought $6.7bn of agency RMBS in Q1
Purchase of amortised-cost securities is first diversification away from US Treasuries in seven years
Sovereign ‘greenium’ differs more than you might think
Term structure data shows wide variation in yields for green sovereign debt, argues economist
Four US MMF managers return to Fed repos in May
Fidelity and American Funds among managers opting to increase investments in RRP
Collapse of correlation fails to stem zeal for dispersion
New analysis suggests immensely popular relative value strategy may have more upside
Trading losses cancel out Goldman’s revenue in 2024 stress test
Bank hit hardest among those tested for market shock and counterparty default
DFAST 2024: IHCs outperform US banks despite steeper CET1 ratio decline
US subsidiaries of Deutsche Bank, UBS and RBC lead intermediate holding companies in biggest capital requirement drops
JP Morgan sails through DFAST with 200% AOCI reversal
Only major dealer to turn mark-to-market losses into gain in simulated recession
HSBC North America breached leverage ratio minimum in latest DFAST
Ratio of UK bank’s US subsidiary ended stress test 20 basis points below regulatory threshold
Could the SEC revive the private fund adviser rule?
Industry experts deem a second life for the reviled rule unlikely
Capital One, Discover loan portfolios hardest hit in Fed stress test
Simulated losses wipe out more than 1/6th of respective exposures
Vanguard stages swaptions comeback
Counterparty Radar: Deutsche grew book to $11 billion in Q1 to become largest non-US swaptions dealer to mutual funds
Eleven banks fall below buffer requirements in latest DFAST
Goldman Sachs worst performer among 31 participating banks, with 450bp gap between stressed CET1 ratio and all-in capital requirements
Data reveals hidden clockwork of FX forwards market
More than 70% of Vanguard’s volumes and nearly half of Pimco’s regularly occur on just four calendar days
Premialab adopts CDM for QIS swap booking
Vendor selects open source data model to power expansion in growing systematic index market
RJ O’Brien plots expansion into US Treasury clearing
Chairman and CEO says futures house plans to capitalise on SEC’s new mandate for interdealer trades
Does Basel’s internal loss multiplier add up?
As US agencies mull capital reforms, one regulator questions past losses as an indicator of future op risk
Clearing members cry foul over restrictive FICC rule change
Draft interpreted as attempt to obstruct rival clearing houses entering US Treasuries market
Is JSCC-CFTC stalemate about to be broken?
Japan CCP gains allies in battle to clear yen swaps for US clients, but CFTC shakeup could dash hopes
US Fed reveals its five use cases for generative AI
Internal sandbox used to assess viability and risks; coding and content generation on the agenda
What T+1 risk? Dealers shake off FX concerns
Predictions of increased settlement risk and later-in-the-day trading have yet to materialise
How steepener trades burned hedge funds, and what happened next
Delays to central bank rate cuts torpedo popular trade, causing funds to pull capital – to the chagrin of sell-side desks