United States (US)
TD Bank’s US unit incurred eight VAR breaches in 2019
Number of backtesting exceptions pushed the bank’s VAR capital multiplier to 3.75
Goldman hits the Collins floor
Changes to loss-given-default models caused advanced approaches credit RWAs to plummet
Fewer losing trading days at top US banks in 2019
State Street posted most losing days in 2019, with 146
Capital buffers edge lower at systemic US banks in 2019
CET1 excess above institution-specific amounts slid 228bp at median G-Sib
Synthetic Libor faces legal obstacles
EU benchmark rules may thwart ‘tough legacy’ fix, reviving calls for blanket legislation
Wells Fargo’s VAR spiked in Q4
Interest rate VAR increased to $211 million in last quarter of the year
Systemic US banks shed $70bn of repo exposure in Q4
Goldman Sachs lowered repo exposures 13% quarter-on-quarter
EU funds loaded up on US debt in 2019
Net purchases of US debt up +962% in 2019
False start for foreign banks under Fed’s tailoring rule
Delayed reporting form means requirements for Barclays and Credit Suisse could change twice in 2020
CECL models may leave banks ill-prepared for next downturn
Mortgage backtest study shows some loan-loss models miss the mark
EU banks rue SA-CCR mismatch with US
European clearers are stuck with CEM until 2021, but some US banks are reluctant to switch early
Margin exchange threshold relief: get out of jail free?
‘Game-changing’ IM exchange threshold relief may not be the phase five free pass it first appears
First SOFR versus CORRA cross-currency swap hits market
JP Morgan and National Bank of Canada extend SOFR cross-currency trading into Canadian market
Fed could postpone stress buffer beyond CCAR – experts
Delays prompt speculation that new rules will only be known after stress-test results in June
Goldman, JPM kick off SOFR swaptions
US dealers spearhead non-linear trading but patchy liquidity weighs on vol market ambitions
FCA dismisses Libor credit component concerns
UK regulator bemused by distress raised by US regional banks to Fed
Fast-track SOFR term rate, says JP Morgan’s Pluta
Traders divided on whether liquidity in SOFR futures is sufficient to support a forward rate
FCMs’ required client margin up 29% in 2019
Citi still far and away the largest FCM
BNP leads a comeback for Europe’s clearers
Brexit, leverage ratio tweaks and concentration fears could help European banks compete with US FCMs
US banks anticipate fresh guidance on resolution liquidity
Consultation in first half of 2020 expected to clarify intra-group and forecasting requirements
CCAR more severe than EU stress tests
Real GDP decline greater for US banks under Fed tests than for EU firms grilled by the EBA
Quant Guide 2020: programmes tap banks for teaching talent
Unis are adding machine learning and data science courses, but need instructors to teach them
Fed’s stress tests to gauge banks’ leveraged loan risks
CLOs to suffer “severe corrections” under 2020 scenario
Isda plans February rerun of Libor pre-death trigger poll
Lack of consensus would add pre-cessation option to post-cessation protocol for bilateral swaps