United States (US)
Mid-sized US banks’ LCRs vary
Average ratio of 15 non-systemic lenders was 135% at end-June
Fed fund and repo borrowings top $1trn at big banks in Q2
JP Morgan had 16.8% of total outstanding borrowings of the largest banks at end-June
Off-balance-sheet exposures at US systemic banks jump $67bn
BAML expands these assets by 2.5% quarter-on-quarter to $921 billion
Deutsche opens bidding for interest rate derivatives
Fixed income assets on the block after equity derivatives sale closes
SOFR futures volumes surge as overnight repo rates spike
Daily trading volume of one-month contracts climbs 156% between September 16-17
CFTC refuses to budge on margin treatment of SMAs
Asset managers must agree new protocols for dealing with margin shortfalls in SMAs by September 2020
CLO investors find silver lining in Libor’s demise
A backward-looking SOFR rate will reduce the asset-liability mismatch that sank CLO equity in 2018
Earnings fuel capital build at systemic US banks
Aggregate CET1 capital hits $1.1 trillion in Q2 2019, of which 86% is retained earnings
UK dealers see over half of interest rate derivatives trades
86% of all euro-denominated contracts handled in the UK in April 2019, up from 75% in 2016
FCA chief calls for EU to extend Brexit clearing exemption
Bailey also urges EU to grant equivalence determinations for UK trading venues
CDS fix seeks support for January lift-off
Manufactured defaults protocol opens on September 13, forcing users to consider valuation impact
SOFR discounting switch splits Goldman and JP Morgan
CFTC committee calls on clearing houses to align timing and compensation mechanisms
Default risk of US bank corporate exposures edges up
Median average-weighted probability-of-default of G-Sib corporate portfolios hits 1.22%
US G-Sibs shun unsecured short-term funding
Trend towards borrowings secured by high-quality collateral accelerates
Time for a (proper) G-Sib speeding ticket
Fed’s systemic risk assessment has become box-ticking exercise, and US banks are getting away with it
Risk density of US systemic banks trumps that of EU peers
Ratio of RWAs to leverage exposures averages 44.7% at US G-Sibs
At US G-Sibs, capital buffers have thinned since 2016
Median G-Sib buffer stands at 3.1% and minimum requirement 9.5%
Wells Fargo, BNY Mellon, State Street build repo exposures in Q2
Wells Fargo increases gross repo assets by 12.4% in three months to end-June
An old fight over margin protections rears its head
CFTC rules on margin and loss limits for separate accounts are being torn up for asset managers
In liquidity buffer shake-up, Deutsche shuns cash
Central bank balances fall as share of liquidity buffer to 64% in Q2
Equity derivatives surge at US G-Sibs
Gross notionals have increased 8.9% year-on-year
Revealed: FRTB impact three times higher than expected
Undisclosed Isda study finds capital hike outweighs previous Basel Committee estimate
BAML leads US G-Sibs on swaps exposures to hedge funds
Bank has seen net current credit exposures to hedge funds rise 231% in three years
Dealers rush to redeem high-yielding structured notes
An estimated $60 billion of structured notes are at risk of being called before year-end