United States (US)
New tools needed for bespoke SOFR trades – Wells Fargo
US bank’s Libor transition head wants ‘simple’ way to calculate compound rates for any given period
Citi, Goldman, State Street add $685m of complex assets
Private equity, asset-backed security and loan holdings drive increase in Level 3 instruments
Fed pushes big banks to calculate CVA for CCPs
Banks including JP Morgan and Credit Suisse told to quantify exposure to CCPs for annual stress tests
A powder keg in forex: the prime broker business
Brokerages look at high-speed algo trading paired with bloated credit limits – and shudder
At US G-Sibs, loan-loss reserves hit $5.6 billion in Q1
Wells Fargo’s PCLs climb 62% quarter-on-quarter
DTCC in talks to clear MarketAxess bond trades
Market-first move could cut platform’s costs and counterparty risks
Fund ratings flip as 2008 losses fade from view
Over 90% of top-rated US equity funds have betas greater than one
Over four years, US non-cleared swaps books get riskier
Risk density of non-cleared trades has increased under standardised approach
JP Morgan cleared swaps balloon $8trn in Q1
Total G-Sib cleared notionals climb 23% in three months to end-March
G-Sibs add $33trn of OTC notionals in Q1
JP Morgan expands swaps book by 23% in first quarter
Evolution or extinction: Ice swap rate’s post-Libor quandary
Thin liquidity in SOFR swaps imperils reference rate for $40 trillion swaptions market
US banks demand high rates for overnight loans
Most banks demand 25bp-plus spread over IOER to lend unsecured
Systemic risk scores surge at six US G-Sibs
JP Morgan and Goldman Sachs bump up against higher-risk surcharge thresholds
US mid-sized banks may bulk up. (Is that safe?)
The crisis over a decade gone, the Fed’s ‘tailoring’ proposal will greatly relax rules on the mid-tier
Most US G-Sib assets attract low risk weightings
Of total assets, 53% have a standardised risk weighting of 50% or lower
US G-Sibs curb reliance on unsecured debt
Citi cuts outflows related to issued securities 68% year-on-year
Over four years, US banks blitz correlation trading risks
JP Morgan’s CRM charge has fallen 94% since Q1 2015
Swaps users mull ‘big bang’ for SOFR discounting
Cleared and bilateral US dollar swaps could move to SOFR discounting on the same day in 2020
Morgan Stanley’s CVA charge swells 19% in Q1
Credit valuation adjustment capital charges have decreased at most G-Sibs year-on-year
Japanese banks inching away from US CLO market
New rules prevent firms investing in CLOs where originator is not obliged to retain risk
US G-Sibs keep on expanding repo books
JP Morgan has increased repo exposure by 34% year-on-year
US units of BBVA, BNPP, TD Bank post VAR breaches in Q1
TD Bank losses on one day exceeded VAR estimate by 195%
Five US banks had fewest down days since 2015 in Q1
BofA Securities, BNY Mellon, Citi, JP Morgan and Wells Fargo had most 'up' days in four years
At systemic US banks, HQLA falls $35bn in Q1
LCRs drop at JP Morgan, Citi and BofA Securities