United States (US)
Regulators plan to delay IM ‘big bang’ – market sources
Most see final phase of initial margin rules coming a year later, in September 2021
Swaptions face valuation hit on discounting switch
Move to new reference rates could hurt some swaptions holders, while others enjoy “windfall gain”
JP Morgan equity VAR surges 56%
Total trading VAR stood at $44 million for Q2
Fed stress test AOCI wallop softens in 2019
Fourteen participants see projected capital drain due to unrealised losses drop 63% year-on-year
Fed turns up heat on dollar repo dodge
New liquidity rules for foreign banks’ US branches may be hard to stop, but can be softened
Fixing the roof while the sun – wait, is that rain?
The Fed is split on whether to apply a countercyclical buffer. But so is everyone else
People moves: CRO role for SG’s Ricke, Barclays continues hiring spree, new SwapClear head, and more
Latest job changes across the industry
Credit data: China, US corporates feeling trade tensions
Dispute has ended a steady improvement in corporate credit risk
Double jeopardy: CCAR and the countercyclical buffer
Some US regulators want to hike capital while times are good; banks say Fed’s stress test already does
‘Bad banks’ through the ages
How Deutsche Bank’s latest resolution unit stacks up
DFAST market shock accounts for a quarter of big bank losses
Trading and counterparty losses hit $88.1 billion for banks subject to global market shock
Banks to Fed: reshape CCAR for peacetime
But Quarles deflates mood: banks using their own models for capital is “not under active consideration”
trueEX to shut swaps trading platform
Would-be disruptor will exit business on July 19, leaving swaps market in hands of incumbents
EU banks’ credit risk estimates continue to fall
Mean average weighted corporate PD down to 2.24% from 2.61% in Q1 2018
Top CCPs’ liquidity pools hardly grow in Q1
LCH SA the only outlier as most clearing houses see cash, collateral and credit on hand shrink
Insurers’ CLO exposures are small, but growing
US insurer holdings hit $122 billion in Q4 2018
Ice, CME set to launch new VAR models in early 2020
Bourses plan to switch margining of energy futures at different times, prompting speculation of “arbitrage opportunities”
DFAST: JP Morgan accounts for one-fifth of projected losses
Bulk of losses would come from bank’s loan portfolio, projected to incur total losses of $60.3bn
Dealers issue rallying cry for cross-currency benchmark reform
Risk Live: Global banks need to drive new standards for multi-rate swaps, say leading industry execs
Stress test projected loan losses fall $18bn
Credit card loss rates account for 36.3% of total loan losses under severely adverse scenario
JP Morgan’s Hudson: innovation stuck in trading web
Risk Live: Digital head floats shared platform, rather than “point solutions”
US parries EU jab on CCP oversight
CFTC’s Pan questions Esma’s “very complex” test; EC’s Pearson calls it “more intelligent” than US’s
CCAR: JP Morgan, Capital One adjust planned capital actions
Two banks see stressed capital ratios fall below regulatory minimums at first attempt
The Fed doesn’t like narrow banks, but asset managers do
Narrow banks would funnel cash to the Fed to get its rate – money managers are intrigued