United States (US)
SA-CCR would dent US dealers’ leverage ratios – trade bodies
Goldman Sachs, Morgan Stanley and JP Morgan would likely see the largest leverage exposure spikes
SOFR tipped to hit 300bp at quarter-end
US repo rate set for 25% spike thanks to French bank “window dressing” and US Treasury issuance
Patchy response to Isda’s back office of the future
Some banks are quiet, while clearing houses seem split on uptake of Isda data standardisation project
CFTC paves way for no-deal Brexit swaps transfers
Affiliate transfers would not trigger US margin rules if UK crashes out of EU without a deal
Constrained by Fed cap, RWA density rises at Wells Fargo
Wells Fargo reported total assets of $1.89 trillion in the fourth quarter, down $56 billion year-on-year
Jumbo SOFR swaps herald new world of repo betting
Swaps traders told to “learn repo market dynamics” as market catches glimpse of new trading strategy
Dealers seek clarity on buy-side IM relief
Hundreds of buy-side firms may still need to calculate margin and get models approved
Planned US capital buffer endangers shareholder payouts
CCAR-based stress capital buffer would hit healthiest banks harder than weaker rivals
Schwab, Northern Trust’s funding risk rivals G-Sibs'
Two non-G-Sibs have high short-term wholesale funding scores under Method 2
State Street top trading partner of Dodge & Cox Funds in 2018
Custody bank made up over 90% of all principal transactions
Goldman, Wells Fargo grew hard-to-value assets in 2018
In contrast, the other six US G-Sibs slashed $4.4 billion of Level 3 assets on aggregate
Illiquid trading assets drop at big US banks in Q4 2018
Non-HQLA securities fell $146 billion in aggregate
Cleared swaps surged among US banks in 2018
Cleared swaps accounted for 49% of notionals at end-2018
Giancarlo admits he may not finish Sef rules
CFTC chairman says his successor may have to finish regulation
CFTC nominee opposes EU oversight of US clearing houses
In EU-US turf war, Heath Tarbert says US CCPs should be ‘exclusively supervised’ by US regulators
Big US banks dropped $24trn of OTC notionals at year-end
Total notionals reported by the eight US G-Sibs stood at $196.3 trillion at end-December
US banks slashed G-Sib scores in Q4 2018
Big cuts to derivatives and trading securities push systemic risk scores lower
One-third of US G-Sib capital due to op risk
Op risk share of total RWAs has increased over three years
Fed may delay counterparty limits for foreign banks
Other countries need time to catch up on Basel large exposures rule, Fed official says
Goldman Sachs cuts CVA capital 39% in 2018
On aggregate, CVA charge across US G-Sibs fell $2.2 billion to $14 billion year-on-year
Wells Fargo takes $112m CVA hit in 2018
Trading revenues decline $54 million overall through derivatives adjustments
Last orders at the VAR
Inaccurate risk-of-loss estimates threaten to load extra capital charges on US dealers
Off-balance sheet exposures dip at US G-Sibs in Q4 2018
Goldman Sachs posted the largest drop quarter-on-quarter
EU hedge funds lean on repo for leverage
Around 60% of EU hedge fund borrowings due within one week, Esma reports