United States (US)
Banks scent margin offset in US SA-CCR proposal
US agencies seek comment on whether IM should be recognised in leverage ratio calculations
JP Morgan slashes UK exposures ahead of Brexit
Derivatives and securities exposures halved since June 2016
HQLA savings may hit $52bn for big three US regionals
US Bancorp could slash HQLAs by $24 billion if ratio is set at 70% for Category IIIs
US regionals may get $8bn capital break in Fed proposal
Under tailored framework, mid- and small banks would also get $77bn liquidity relief
Driverless insurance: regulating Prudential without the Fed
Scrutiny on largest US insurer should not be laxer than on second-tier US banks, experts warn
Cross-border loans to the US dip in Q2
Coss-border borrowings expressed as a percentage of the region’s GDP fell from 15.3% to 14.3%
Not so DFAST: slim Mizuho avoids stress
Mizuho Americas has remained lean to head off CCAR, and, post-Crapo, it’s clear of DFAST, too
US ‘transfer restrictions’ take a bite out of UBS’s LCR
Overseas subsidiaries are holding more HQLA to meet local liquidity requirements
Risk.net podcast: OCC’s Fennell on Nasdaq breach, crypto and ‘skin in the game’
Clearing house is “seriously considering” contributing to own default waterfall
Capital One MBS sale to boost CET1
Portfolio shuffle will take $200 million out of AOCI
Hedging figures show doubt over US crude export plans
Producers sceptical that better infrastructure will allow US exports to relieve crude pressures
Prudential Financial growth at odds with Sifi repeal
US insurer has increased derivatives and repo books; grown total assets
State Street HQLA shift dampens investment yields
Allocations to agency mortgage-backed securities increase to 38.4% of portfolio total
Let exchanges set position limits – CFTC commissioners
Agency lacks the resources to monitor limits, say Berkovitz and Quintenz
US Bancorp cuts $87 million of soured loans
Ratio of toxic assets to total loans fall 19% quarter-to-quarter
Exchange chiefs back Giancarlo in tussle over CCP oversight
The CFTC may block US CCPs from acceding to EU supervision
SEC’s Stein sounds alarm on portfolio margining
Comment period on single-name CDSs is covert attempt at rulemaking, regulator says
Lessons from two commodity defaults
Regulators and exchanges need to learn from the Greenhat/PJM and Norwegian Nasdaq defaults
Morgan Stanley RWAs drop as loans fall and VAR dips
Standardised RWAs fall 4% to $370 billion
Goldman VAR drops again in third quarter
The firm’s average daily VAR dropped $11 million (17%) to $53 million
Bank of America posts lowest LCR to date
The firm's LCR fell to 120% from 122% in third quarter
Brexit OTC mutation, chaperones and SA-CCR
The week on Risk.net, October 6–12, 2018
Wells Fargo cuts $24 billion of RWAs
Optimisation efforts preserve capital ratio despite $14.5 billion of cash returns to shareholders
JP Morgan shrinks loan-loss provisions by 35%
Total PCLs across all divisions totalled $948 million in the third quarter of the year