Leverage ratio
The fundamental role of the repo market and central clearing
The authors evaluate different economic functions of repo contracts and offer a summary of the structure of government bond repo markets in core advanced economies.
US banks’ stress test accuracy worsens in DFAST 2024
Gap between Fed’s and large dealers’ projections widens to six-year high
DB USA’s stress test estimate deviates from Fed’s by record amount
US unit of German bank underestimated capital and leverage hit in latest DFAST
DFAST 2024: IHCs outperform US banks despite steeper CET1 ratio decline
US subsidiaries of Deutsche Bank, UBS and RBC lead intermediate holding companies in biggest capital requirement drops
HSBC North America breached leverage ratio minimum in latest DFAST
Ratio of UK bank’s US subsidiary ended stress test 20 basis points below regulatory threshold
US Treasury official calls for SLR relief during market stress
Under Secretary Liang also urges scrutiny of “artificial incentives” for Treasury futures in 40-Act rules
BBVA’s takeover of Sabadell would shrink its leverage ratio
New entity would have lowest ratio since 2020
Japanese banks’ leverage ratios keep rising as BoJ relief becomes permanent
Norinchukin reaps largest benefit on eve of Covid-19-era exemption being made permanent
CBA’s SFT exposures balloon 50% during H2 2023
Surge in repos and similar transactions puts lender only behind NAB among Aussie dealers
As FCMs dwindle, regulators fear systemic risk
Panellists highlight dangers of clearing membership becoming more concentrated
Five US banks hit record leverage exposures
Ballooning balance sheets leave Goldman, Morgan Stanley with razor-thin SLR buffers
Treasuries coupon pile-up inflates Nomura’s foreign sovereign assets
Standardised exposures to overseas governments see tenfold increase despite ebbing IR VAR
AmEx expansion puts it on track for tougher prudential standards
Lender is within spitting distance of category III designation, which would attract stricter capital and liquidity requirements
US dealers’ leverage adequacy hits two-year high on repo compression
Lower repo exposures freed up capacity for derivatives and off-balance sheet items in third quarter
Can CCPs provide a port in a storm for securities lending?
Basel III, T+1 and EquiLend scandal all incentivise clearing, but also disintermediation
Roll up for the BoE’s counterparty mystery tour
Letter warns of cross-currency repo risks, but they didn’t feature in Archegos or LDI blow-ups
EU banks set for 6.7% capital hike on output floor tweaks removal
Unwind of EU-specific transitional arrangements could suddenly inflate Tier 1 risk-based charges, EBA analysis suggests
UBS leapfrogs global peers following Credit Suisse takeover
Swiss lender reports big increases in RWAs, leverage exposures and other key metrics
Post-crisis accounting trick haunts clearing brokers
FCMs gave up interest income for capital savings when rates were low. Now, some want it back
Like your CSA dirty? It’ll cost more
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
Overboard: ditching clients imperils Treasuries clearing mandate
Standardised docs a drop in the ocean as dealers eye potential costs of sponsored Treasuries clearing