Risk Quantum/Federal Reserve
SA-CCR switch pushes Goldman below Collins floor
Early adoption at the end of 2021 adds $15 billion of RWAs
CME turns to Fed in rejig of liquidity pool
Central bank balances accounted for more than 70% of the CCP’s total liquidity buffer in Q3
Interest rate ETD volumes drop in Q3
Shorter-dated contracts led the way, falling 9% quarter on quarter
Systemic risk: Fed methodology out of sync with Basel’s
Different inputs and calculator formulae pose dual test to US banks
US unit of TD Group close to a VAR breach in Q3
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
Early SA-CCR adoption to lop 120bp off Morgan Stanley’s CET1 ratio
The planned switch is set to increase the bank’s RWAs by between $35bn and $45bn
Systemic US banks’ bail-in buffers rose in Q2
Morgan Stanley posts largest amount of headroom, while Citi, State Street and Wells Fargo trail behind
Sonia/SOFR swaps jump ahead of ‘RFR First’ initiative
Cross-currency swaps increasingly seeing RFRs on both legs
Citi hits the Collins floor
Of the eight systemic banks in the US, Goldman Sachs remains the only one above the threshold
JP Morgan flirts with VAR limits
Largest trading loss in Q2 reached 96% of bank’s VAR limit
End of SLR relief weighs on JP Morgan
All eight US systemic banks saw their supplementary leverage ratio drop in Q2
Custody banks add $6.5 trillion assets
BNY Mellon extended its lead over State Street and JP Morgan in the second quarter
BofA grows securities book, but shuns US Treasuries
The bank adds $78.7bn in Q2, mostly in the held-to-maturity book