How window-dressing distorts US repo markets
Banks crush their repo balances periodically to massage systemic indicators, with far-reaching consequences for borrowing rates
This is the fourth in a series of extended articles from Risk.net’s Risk Quantum desk, which produces daily data articles, available via a Risk Management subscription. You can find the previous articles here.
On November 27, the Basel Committee on Banking Supervision published the latest systemic indicators for the world’s largest banks. These are supposed to provide the most accurate picture
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
Eurex dividend futures volumes jump on Iran shock
Turnover triples as investors hedge dividend cuts risk
CCP default funds grew to record size ahead of Iran war
End-2025 figures show widespread increases in prefunded resources
Comerica, Frost lead US banks on commodity derivatives concentration
Commodity-linked trades account for one-third of derivatives books at both lenders
Limited RWA gains support rethink on Fed output floor
Advanced approaches cut RWAs only marginally across US banks
Eight US dealers set to dodge FRTB application
Revised trading-activity thresholds would narrow scope of market risk framework
AOCI reinclusion would strip $49.5bn from US bank capital
Schwab, Ally and Fifth Third face largest CET1 hits under Fed Basel III endgame proposal
HSBC, Mizuho, US Bancorp ensnared by endgame CVA rule
Notional-based backstop leaves most banks exempt from capitalising non-cleared trades
G-Sib overhaul could trim future capital needs by $45.2bn
Morgan Stanley, Goldman and BNY set to benefit most from Fed Basel III endgame proposal
