Federal Reserve
Low pricing of inflation swaps takes buy side by surprise
Dealers expect inflation to peak sooner, but investors remain sceptical
Fed governor questions Barr’s regulatory agenda
Republican governor Bowman delivers “shot across the bow” to new vice-chair
Interest rate scenarios: skinny-dipping with the Fed
As US rates march upwards, Risk.net readers offer deeply diverging forecasts on the impact for markets through to 2024
Duffie: SEC plan heralds all-to-all Treasuries trading
Former Fed adviser welcomes long-advocated Treasuries clearing mandate
BNY Mellon, Schwab would benefit most from SLR relief
A repeat of the pandemic carve-out would boost average ratio across US banks by 45bp
SOFR swap basis could pose ‘systemic risk’
Trading curbs must be loosened to prevent tripling of unhedgeable basis risk, says senior banker
Top Fed watchdog supports non-bank Sifi designation
Vice-chair Barr complains regulators lack “even basic data” on some areas of shadow banking
Quarles calls for SLR ‘recalibration’ to support Treasuries
Former vice-chair says leverage ratio gold plate was based on flawed projections of Fed reserves
US Treasury market preps for reporting showdown
Sifma expected to attack transparency plans; prop traders brand objections “crazy”
Quiet man: is Michael Barr the Clark Kent of regulation?
A decade after crafting Dodd-Frank, Fed’s new vice-chair must tame DC's warring regulatory factions
JP Morgan’s VAR multiplier increases following Q2 breach
Citi also reported one backtesting exception but kept VAR-based market risk capital requirement flat
PNC, Truist most reliant on tailored LCR requirements
Liquidity ratios would be below regulatory minimum without Fed's cap for regional US banks
‘Very little support’ for a US Treasury clearing mandate – Isda
Dealers and clients prefer carrot to stick in efforts to improve Treasury market liquidity
Using correlation to model op risk losses may be unsafe – study
Techniques for linking economic factors and bank losses produce varying – and sometimes contradictory – results
‘Nightmare’ of uncertainty plagues FRTB model applications
Shifting timetable and rule tweaks that could alter incentives dampen appetite for internal models
Citi, BNY Mellon escape Collins floor
Both banks return above the threshold after just two quarters
Covid chaos spurs on search for model risk aggregation
Many models failed in pandemic, but analysing them in clusters easier than whole-bank view
Fed ‘tailoring’ led to larger, less capitalised regional US banks
Lenders freed from toughest requirements in 2018 grew balance sheets but saw capital ratios slip
DFAST 2022 leverage results widest in four years
Distribution of post-stress leverage ratios sees expanding gap between top and bottom performers
‘Strong case’ for US synthetic Libor in bond markets
Temporary publication under SOFR-based methodology could mop up 40% of dollar bond issues
ARRC reconvenes task force to evaluate term SOFR curbs
Concerns over one-sided market for term SOFR swaps prompts review of ‘scope of use’ guidelines
Foreign banks outperform US peers on DFAST
Intermediate holding companies reported higher post-stress capital and leverage ratios under the Fed’s severely adverse scenario
Fair value gains give JP Morgan DFAST edge
Bank was only one to record bigger capital lift from AOCI by end of test’s horizon
Geithner stresses need for SLR reform to restore UST liquidity
Returning leverage ratio to backstop role is “not rocket science”, says former Treasury secretary