Federal Reserve
US G-Sibs increase off-balance sheet exposures
BAML, Citi, Goldman, Morgan Stanley and Wells Fargo boost amounts by $124 billion
AI wide open
The Risk Technology Awards 2018 have highlighted how new technologies are bringing recognition for vendors
Stress-test trading losses out of sync with banks’ market risk
Trading and counterparty losses triple those implied by banks’ market RWAs
US banks cut available-for-sale portfolios
Securities classifications have shifted materially since AOCI filters were removed in 2014
CCAR losses concentrated at four US banks
BAML, Citi, JP Morgan and Wells Fargo account for more than half of total CCAR projected losses
Foreign bank IHCs shed US assets in 2017
Barclays, Credit Suisse and Deutsche Bank shrunk balance sheets by $166 billion
CCAR projected losses top half a trillion
Trading and counterparty losses made up 20% of total predicted losses across participants
Clearers diverge on SOFR swaps discounting
CME switches to new rate for clearing; rival LCH stays with Fed funds
If regulations don’t bend, they’ll break
Financial regulation should be adaptive, not reactive, argues Andrew Lo
Foreign banks outperform US peers on CCAR
IHCs report 11.1% average post-stress capital ratio
Deutsche Bank fails CCAR; Goldman and Morgan Stanley scrape by
DB USA hit with qualitative fail, while Goldman and Morgan Stanley face dividend and buyback freeze
French regulator voices doubts on Europe’s FRTB timeline
Federal Reserve warns EU delay would force US to reconsider 2022 implementation
Bank risk committees: desperately seeking risk managers
Most boards still lack career risk specialists despite tighter governance requirements
Libor transition raises basis risk fear
Shift to secured benchmark could cause dislocation between bank funding and lending rates
Has op risk capital peaked for US banks?
Analysts expect steady fall in biggest banks’ $1.4 trillion in RWAs
Stress test results show Fed toughening up
Median post-stress ratio of 7.9% the lowest pass mark to date
Large non-systemic US banks call for tailored liquidity rules
Two banks urge lawmakers to provide LCR relief because they do not fall into G-Sib category
Fed adviser denies plan to ‘euthanise’ Libor
IBA agreement to keep the benchmark alive would be welcomed but comes with risks, says Bowman
Fed stress tests stretch State Street, Goldman, Morgan Stanley
State Street worst performer among complex firms on capital; Goldman and Morgan Stanley on SLR
Fed plans reform of US bank ownership rules
Relaxing the definition of control would allow funds to invest without becoming BHCs themselves
CCAR winners and losers 2012–17
American Express came off worst under CCAR total capital ratio measure among large and complex firms three years out of six
New US buffer triggers fresh focus on CCAR transparency
Banks fear capital volatility and may also push for changes to US G-Sib surcharge
Fed credit limits likely to hit investment banks, custodians hardest
State Street, BNY Mellon, Morgan Stanley, Goldman Sachs have low credit limits; high bank exposures
Volcker rule revisions may complicate compliance – experts
US regulators’ efforts to simplify key test of trading intent could ramp up data demands