Federal Reserve
Fed proposal likely to relax rules for foreign banks
Few FBOs will face toughest level of regulation, according to Fed estimates
US G-Sibs owned over $50bn of other banks' capital in 2018
BofA Securities held the most of the group at $10.9 billion
Fed repo facility may fix SOFR’s image problem
‘Overnight standing repo facility’ could stop year-end rate spikes, and extend Fed’s reach
Fed DFAST models project huge credit card losses
Losses of over 57% estimated for high-risk accounts
US version of SA-CCR could hurt settled-to-market swaps
Capital requirements on a client’s hedged options portfolio could increase by 1,100%
SA-CCR would dent US dealers’ leverage ratios – trade bodies
Goldman Sachs, Morgan Stanley and JP Morgan would likely see the largest leverage exposure spikes
SOFR tipped to hit 300bp at quarter-end
US repo rate set for 25% spike thanks to French bank “window dressing” and US Treasury issuance
Jumbo SOFR swaps herald new world of repo betting
Swaps traders told to “learn repo market dynamics” as market catches glimpse of new trading strategy
Planned US capital buffer endangers shareholder payouts
CCAR-based stress capital buffer would hit healthiest banks harder than weaker rivals
Schwab, Northern Trust’s funding risk rivals G-Sibs'
Two non-G-Sibs have high short-term wholesale funding scores under Method 2
US banks slashed G-Sib scores in Q4 2018
Big cuts to derivatives and trading securities push systemic risk scores lower
Fed may delay counterparty limits for foreign banks
Other countries need time to catch up on Basel large exposures rule, Fed official says
Foreign banks expect Fed proposal imminently
New framework for tiering FBO requirements could come as early as this week
FRTB is here – now it’s up to local regulators
Each jurisdiction must produce its own version of FRTB; until then, banks are hanging back
First SOFR term rate coming in 2020
Staff at the New York Fed are working on a series of backward-looking averages
Buy-siders eye ways to get ahead of US resolution stay rules
Come July 1, asset managers will be unable to dump derivatives as a G-Sib is unwound. Lawyers are standing by
Buoyant US economy, harsher CCAR for regionals
Strong correlation between US GDP variable and CET1 burn at mid-size domestic banks
Modelling interrelated shocks will improve stress tests – research
Call for regulators to ditch standard scenarios for more sensitive approach
Fed stress tests tougher in 2019
Severely adverse scenario projects US economy to shrink 9.4%
Libor, G-Sib charges and Metro Bank’s risk errors
The week on Risk.net, January 26–February 1, 2019
Unmoved, Fed stands by G-Sib surcharge
Facing down frenetic lobbying and even US Treasury, central bank doesn’t blink on surcharge
Fed to persist with insurance capital proposals
Quarles indicates Fed will follow through on building block approach designed by previous board
Fed shackles weigh on Wells Fargo
Total assets and risk-weighted assets down 3% on end-2017
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared