North America
Can CRE credit risk models cope with hybrid working?
As US office use changes, modellers deploy judgement overlays and alternative data to keep up
Fed methodology adds as much as 2% to US G-Sib surcharges
Morgan Stanley’s binding add-on is three times as high as under Basel framework
HSBC leads global uptick in OTC derivatives clearing
Systemic banks cleared record €250 trillion in notionals in 2022
FDIC scrutinised over move to cover all SVB deposits
Advisory panel questions whether guaranteeing uninsured deposits was necessary to prevent contagion
Hedge funds rev up short-vol trade in zero-day options
Firms are capping exposures to avoid a rerun of 2018’s ‘Volmageddon’ unwind
Citi propels G-Sibs’ OTC derivatives notionals to nine-year high
Bank leapfrogged Goldman as fourth-largest derivatives dealer after 20% jump over 2022
Substitutability cap spares JPM, Citi higher Basel G-Sib surcharges
Stalled framework review by Basel Committee benefits world’s largest bank for 10th consecutive year
Hard concentration: clearing members want clarity from CCPs
FCMs complain they struggle to pass opaque margin calculations through to end-clients
Most G-Sib indicators hit all-time highs in tumultuous 2022
Trading volumes and payment activity among fastest-surging indicators
UBS, three Chinese banks face higher capital surcharges
Credit Suisse and UniCredit dropped from G-Sib list in latest systemic risk assessment
HQLAs slide to multi-year lows at largest US regionals
Drops make US Bancorp, PNC and Truist ever more dependent on reduced LCR
Margin failings raise concern over Treasury basis trade
Opaque models at clearing houses cast doubt on calculations for concentration add-on
VAR breaches trip up Citi, CS USA and two others in Q3
Comerica’s VAR multiplier ratchets up while Huntington’s remains at record high
At US banks, paper losses on HTM securities hit new high
Bank of America leads way as mortgage-backed securities drive aggregate rise in Q3
US life insurers piled into index options in Q2
Counterparty Radar: Lincoln Financial, Global Atlantic lead expansion; Goldman claims top dealer spot
How corporates are tooling up for FX risk
Unstable markets have forced corporate treasurers to adopt whizzier methods for managing currency exposures
SEC to delay US Treasury clearing mandate, dealer rule
A final vote on proposed US Treasury market reforms is now expected in early 2024
Industry unsure of SEC’s new short-selling transparency rule
Requirement aims to provide sufficient transparency while protecting traders from a GameStop-style backlash
How US insurers went to war over CLOs
Mutuals and private equity-backed rivals clash over determination of capital charges
Europe looks to US for guidance as market braces for T+1
Operations professionals in Europe look across the pond for lessons in managing shorter settlement cycles
Investors cheer Fed guidance on bank credit risk transfers
Institutions say clarification of regulations could jump-start US market
As banks limit FRTB model use, outputs get more volatile
Risk managers say selection of stress window becomes more sensitive if fewer desks are on IMA
Banks look to improve policies on self-reporting
Risk Live: Most whistleblowers report internally before alerting regulators, says ex-SEC official
RBC’s loan-underwriting VAR drops 59% as volumes dry up
Widening credit spreads had previously sent market risk on syndicated loans skyrocketing