North America
The post-Archegos risk model rebuild begins… slowly
Following regulatory prodding, banks start to overhaul counterparty risk models. A flurry of new research on the topic may aid the effort
Jane Street ups its game in FX market-making
High-frequency trading firm now streaming bilateral spot FX liquidity to clients
Fed hikes stress capital buffers for 18 US banks
Nine dealers face record-high SCBs as poor performance in latest DFAST weighs on capital requirements
Pre-market trades blamed for record Vix surge
Traders rushed to cover short vol positions before the market opened on August 5
Cashflow volatility lowest in four years at big US banks
Maturity mismatch add-ons ease up, but BNY Mellon, Goldman, Morgan Stanley and State Street buck trend in Q2
Seeking muted rate sensitivity, NYCB scraps all IR hedges
IRRBB simulations show sizeable income drain from lower rates, despite bank claiming rate neutrality
US corporates tap euros for cheap debt and FX hedging
Interest rate differentials and cross-currency basis drive highest reverse Yankee issuance since Covid
Credit options notional for top US dealers soars 45.3%
Investor demand for puts and calls drives balances near Q1 2022 record
CME, Ice tread nuanced path to US Treasury clearing
CME floats “hybrid” model, Ice commits to agent clearing, while LCH is yet to reveal its hand
Progress on US banks’ EVE transparency grinds to a halt
No additional disclosures of key metric linked to SVB collapse in latest round of public filings
US banks rejig AFS books in Q2
Some banks binge on US Treasuries while Goldman doubles down on RMBSs
US G-Sibs’ SLR exposures top record for second consecutive quarter
Aggregate leverage exposures up $455 billion in H1
Top US dealers shun least liquid assets for HQLAs
Charles Schwab bucks trend with move toward Level 2
Op risk data: Payday lender Skytrail sees $1.4bn disappear
Also: Cartel claims cost European bond dealers dearly, plus oil price gouging and crypto cover-ups. Data by ORX News
Citi, Barclays raise FCM target residual interest 28% in June
Backstop funds also marginally up as a proportion of required customer funds
Marex plots interest rate clearing push
UK broker is live on LCH and plans to be a “day one” clearing member on FMX
People: SocGen’s Farah replaces Salorio, Deutsche makes credit hire, and more
Latest job changes across the industry
Valley National cuts CRE concentration after balance sheet tweak
Reassessment of nursing-home loans as ‘owner-occupied’ brings CRE-to-capital benchmark down 24 percentage points in Q2
Sliced and sliced again: investors’ latest trick for risk transfer
‘Retranched’ synthetic securitisations offer higher yields, but questions remain over legality of structures
Tired of fat-finger blunders, G-Sibs turn to robots for help
Big banks speed up shift towards control automation and AI adoption to counter costly human errors, Benchmarking survey finds
Bitcoin ETFs drive demand for borrowing in crypto markets
Mismatch between cash and crypto settlement cycles creates pre-funding challenge
Honey, I shrunk the Fed. (Not a sci-fi fantasy)
Promoting the discount window may be the Fed’s key to shrinking its $7trn balance sheet, says Bill Nelson
CME, FICC in talks to expand cross-margining to client accounts
New rules and account structures will be needed to allow cross-margining by non-members
Treasury futures super-user switches to swaps
Capital Group’s Anbax fund slashes UST futures holdings in move to alternative rates derivatives