United States
Creaky credit sparks ‘high’ dispersion in CLO pricing
Investors are becoming more particular when it comes to tranches and managers
Global Atlantic’s swaptions book surges
Counterparty Radar: KKR-owned firm exploits lower volatility in Q1 as swaptions market for US life insurers grows 17%
Pre-merger, PacWest reported record negative NII growth
Funding costs continue to outpace income growth at majority of US banks
Institutions see everything to play for in UK’s DLT sandbox
Industry welcomes flexible issuance limits, but rues derivatives’ exclusion as a missed opportunity
Eight US banks slapped with higher capital buffers
US units of Deutsche and UBS hit with highest SCBs yet imposed by the Fed
An NAIC plan to second-guess bond ratings is ‘nonsensical’, insurers say
Proposal to create “quasi rating agency” at regulatory body sparks backlash from industry and US Congress
MCB’s interest rate risk widens as funding turns costlier
Rotation into remunerated deposits and short-term borrowing raises liabilities’ sensitivity
Derivatives valuation swings lop $2.4bn off BofA’s income in Q2
DVAs and markdowns on fair-value hedges return to drag on dealer’s revenue
US retail funds continue to ditch inflation hedges
Counterparty Radar: Aggregate notional drops 27% in Q1 as Pimco unwinds more swaps
Free deposits keep fleeing US regional heavyweights
Drop in non-interest-bearing balances at Capital One, PNC Bank, Truist and US Bancorp accelerates in Q2
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
Modelled RWAs diverge further from standardised at BNY Mellon
Gap grows to highest since 2019, pushing bank high above Collins floor
John Hancock Life loads on inflation hedges
Counterparty Radar: US life insurer inflation swaps market doubles in Q1 on back of Manulife-owned firm’s expansion
Citi cyber chief says AI providing new weapons in hacking wars
Barron-DiCamillo also urges regulators to work with industry best practice, not against it
Western Alliance cuts back on emergency funding
As deposits return, regional lender repays FHLB advances and other costly funding
Invesco is first US mutual fund to trade €STR swaptions
Counterparty Radar: Trades were some of just a handful of €STR swaptions to hit the market this year
BofA cut $89 billion of AFS securities in H1
Pivot away from fair-value bond investments most sweeping among large US banks
PGIM trades reinforce Citi’s credit options stronghold
Counterparty Radar: US retail funds’ aggregate notional drops to lowest levels since late 2020 in Q1
US G-Sibs face higher add-ons in Barr’s surcharge framework review
Fed vice-chair proposal to reduce ‘cliff effects’ could add between 40bp and 10bp to capital requirements
Allianz Life triples index CDS book
Counterparty Radar: US life insurer market’s notional volume doubles in Q1
US banks’ stress-test projections stray further from Fed’s in 2023
Average gap between Fed- and bank-estimated depletions more than double from previous two DFASTs
Fed urged to focus on resolvability in Basel III endgame
Industry roundtable suggests resolution planning should take priority over higher G-Sib charge
Five US banks would breach CET1 buffers on AFS loss reinclusion
Fed’s vice-chair proposal to scrap AOCI waiver would cripple KeyCorp the most
Iosco criticism dents AFX’s plans for Ameribor derivatives
SOFR alternative continues to be widely used to price regional bank loans