United States
Citi releases $2bn from loan-loss reserves as macro outlook brightens
Total allowances for loan losses are 95% larger than at end-2019
JP Morgan calls for SLR relief to be made permanent
Around 16% of the bank’s exposures were excluded from the ratio in Q4
US pension fund teams up with academics to cut through ESG fog
State fund and MIT’s business school look to improve ESG data and to reflect all investors’ views
Top CCPs invest little clearing member cash in securities
Cash payments of initial margin and default fund contributions are typically placed with central banks
Skin in the game of top CCPs varies
The average default fund has less than 4% of total resources contributed by the host CCP itself
JSCC increases skin in the game after merger
CCP added ¥2.4 billion to cover commodities contracts
US Fed facility bought Libor bonds with ‘weak’ fallbacks
Industry surprise over purchase of floaters linked to doomed benchmark
Quant Finance Master’s Guide 2021
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
Initial margin at the OCC leapt 20% in Q3
Cleared options contract volumes hit 1.9 billion in Q3
Quant Guide 2021: Princeton still top, but runners-up close gap
Baruch takes second spot; Zurich, top-ranked European programme, rises to fourth
SOFR trading surged at year end
End-2020 volume and rate spike was muted compared to previous years
IM, default fund resources fell at Eurex in Q3
Total collateral held remains elevated compared to pre-coronavirus crisis
Banks worldwide have built up liquidity buffers post-Covid
Lenders in Japan have the highest LCRs of global banks surveyed
Smaller US banks grew faster than larger rivals in Q3
Lenders less than $1 billion in size increased loans 16% over the quarter
US banks fear Q1 stress capital buffer reset
Fed left buffers on hold after latest stress test, but can change them until March 31, 2021
JFSA pushes for JSCC to clear US customer trades
Discussions with CFTC over bankruptcy protections for US clients are ongoing
Regional banks, FBOs found second round of Fed tests tougher
DB, HSBC, PNC, US Bancorp and TD Group saw their peak-to-trough CET1 ratio depletion increase most
FCMs fret over S&P 500 options settlement changes
Dealers say CME, Cboe settlement time shift for S&P 500-linked options causes risk management headache
Fed’s Covid stress tests strain top banks’ leverage ratios
Citi, Goldman, JP Morgan, Morgan Stanley all had projected post-stress SLRs below 5%
US regulator casts doubt on key SA-CCR netting benefit
OCC rejects suggestion banks can net certain cleared client exposures; Fed stays silent
Markets search for FX factor as rates fall flat
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
Margin rules snare FX options users
US banks forced to post margin on ‘naked’ trades, with buy-side firms soon to follow
How buy-to-hold accounting shuffle boosts US bank capital
Banks gamble shrinking AFS portfolios will bring down stress capital buffer, G-Sib surcharge
SOFR credit debate is “hindrance” to corporate transition
Libor Telethon 2020: NACT chair calls for clear path towards SOFR adoption before 2023 switch-off