United States
Client margin up 40% at Morgan Stanley’s swaps unit in Q1
Aggregate US FCM margin up a huge $34.8 billion quarter-on-quarter
Eurex CRO: market meltdown will mean margins stay higher
Record breaches at global exchanges fuelling pressure to keep rates permanently higher, says risk chief
Credit problem: SOFR faces uphill struggle in loan market
Furnishing Libor’s replacement with a credit-sensitive spread is proving to be a Sisyphean task
Sold CDS notionals climbed 16% at top US banks in Q1
Net fair value of credit protection positions vaults to $5.3 billion
Short funds’ moment in the sun is over
DSB funds are in the red year-to-date after a spectacular performance through March
How XVAs shaped top US dealers’ trading revenues in Q1
Citi disclosed a -$835 million CVA impact on revenues
Banks push for capital changes as CECL provisions soar
Spike in set-asides exposes fault lines between new accounting standards and Basel rules
Mark-to-model assets surge at top US banks in Q1
Level 3 instruments hit an aggregate $137 billion among banks over $100 billion in size
CVA capital charges jumped 50% at systemic US banks in Q1
Goldman Sachs’ charge climbs 76% quarter-on-quarter
Libor trap lurks in 2021 US stress tests
Using SOFR, borrowing could boom and revenues collapse
Clearing banks feel pinch as rates turn negative
Negative returns on dollar deposits at Eurex, Ice and LCH spur talk of business model change
Interest rate swaps powered Q1 derivatives boom at top US banks
Rate derivatives notionals increase 22% quarter-on-quarter
Cash flood expanded systemic footprint of top US banks
Intra-system liabilities up 26% in Q1
Corporate loan default risk spiked at US G-Sibs in Q1
Median probability of default increases 17bp to 1.39% on the quarter
Systemic riskiness of top US banks increased in Q1
JP Morgan’s systemic risk score increased enough to attract a 4% capital surcharge
US insurers built up holdings of shaky bank loans in 2019
Non-investment grade loans make up 80% of insurer loan exposures
Data error inflated Wells Fargo’s op risk capital by $5 billion
Sharp fall in Q1 RWAs followed removal of duplicate data
Risk density of top US banks edged down in Q1
Banks piled up assets with low risk-weightings in the first quarter
At systemic US banks, CLO holdings dip
Wells Fargo sees 15% sliced off the value of its portfolio
Ice swap rate adds safety net with Tradeweb quotes
Inclusion of dealer-to-client prices will boost publication rate in stress periods, IBA claims
US benchmark switch splits swaptions market
Some users ignore new guidance to nominate SOFR for swap discounting
Count them in? Big US banks mull PCAF carbon standard
BofA, Citi and Wells Fargo looking to adopt emissions standard popular with EU lenders
Non-operational deposits flooded US G-Sibs in Q1
JP Morgan also sees a big jump in its maturity mismatch add-on
Citi’s counterparty credit risk charge up 38% in Q1
Probability of default of portfolio increases to 0.73% from 0.68%