Federal Reserve
US banks’ IRRBB transparency: one step forward, two steps back
A year on from the 2023 crisis, more lenders monitor EVE sensitivity, but full Basel-like disclosures remain the exception
Should the ECB stress-test counterparty default risks?
The US Fed already does, but it is notable that EU banks were less exposed to Archegos
Banks will not be frowned upon for discount window borrowing – Fed official
Risk Live: more banks have completed paperwork to access Fed lending facility than a year ago
BTFP shutters with loans at near-record high
Program saw last-minute $3bn dash for loans in final three days of operation
BofA, Citi, JPM slash $18trn of derivatives in latest window dressing effort
Systemic indicator reduction in Q4 keeps lid on trio’s capital surcharges
Harsh judgements: why Stateside lenders are upping the Q-factor
As CRE stalls, qualitative adjustments are forming a larger part of US banks’ credit risk allowances
Six US G-Sibs face higher surcharges under Fed’s proposals
Goldman and BNY Mellon only top banks to escape increase, analysis shows
Goldman faces higher 3.5% G-Sib surcharge in 2026
50bp step up in capital add-on looms after dealer’s systemic footprint rose to a record high in 2023
The bank quant who wants to stop GenAI hallucinating
Wells Fargo model risk chief thinks he has found a way to validate large language models
Zero-day hedging takes root in new asset classes
Option users move beyond equity indexes in search of cheaper, sharper hedging tools
US dealers slam capital hit on clearing for unreal CVA risk
Fed would diverge from Basel standards by imposing CVA capital on client-cleared trades
Fed unveils hyper-Archegos test to reveal bank blow-up risks
CCAR for 2024 includes analysis of simultaneous defaults of five largest hedge fund clients
Capital One’s purchase of Discover would triple its Treasury holdings
Record UST boost would propel combined company past six US lenders
Treasuries coupon pile-up inflates Nomura’s foreign sovereign assets
Standardised exposures to overseas governments see tenfold increase despite ebbing IR VAR
‘Brace, brace’: quants say soft landing is unlikely
Investors should prepare for sticky inflation and volatile asset prices as central banks grapple with turning rates cycle
NYCB’s borrowing boosted cash reserves by 66% in Q4
Embattled bank bolsters liquidity in anticipation of tighter supervision but sees funding costs climb
Schwab’s MMF assets rose 225% through Fed’s rate-hike journey
Climb of fund managers’ ranks contrasts with slumping banking deposits
Comerica takes $91m hit on BSBY discontinuation
Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
Anticipating Fed cuts, Huntington drops $15.5bn of pay-fixed swaptions
Bank terminates costly hedging strategy merely a quarter after upping notional values by a third
US MMFs back in love with US Treasuries in Q4
Cash securities snatch crown from ebbing repos as funds’ top investment
US Bancorp adds on $8bn in long-term debt
Interest expense from LTD rises to $569 million in Q4
Basel III endgame expected to push PNC’s RWAs up 3%
Forecast from US regional much tamer than increases expected by advanced-approach banks
Cleared US repos hit record high as MMFs wean off Fed
Deflating tri-party volumes coincide with FICC DVP trades’ climb to $2tn
Regulators’ FRTB estimates based on faulty premise – industry study
US market risk capital requirements could more than double if banks abandon IMA