Funding
Before collapse, Credit Suisse projected lowest cash outflows since 2018
Customers were expected to withdraw just $91bn in a 30-day stress period despite heavy outflows going into 2023
Credit Suisse’s funding disclosures raise questions
The bank reported $141 billion of “other exposures” in NSFR at the end of 2022
Funding, wealth transfer and financial stability in the post-Libor era
Adjusting RFR with a funding premium may aid economic growth and stability
At regional US banks, BTFP-eligible securities top $300bn
Assets classified as held-to-maturity made up less than 19% of aggregate securities portfolios in 2022
At US banks, less than 50% of liquid assets classified as AFS
Goldman Sachs reported smallest proportion relative to HQLAs across US banks subject to LCR
Central banks grapple with market backstop design
BoE’s Hauser and Fed’s Logan discuss pros and cons of repos vs asset purchases
Credit Suisse cuts exposures by 22% to match run on deposits
Bank dipped into central bank reserves and other safe assets to honour surge of withdrawals in Q4
RBC, JP Morgan become top MMF repo dealers
BNP Paribas slips to third place after 10 months in top spot
Cost of bank bail-in rules lower than expected – EBA
MREL pricing manageable for most banks, though troubled firms may struggle to meet targets
Capitolis cuts workforce by 25% as bear market bites
Recent senior hires including James Kibbe and James Reilly are among the departures
Illiquid assets throw UK pensions off balance
Collapse in equity and bond prices leaves some funds with outsized exposure to private holdings
Credit Suisse’s LCR down 20% in October as depositors flee
Sub-group liquidity requirements breached as chatter around bank’s solvency spurred cash outflows
Pension funds face intraday margin calls from anxious clearers
Some banks stick with T+1 margin posting, but others balk at funding cost and counterparty risk
Euro banks’ funding plans lag TLTRO repayments – EBA
Survey on funding plans shows banks don’t plan to replace ECB lines just yet
CVA exposures to UK corporates jump ‘hundreds of millions’
Dash for credit protection triggered a doom loop in the CDSs of cross-currency swap counterparties
BoE intervention whipsaws pension funds that dumped hedges
Unhedged funds saw liabilities rise by up to 20% when rates pulled back
TLAC rules no sweat for US regionals
Capital One and US Bancorp best placed to fund their balance sheets with long-term debt
Data-driven wrong-way risk
A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced
Goldman’s rates traders have been crowd-watching
Talking Heads 2022: Steepener unwinds in sterling were “canary in the coalmine”, says rates trading co-head
Pension buyouts: rock-bottom prices mask unease over risk
US insurers will digest $40bn in pension assets this year but tight pricing and an economic downturn could lead to reflux
‘Repo by the minute’ could reshape lending – but not quite yet
Blockchain-based platforms from JP Morgan and Broadridge offer smart contracts that enable intraday repo
Federated’s CIO on the fight to save prime MMFs
SEC reform proposal could be final nail in coffin for institutional prime funds
Aon chief executive Greg Case: resilience protects, but it also promotes growth
As chief executive of a company whose raison d’être is helping firms make better decisions, Greg Case has wide-ranging knowledge and a nuanced perspective to share on resilience and its importance in volatile times
Russian invasion stirs up ‘perfect storm’ for XVA desks
Declining credit quality of Russian companies and spike in inflation threaten CVA and FVA double-whammy for banks