Funding
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
Prime broker of the year: Barclays
Risk Awards 2022: Focus on risk management helps UK bank win client trust – and balances – in wake of Archegos collapse
Canada looks beyond bankers’ acceptance market in rate reform
Banks “moving away” from antiquated lending practice that is a key input for CDOR benchmark
Degree of influence 2021: XVA marks the spot
Research into valuation adjustments is back on quants’ to-do list
The unintended consequences of ring-fencing
Rules aimed at protecting UK depositors may be putting too much froth into the credit market
Safety first: UK set to keep ring-fencing but may ease rules
There is also pressure to make changes to tackle banks’ overexposure to retail debt due to the rules
Nomura’s LCR rebounds after early-year dip
Cooling cash outflows at the ratio's denominator compounded HQLAs increase
Capital One’s Tier 1 leverage ratio climbs 70bp in Q2
Higher AT1 reserves helped boost the leverage adequacy to 12.4%
SEC’s Gensler takes aim at Bloomberg’s BSBY index
Credit sensitive SOFR alternative has “many of the same flaws as Libor”, regulator says