Leverage
US G-Sibs set to reclaim $6.6trn in leverage room under eSLR reform
Replacement of fixed 2% buffer with variable add-on could cut requirements by up to 150bp
High leverage in US REITs raises red flags, says FSB
Non-bank CRE investors at risk from falling prices and refinancing crunch
ABN Amro trading equity volume doubled to €31trn in 2024
Dutch bank outpaces all European peers on key systemic risk metric and trails only three US firms
BoE takes subtle leverage snipe at CCP cross-margining
Margin offsets might increase risk, but could also encourage more central clearing
Podcast: Fabrizio Anfuso on computing for Archegos-like event exposures
BoE quant discusses top-down counterparty risk framework using Gaussian distributions and copulae
Citadel exec questions regulatory findings on repo haircuts
Isda AGM: OFR analysis didn’t account for excess collateral held against cleared positions in related trades
FSB exec says reduction of NBFI leverage not a target
Isda AGM: Martin Moloney says the body isn’t seeking wholesale cut in leverage across markets
Dodging a steamroller: how the basis trade survived the tariff tantrum
Higher margins, rising yields and stable repo funding helped avert another disruptive blow-up
The WWR in the tail: a Monte Carlo framework for CCR stress testing
A methodology to compute stressed exposures based on a Gaussian copula and mixture distributions is introduced
Australian banks’ leverage exposures surge to new highs
ANZ leads pack as leverage ratios slide
US hedge funds post near-record low share of securities collateral
SEC data shows $3.66 trillion tied to posted securities at end-2024, down 10% in three months
Singaporean banks see surge in systemic risk indicators
2024 figures show underwriting activity spike across the board
EU debt wave raises dealer capacity concerns
Ongoing QT and upcoming defence spending piles pressure on bank balance sheet supply, say dealers
AmEx derivatives book grows on interest rate swap surge
Receive-fixed swaps dominate hedging portfolio as clearing rate spikes
Buyout industry nervous as insurers choose gilts
Some bulk annuity providers are pricing deals assuming returns they ‘can’t achieve’ today
SLR relief for Treasuries would lift median banks’ ratio by 57bp
Charles Schwab and Goldman Sachs set for biggest boost if Covid-era relief returns
SRT markets kick US banks’ caution to the kerb
Market for capital relief trades continues apace despite US banks’ reluctance to offer leverage
Norinchukin’s repo retreat brings SFT exposures to four-year low
Japanese bank slashes gross SFT assets 54% in Q4, accelerating pullback from repo market to bolster capital
Funding arbitrages and optimal funding policy
Stochastic control can be used to manage a bank’s net asset income
Millennium risk manager defends leverage in basis trade
“Gross notional measures don’t equate to market risk,” says Scott Rofey
Eleven of 14 G-Sib indicators hit all-time highs
Surging complexity marked 2023, tempered by slower gains overall
BofA sets its sights on US synthetic risk transfer market
New trading initiative has already notched at least three transactions
FSB exec dismisses leverage cap proposals for NBFIs
Tackling excessive leverage requires a nuanced approach instead of a broad cap, says Martin Moloney
Nine jurisdictions yet to finalise Basel III rules
Turkey and South Africa worst laggards, with no final drafts published