United States (US)
Northern Trust’s market risk surges ninefold in Q2
Market risk exposure jumps to $673 million, the highest level on record
US regionals load up on cheap receive-fix term SOFR swaps
Major dealers are welcoming basis-risk-offset trades with “open arms”, say hedge advisers
US-regulated IHCs retrench from VAR limits
Largest daily trading losses in Q2 were on average 50% of forecast, down from 102% in Q1
CFTC plan to relax MMF margin restriction sparks debate
Industry welcomes proposal to lift ban on repo-using funds as eligible IM, but some warn MMFs bring risks
Nasdaq moves second matching engine to AWS cloud
Exchange and cloud partner encouraged by smooth migration with improved capacity and latency metrics
US mutual funds piled into call-selling strategies in Q1
Counterparty Radar: BlackRock, Franklin Templeton and T Rowe Price among the managers who added to single-stock positions
Legal challenges loom for renewed US focus on Sifis
Lawyers say any FSOC attempt to designate systemic non-banks risks a repeat of MetLife case
US banks reshaped liquidity buffers in Q2
Truist, BofA and US Bancorp lead highly liquid assets pile-up
Rising costs prompt US borrowers to embrace compounded SOFR
Sophisticated firms with term SOFR loans increasingly willing to run basis risk to cut hedging costs
FCM client margin for swaps hit record high in June
JP Morgan, Barclays drive required funds increase, with UBS doubling prior-year figure
Banks call for direct oversight of cloud providers by US regulators
Tri-opoly of cloud vendors “poses systemic risk” to financial sector, say risk managers
Comerica’s VAR multiplier spikes following eight breaches in Q2
Worst one-day trading loss at Dallas-based company was six times as large as its forecast
US banks see net charge-offs up 21% in Q2
Synchrony and Discover lead rise, predicting rates might peak in 2024
Goldman most threatened by Fed’s rejig of modelled capital charges
End of credit risk modelling and scaling up of SCB’s role could tip six US banks below minimum requirements
Lincoln, Global Atlantic push JPM to index options top spot
Counterparty Radar: Among life insurers, options notional grew 7% in Q1
JP Morgan only bank set to benefit from Fed’s G-Sib review
Proposal to reduce ‘cliff effects’ would generate 10bp surcharge relief while four peers face higher requirements
Fed throws curveball with agency clearing surcharge proposal
Revived plan could see capital for G-Sibs’ client clearing jump 40 times, says industry body
US banks offload FHLB advances after record glut in Q1
First Citizens leads shift, Regions bucks trend
AOCI reinclusion would push 10 US banks below capital requirements
KeyCorp, Truist and UBS Americas the worst affected by removal of paper-loss waiver
SEC rewrite of criteria for investor ‘group’ alarms buy-siders
Hedge funds fear it will freeze out activists and have chilling effect on everyday discussions
Nine US banks could be caught by Fed’s revised market risk rule
Expansion of trading risk charges to banks above $100bn in assets would also affect firms with minimal trading activity
Fed’s plan to end ‘window dressing’ stirs repo debate
Change to G-Sib surcharge could smooth year-end volatility, but some fear liquidity will worsen
Zions model change reverses positive EVE projections
Estimated impact of interest rate shocks up to 17.7pp higher under adjusted assumptions
Banks fear G-Sib tweak will increase capital volatility
Fed proposal would raise capital surcharge in 10bp increments