United States (US)
Risk.net podcast: OCC’s Fennell on Nasdaq breach, crypto and ‘skin in the game’
Clearing house is “seriously considering” contributing to own default waterfall
Capital One MBS sale to boost CET1
Portfolio shuffle will take $200 million out of AOCI
Hedging figures show doubt over US crude export plans
Producers sceptical that better infrastructure will allow US exports to relieve crude pressures
Prudential Financial growth at odds with Sifi repeal
US insurer has increased derivatives and repo books; grown total assets
State Street HQLA shift dampens investment yields
Allocations to agency mortgage-backed securities increase to 38.4% of portfolio total
Let exchanges set position limits – CFTC commissioners
Agency lacks the resources to monitor limits, say Berkovitz and Quintenz
US Bancorp cuts $87 million of soured loans
Ratio of toxic assets to total loans fall 19% quarter-to-quarter
Exchange chiefs back Giancarlo in tussle over CCP oversight
The CFTC may block US CCPs from acceding to EU supervision
SEC’s Stein sounds alarm on portfolio margining
Comment period on single-name CDSs is covert attempt at rulemaking, regulator says
Lessons from two commodity defaults
Regulators and exchanges need to learn from the Greenhat/PJM and Norwegian Nasdaq defaults
Morgan Stanley RWAs drop as loans fall and VAR dips
Standardised RWAs fall 4% to $370 billion
Goldman VAR drops again in third quarter
The firm’s average daily VAR dropped $11 million (17%) to $53 million
Bank of America posts lowest LCR to date
The firm's LCR fell to 120% from 122% in third quarter
Brexit OTC mutation, chaperones and SA-CCR
The week on Risk.net, October 6–12, 2018
Wells Fargo cuts $24 billion of RWAs
Optimisation efforts preserve capital ratio despite $14.5 billion of cash returns to shareholders
JP Morgan shrinks loan-loss provisions by 35%
Total PCLs across all divisions totalled $948 million in the third quarter of the year
Searching for the end of Giancarlo’s white-paper trail
CFTC chairman faces key test to turn thought leadership into real reform
US banks’ internal stress tests vary
Choice of stress period affects market risk capital requirements
NSCC posts $137m margin breach
Securities CCP records largest margin shortfall since public disclosures began
Unfinished business: US Treasuries reform stalls
Efforts to improve clearing and settlement of US government debt – and oversight of who trades it – still incomplete
FICC concentration risk ebbs
Open positions in government securities held by ten largest clearing members falls to 37%
SA-CCR proposal imminent, Fed adviser says
NSFR could also be finalised before year-end; final stress capital buffer rule expected in early 2019
SEC finally moves forward on single-name CDS dealer rules
Commissioner Peirce wants rest of dealer regime completed within “weeks”, but no word on clearing
LCH cancellation notices, Eurex incentives and prop trader rules
The week on Risk.net, September 29 – October 5, 2018