How Covid-19 sent a shiver through bank balance sheets

28 May 2020Bankscounterparty credit risk, credit valuation adjustment, Federal Reserve, mortgage-backed securities, quantitative easing, stress VaR, Value-at-riskNick Dunbar

In value-at-risk models, counterparty exposure and securities holdings, the impact of the pandemic appears across bank balance sheets

How JP Morgan broke the repo market

17 December 2019Banks, Risk CommentaryFederal Reserve, JP Morgan, money market funds, repo lendingNick Dunbar

The Fed relied on JP Morgan to lend out cash into the repo market. But that was before the too-big-to-fail giant made a pivot out of cash into securities.

Collins wedge pushes internal credit models towards irrelevance

2 November 2018BanksBasel rules, Dodd-Frank Act, Federal Reserve, JP Morgan, PNC Financial, Wells FargoNick Dunbar

The Collins amendment has become a binding capital constraint for the biggest US banks. Does this support the Fed’s argument for rolling back the advanced approaches provisions of Dodd-Frank?

The Taser and the choke lead: How the Fed restrains big banks

9 August 2016FinancialsCCAR, Dodd-Frank Act, Federal Reserve, JP Morgan, operational risk, operational RWAs, regulation, Stress testsNick Dunbar

Operational risk capital for US banks is the highest in the world but the Fed resists formally testing op risk in its stress tests. One reason might be that the Fed would have to explain why the charges need to be so high.