US banks face yield curve stress test

9 March 2020BanksBank of America, Goldman Sachs, interest rates, JP Morgan, mortgage-backed securitiesNick Dunbar

The Covid-19 pandemic is driving bond yields to record lows. Meanwhile, the exposure of large US banks to falling rates has been amplified by regulatory changes and ballooning securities portfolios.

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?

US banks grow assets beneath regulatory radar

17 April 2018BanksBank of America, Citigroup, JP Morgan, Wells FargoNick Dunbar

Since adopting Basel III reporting standards three years ago, the biggest US banks have started reducing risk weights while increasing lending. Is this a reflection of a healthy US economy or European-style gaming of internal models?

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.