Leverage
Commerzbank’s leverage ratio dips as balance sheet swells
German lender adds €37.2bn of leverage exposure in Q1
Credit Suisse held just 10% margin against Archegos book
Swiss bank gave family office 10 times leverage, compared with four or five times at Goldman
Derivatives footprint of top EU banks shrinks
Deutsche Bank reduced these exposures by 12% alone
JP Morgan’s SLR falls as Fed relief ends
Bank says raising capital against deposits are “unnatural actions for banks”
Would margin rules have checked Archegos? Perhaps not
Regulator-prescribed margin methodology permits six-times leverage on equity swaps
EU funds levered up over 2019
Gross hedge fund leverage came to 6,450% of NAV
Top US banks to lose out from end of SLR relief
Average G-Sib will see SLR decline 90 basis points using Q4 2020 figures
NSFR may clear up questions about Nomura’s balance sheet
The risks of off-balance sheet financing remain largely hidden from view
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
What lies beneath: Nomura’s iceberg balance sheet
Collateral received by the Japanese bank exceeds its total on-balance-sheet assets – does it matter?
Ending leverage ratio relief could force US banks to downsize
Biggest lenders may have to limit repo activity to manage leverage capital, observers say
Investment house of the year: Amundi
Risk Awards 2021: when the pandemic hit, Amundi moved quickly to cut risk and raise liquidity
Fed stress tests find critics on all sides
Conflicting results fuel arguments over dividends and buybacks
Bank leverage and capital bias adjustment through the macroeconomic cycle
The author assesses the quantitative effects of the recent proposal for more robust bank capital adequacy.
US G-Sibs saw off-balance-sheet exposures fall post-Covid
OBS items now make up less than 18% of total exposures
Direct clearing could solve CCP concentration risk
Allowing more clients to self-clear can reduce CCPs’ reliance on a few firms, says ex-Chicago Fed adviser
SA-CCR proves a bitter pill for US banks to swallow
Dealers concerned new regime will punish some business lines with rise in risk-weighted assets
Esma warns of UK-sized hole in Europe’s fund leverage radar
Executive at hedge fund AQR also urges reform of EU leverage measures to better assess risk
PNC to be king of US regional banks after BBVA tie-up
Merger unlikely to tip PNC into too-big-to-fail category
BofA the outlier as most US banks improve SLRs in Q3
Aggregate Tier 1 capital climbs 2% in Q3
Basis trades: a test case for regulating risky activities
FSOC is right to focus on dangerous behaviour, but Treasury meltdown reveals a complex chain of actors
Nordic noir: Swedish state pension fund’s outlook is austere
Sweden’s AP1 aims to ditch illiquid assets and target realistic returns with equities
Bailed-out basis traders face regulatory backlash
The cash/futures basis trade could be a test case for regulating systemically risky activities
Systemic banks’ leverage exposures gyrated over H1
Temporary relief measures held down growth of exposures at US, Swiss lenders