Risk Quantum/Barclays
Barclays, Credit Suisse stress test estimates stray from Fed’s
The two banks miss the mark on stressed capital ratio by 290bp and 460bp, respectively
Foreign bank IHCs shed US assets in 2017
Barclays, Credit Suisse and Deutsche Bank shrunk balance sheets by $166 billion
Ring-fencing to starve investment banks of deposit funding
BoE data estimates non-ring-fenced banks will have access to just 4% of household deposits
European banks vague on settled-to-market switch
UBS reported a cut in gross derivatives assets and liabilities attributable to STM of Sfr11.4 billion in 2017
Take-up of credit modelling varies at European banks
Percentage of credit RWAs calculated using IRB approaches ranges from 42% to 91% across large dealers
Fraud makes up bulk of UK bank op risk loss events
Internal and external fraud on average equalled 64% of all op risk events in 2017 across four large dealers
Model and policy changes behind billions in UK bank RWA shifts
Net capital charges of £368 million across five lenders attributable to model updates alone
Over one-quarter of EU bank credit exposures overseas
Spanish banks exhibit highest level of overseas risk, Nordic banks the lowest
Lenders save £200 million as UK bank levy shrinks
Aggregate levy brings in £206 million less year-on-year across five largest banks
US CVA charges over seven times higher than EU
Huge disparity appears to result from EU exemption for corporate trades
G-Sib swap portfolios reveal transatlantic divide
EU banks record 16% fall in non-cleared swaps, while US dealers see 9% growth
Barclays’ cleared and non-cleared OTC volumes diverge
Non-cleared notionals down 23% year-on-year