Risk Quantum/Barclays
For 11 US regionals, capital adequacy hinges on AOCI waiver
A repeal of the 2019 provision would hit KeyCorp and Charles Schwab the most
Deutsche Bank health check comes back clean
From capitalisation to derivatives, Germany’s top bank displays as robust a prudential profile as its peers
CaixaBank, UniCredit most exposed to rate increases in Europe
Banks report largest hits in IRRBB tests, but remain clear of fail threshold
US banks’ VAR breaches up 2.5x in 2022
‘Hypothetical’ one-day losses exceeded VAR on 55 occasions, as losing trading days prevail
UK banks added £1.6bn to loan allowances in 2022
Increase in set-asides driven by stage-two and stage-three credit-loss reserves
‘Hung’ leveraged loans push Barclays’ VAR to 10-year high
Trading risk gauge hit a peak of £73 million in Q4, £2 million shy of 2012 peak
Client margin for swaps hits new record at four FCMs
Required funds at all-time high at BofA, Goldman, JP Morgan and Barclays in November as market turbulence persists
F-IRB captured more of EU banks’ credit risk in H1
Gains mostly accrued from bank-modelled A-IRB portfolios
Client margin up 4% at Barclays’ swaps clearing unit
US unit of UK bank became sixth FCM by share in October
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
OTC clearing rebounded at G-Sibs in 2021
Trend reverses as bilateral settlement of OTC derivatives loses previous year’s gains
Credit Suisse, Schwab and UBS hardest hit by new risk indicator
Swiss dealer sees biggest score increase under revised substitutability category in G-Sib assessment