Risk Quantum/Barclays
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
BofA faces higher G-Sib surcharge, BNPP earns reprieve
Second-largest US lender assigned to 2% capital add-on bucket in latest systemic risk assessment
FCM client margin for swaps hit record high in September
JP Morgan reported the largest monthly increase across the 13 reporting firms
Vol pushed HSBC’s modelled market risk up 37% in Q3
Erratic markets in Europe and Asia blamed for $6.4bn increase led by VAR and SVAR-based charges
Barclays frees up £4.5bn RWAs after overissuance clean-up
The bank unwound hedges that safeguarded its buyback of mis-sold US notes
Barclays, Deutsche, Credit Suisse take $437m hit on leveraged loans
Higher interest rates eroded value of facilities stuck in pre-syndication during Q3
Client margin at Barclays hits record $27bn
Required funds rose 13% for F&Os and 8% for swaps in August
Barclays adds £984m to ETN snafu bill
Market sell-off in Q2 has increased cost of buying back notes mis-sold by the bank in 2019
FCM client margin for F&O hit all-time high in May
But concentration among top 10 broker-dealers continues to shrink