Risk Quantum/Credit Suisse
Credit Suisse updates VAR disclosure to cover banking book
Non-trading positions accounted for 31% of market risk exposure in Q3
Banks worldwide have built up liquidity buffers post-Covid
Lenders in Japan have the highest LCRs of global banks surveyed
Credit Suisse, UBS slowed accrual of liquid assets in Q3
Credit Suisse’s LCR drops six percentage points quarter-on-quarter
Top US-based foreign banks shrink systemic footprints
US units of Barclays, Credit Suisse and Deutsche Bank have cut assets 40% since Q3 2016
FCM client margin for swaps continued to shrink in Q3
Barclays the outlier as required IM jumps 22%
Model tweaks, asset cull helped Credit Suisse cut RWAs in Q3
Model updates took Sfr 2.5 billion off its credit RWA total
European banks’ liquidity ratios improved over H1
Average ratio across 23 lenders climbed to 151%
Credit Suisse, UBS counterparty exposures ballooned in Q2
Risk-weighted assets lagged surge in EAD
Swiss banks plumped liquidity buffers in Q2
Credit Suisse’s HQLA increases 26% quarter-on-quarter
Trading VAR surged at Credit Suisse in Q2
Market risk-weighted assets up 20% quarter-on-quarter
Foreign banks and Fed at odds on stress test impacts
HSBC North America predicted a loan-loss rate of 2.7%, well below the Fed’s 6% estimate
Systemic European banks’ bail-in buffers fell in Q1
Bail-in debt stocks increase, but balance sheet expansion crimps TLAC ratios