Risk Quantum/Credit Suisse
Credit Suisse may slip leverage capital bind
Swiss bank has risk density of 32%
FCMs’ required client margin up 29% in 2019
Citi still far and away the largest FCM
JP Morgan usurps Deutsche as world’s largest derivatives bank
US bank increased notionals 5.9% in year to end-2018
Morgan Stanley’s swaps clearing unit boosts client margin by $4.8bn
In total, FCMs see required client margin increase 18% quarter on quarter
Swiss banks ask, how about a magic trick?
Banks pull off an accounting trick – with the help of their regulator
Capital issuance spree boosts Credit Suisse’s Tier 1 buffers
Contingent note sale pushes additional Tier 1 capital up 22%
MMF repo volumes fell 8% in September
FICC remained largest single counterparty for US Treasury repo
BNY, UBS paid over 10% for Fed funds and repo in Q2
The average cost of Fed funds purchased and repo rose to 4.32% in Q2 from 2.41% a year ago
Among G-Sibs, Japanese and US banks see LCRs improve most
US systemic banks’ liquidity coverage still lags behind other G-Sibs
RNIV charges account for big chunk of Swiss banks’ capital
At UBS, 37.5% of its market risk capital requirement was for risks-not-in-VAR
Over three years, credit risk has built up at Swiss banks
Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models
Citi’s swaps clearing unit boosts client margin by $2bn
The largest FCM accounts for 27.1% of all required client margin
Credit Suisse’s credit loss provisions fall 69% in Q2
Cash put aside to cover defaults and soured loans lowest for three years