Risk Quantum/Credit Suisse
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
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
Credit Suisse’s LCR down 20% in October as depositors flee
Sub-group liquidity requirements breached as chatter around bank’s solvency spurred cash outflows
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 Credit Suisse shrinks to just $25m
Required funds for swaps meet same fate as F&O trades, as exit from prime services continues
FCM client margin for F&O hit all-time high in May
But concentration among top 10 broker-dealers continues to shrink
Credit Suisse goes off piste in latest DFAST
US unit of Swiss bank underestimated leverage hit in Fed stress test
Foreign banks outperform US peers on DFAST
Intermediate holding companies reported higher post-stress capital and leverage ratios under the Fed’s severely adverse scenario
Client margin at CS down $14.6bn since Archegos collapse
Bank’s US clearing units slashed required funds for swaps and F&O since March 2021
Credit Suisse cuts leverage exposure by $11.5bn
CET1 leverage ratio remained flat over Q1 as drop in capital more than offset cuts in prime brokerage business