Risk Quantum/Credit Suisse
Credit Suisse set for op RWA hike as litigation charges pile on
Sfr1bn increase expected to accrue over the next six months
Barclays’ F&O clearing unit boosts client margin by $2.1bn
JP Morgan remains the FCM with the largest share of required segregated customer funds for futures and options trades
Credit Suisse’s US clearing unit cuts client margin by 37%
Required segregated customer funds down more than a third since Archegos blowup
Level 3 assets at global systemic banks down 36% since 2014
Hard-to-value holdings down sharply over the past six years, but pandemic threw spanner in the works at some banks
Client margin down 33% at Credit Suisse’s swaps unit in Q2
Drop in IM could signal clients jumping ship in the aftermath of Archegos blowout
Credit Suisse’s op risk up $6.5bn on subprime-era litigation
Increase offsets the removal of Archegos-related capital add-on by Finma
UBS incurred two VAR breaches in Q2
Risk Quantum understands the VAR backtesting exceptions stemmed from the Archegos blowout
Foreign banks perform better in 2021 Fed stress tests
Intermediate holding companies reported higher post-stress capital and leverage ratios than their US peers did
Fed stress test: JP Morgan would bear brunt of losses
Dealer’s giant loan portfolio hit the hardest among 23 participating banks
Fed stress tests stretch Goldman Sachs, HSBC
US dealers toe binding minimums in latest DFAST exercise
US unit of BBVA on the brink of a VAR breach in Q1
Largest loss-to-VAR ratio at the firm was highest among the 12 intermediate holding companies
Finma add-on inflates Credit Suisse’s credit RWAs
The Sfr5.8 billion additional capital buffer accounts for two-fifths of bank’s quarterly increase