Risk Quantum/Credit Suisse
Goldman’s swaps clearing unit boosts client margin by $1.2bn
The top eight FCMs accounted for 95.8% of total client required margin, down 96.4% YoY
Trading VAR at UBS peaked after Archegos blow-up
Swiss bank still posted a fall in market RWAs quarter on quarter
Archegos debacle prompts Credit Suisse to slash prime services
Executives pledged $35 billion of cuts to investment bank leverage exposure
Archegos fiasco clips Credit Suisse’s capital ratio
CET1 ratio will be “at least” 12% for Q1
SA-CCR more a burden to Credit Suisse than UBS in 2020
At Credit Suisse, SA-CCR RWAs increased 134%
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%