Risk Quantum/Credit Suisse
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
Client margin up 40% at Morgan Stanley’s swaps unit in Q1
Aggregate US FCM margin up a huge $34.8 billion quarter-on-quarter
Credit Suisse nets 37% sovereign RWA cut
At end-2019, 75% of its government portfolio was under the standardised approach, up from 14% the year prior
Systemic European banks expanded scope of credit models in Q1
UniCredit and Santander have increased reach of IRB approaches the most among their peers
Trading losses at US units of Deutsche, RBC exceed VAR by 1,000%
Wild markets overwhelmed foreign banks’ value-at-risk estimates
Credit Suisse takes $51m derivatives hedging loss
Net trading revenues down 47% on year-ago quarter
Finma relief unlocks $90bn of leverage exposure at Credit Suisse
Central bank deposit carve-out is intended to support lending
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