Risk Quantum/Societe Generale
Client margin at Barclays hits record $27bn
Required funds rose 13% for F&Os and 8% for swaps in August
European banks’ aggregate LCR dips as outflows rise
Net cash outflows outpaced HQLAs, but liquidity reserves remain plump
EU dealers’ IRC charges surge on debt market jitters
Santander and Natixis among hardest hit, with charges up 117% over first six months of the year
EU banks add overlays as crises evade modelling
Lenders buttress provisions against unpredictable fallout from Russia's invasion of Ukraine
Credit RWAs for EU, UK banks up in Q1 amid IRB clampdown
Reforms to improve comparability of internal models compound declining asset quality
UniCredit takes 92bp core ratio hit as Russian risks bite
Italian lender books €1.2bn of provisions, €9.5bn of new RWAs
SocGen, ING most exposed to rate shocks among EU banks
Banks’ economic value of equity would shrink under higher rates scenarios
Required margin by FCMs hit all-time high
JP Morgan reported the largest monthly increase across the 48 reporting firms
EU banks racked up VAR breaches in 2021
Crédit Agricole and ING Bank hit with higher multipliers after exception count rises
UniCredit ties buybacks to Russian exposure fallout
The Italian lender could lose as much as 200bp of CET1 ratio from a full write-down of Russian assets
SG, UniCredit, RBI most exposed to Russia as sanctions loom
EBA data shows €47bn of exposure to Russia from five most-exposed EU banks
SocGen cut trading VAR by a third in Q4
Trading risk gauge shrinks to lowest in 17 years