Goldman Sachs
How Goldman’s algos adapted to virus vol
Interview: Ralf Donner explains why algo usage is up while markets are down
RBS, dividend curves and system failures
The week on Risk.net, March 28–April 3, 2020
US banks stand apart as top lenders cancel dividends
Capital savings would equal 3% of end-2019 aggregate total if payouts suspended
Wells Fargo led top US banks on CMBS risk in 2019
Commercial mortgage-backed securitisations are struggling amid Covid-19 crisis
Seeing red over blue-chip swap in Argentina’s NDF fiasco
Emta protocol salve aside, peso settlement rate snafu is a warning for emerging market FX derivatives
Top US banks’ buyback freeze to bolster capital above $30bn
Suspension will save the equivalent of 4% of aggregate CET1
More NDF changes could follow Argentine chaos
Lat Am contracts may be tweaked to avoid repeat of contentious peso freeze
Lighting up the black box: a must for investors?
Many contend you must be able to interpret machine learning in order to use it
Banks rail against China CCPs’ loss-sharing policy
Controversial loss allocation technique remains unused during recent market routs, but banks want it banned
Systemic US banks shed more than $7trn of non-cleared swaps in 2019
Cleared notionals stay flat on the year
US G-Sibs urged to release surplus liquidity to fight virus sell-off
Top banks have about $378 billion of extra HQLA that could be released
Systemic banks could free $156bn of capital after Fed plea
Banks asked to use management buffers to support economy in combating coronavirus
US banks’ systemic footprints grew in 2019
Balance sheet growth lifts systemic risk scores
Aggregate LCR of systemic US banks edged lower in 2019
Net cash outflows increased at a faster pace than HQLA last year
Apac CCPs: we’ve come a long, long way together
Members still gripe about arcane policies, but risk management fundamentals are strong
At US G-Sibs, rates derivatives notionals the lowest since 2014
Banks cut interest rate swaps notionals by -18% year-on-year
Systemic US banks’ trading portfolios swell 10% in 2019
US Treasuries held-for-trading soar 28% on Q4 2018
Low risk assets pile up at systemic US banks
Sub-100% risk-weighted assets increased by $157.9 billion
Swaps exposures of US G-Sibs dropped 12% in Q4
Net current credit exposures hit $474.8 billion by year-end
Rates trading revenues up 154% at top US banks
Net gains on interest rates-related exposures top $21 billion
Top banks’ US Treasury holdings up 26% in 2019
Fair value gains follow plummeting yields on government paper
Who killed FX volatility?
Beyond central bank policy, traders see a range of hidden structural factors at work
Goldman hits the Collins floor
Changes to loss-given-default models caused advanced approaches credit RWAs to plummet
Fewer losing trading days at top US banks in 2019
State Street posted most losing days in 2019, with 146