Over four years, US non-cleared swaps books get riskier

Big US banks’ bilateral derivatives portfolios attract heftier risk weightings under capital rules today than they did in 2015, although they are much smaller, Risk Quantum analysis shows.

The eight US global systemically important banks (G-Sibs) posted non-cleared swaps outstanding of $849 billion in credit equivalent amounts as of end-March. Of this total, 53% were tagged with a 100% risk weighting under standardised approach capital rules.

Four years ago, the G-Sibs reported $1.2 trillion

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: