Over four years, US non-cleared swaps books get riskier
Risk density of non-cleared trades has increased under standardised approach
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
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