At Citi, Goldman larger OTC swaps books drive up systemic risk scores
Increase in trading and available-for-sale securities bump systemic risk scores higher at BofA and JPM
Expanding over-the-counter derivatives books at Citi and Goldman Sachs inflated their systemic scores more than any other indicator used by the Basel Committee to assess banks’ systemic risk, Risk Quantum analysis shows.
Citi reported notional amounts of OTC derivatives of $41.4 trillion at end-March, up 14.7% from three months earlier. The increase added eight basis points to the bank’s systemic score, against an 11bp increase from all other indicators combined. The OTC derivatives component
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